Analisis Perbandingan Kinerja Risiko-Return Indeks Saham di Kawasan ASEAN: Studi pada Indonesia, Malaysia, dan Singapura

CHETRINE ALYA RINAIMA; Akhyar Siddiq; Aini Nur Furoida

doi:10.26740/independent.v5i3.74284

Authors

CHETRINE ALYA RINAIMA Universitas Negeri Surabaya
Akhyar Siddiq Universitas Negeri Surabaya
Aini Nur Furoida

DOI:

https://doi.org/10.26740/independent.v5i3.74284

Keywords:

kinerja pasar saham, risk-adjusted return, Sharpe Ratio, Treynor Ratio, Jensen’s Alpha

Abstract

Penelitian ini bertujuan untuk menganalisis dan membandingkan kinerja risiko-return indeks
saham utama di kawasan ASEAN, yaitu Jakarta Composite Index (JCI), Kuala Lumpur
Composite Index (KLCI), dan Straits Times Index (STI) selama periode 2017–2023. Analisis
dilakukan menggunakan pendekatan risk-adjusted return melalui Sharpe Ratio, Treynor
Ratio, dan Jensen’s Alpha untuk menangkap perbedaan kinerja berdasarkan total risiko dan
risiko sistematis. Data yang digunakan merupakan data sekunder berupa return indeks pasar
dan tingkat pengembalian bebas risiko yang dianalisis dengan metode kuantitatif deskriptif
komparatif. Hasil penelitian menunjukkan bahwa indeks STI memiliki kinerja risiko-return
yang paling konsisten dan efisien, terutama pada periode krisis dan pemulihan ekonomi.
Indeks JCI menunjukkan kinerja yang cukup kompetitif pada fase pemulihan, namun belum
konsisten dalam menghasilkan abnormal return setelah disesuaikan dengan risiko sistematis.
Sementara itu, indeks KLCI secara umum menunjukkan kinerja risiko-return yang relatif
lemah dan kurang stabil sepanjang periode penelitian. Temuan ini mengindikasikan bahwa
perbedaan karakteristik dan efisiensi pasar memengaruhi kualitas kinerja investasi di
kawasan ASEAN.

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