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

Penulis

Chetrine Alya Rinaima Universitas Negeri Surabaya
Akhyar Siddiq Universitas Negeri Surabaya
Aini Nur Furoida

DOI:

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

Kata Kunci:

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

Abstrak

This study aims to analyze and compare the risk–return performance of major stock market indices in the ASEAN region, namely the Jakarta Composite Index (JCI), Kuala Lumpur Composite Index (KLCI), and Straits Times Index (STI), over the period 2017–2023. The analysis employs a risk-adjusted return approach using the Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha to capture performance differences based on total risk and systematic risk. The study uses secondary data consisting of market index returns and risk-free rates, analyzed through a quantitative descriptive-comparative method. The results indicate that the STI consistently demonstrates the most efficient and stable risk-return performance, particularly during periods of economic crisis and recovery. The JCI shows relatively competitive performance during the recovery phase but lacks consistency in generating positive abnormal returns after adjusting for systematic risk. In contrast, the KLCI generally exhibits weaker and more volatile risk-adjusted performance throughout the observation period. These findings suggest that differences in market characteristics and efficiency significantly influence investment performance across ASEAN stock markets. The study provides insights for investors and policymakers regarding portfolio allocation and market development in the region.

Unduhan

Data unduhan belum tersedia.

Referensi

Agrrawal, P., Gilbert, F. W., & Harkins, J. (2022). Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum? Journal of Risk and Financial Management, 15(11), 520. https://doi.org/10.3390/jrfm15110520

Alaoui, T., Benfeddoul, A., & Safae. (2023). The Empirical Explanatory Power of CAPM and the Fama and French Three-Five Factor Models in the Moroccan Stock Exchange. International Journal of Financial Studies, 11(1), 47. https://doi.org/10.3390/ijfs11010047

Ali, M., Khattak, M. A., Khan, S., & Khan, N. (2023). COVID-19 and the ASEAN stock market: a wavelet analysis of conventional and Islamic equity indices. Studies in Economics and Finance, 40(4), 687–707. https://doi.org/10.1108/SEF-10-2021-0457

Atmaca, M. E. (2022). Portfolio management and performance improvement with Sharpe and Treynor ratios in electricity markets. Energy Reports, 8, 192–201. https://doi.org/10.1016/j.egyr.2021.11.287

Azis, Musdalifah, Iskandar, Ariswati, R., Desy, L., Surya, I. M., Sudirman, N., & Darma, D. C. (2022). The Treynor-Mazuy Conditional Model: Overview of Market Timing and Stock Selection on Equity Mutual Funds Performance. Economic Alternatives, 28(2), 252–263. https://doi.org/10.37075/EA.2022.2.05

Aziz, M. I. A., Ahmad, N., Zichu, J., & Nor, S. M. (2022). The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies. Mathematics, 10(9), 1417. https://doi.org/10.3390/math10091417

Corelli, A., Achcar, S., Chekanova, A., Ghalayini, R., & Orazalyyeva, N. (2021). An analysis of CAPM efficiency: the case of the DFM market in Dubai. International Journal of Business Continuity and Risk Management, 11(4), 367. https://doi.org/10.1504/IJBCRM.2021.119944

Dessaint, O., Olivier, J., Otto, C. A., & Thesmar, D. (2021). CAPM-Based Company (Mis)valuations. The Review of Financial Studies, 34(1), 1–66. https://doi.org/10.1093/rfs/hhaa049

Fauziyah, N., Kamilah, A. N., & Rinaima, C. A. (2025). Risk and Return Evaluation: A Modern Portfolio Theory Approach on Bina Puri Berhad and Ahmad Zaki Resources Berhad Stocks. Journal of Economic Education and Entrepreneurship Studies, 6(1), 31–43. https://doi.org/10.62794/je3s.v6i1.6678

Kiong, W. V., Aralas, S., & Pinjaman, S. (2023). Modelling Islamic Stock Market Volatility in ASEAN-5: A Standard GARCH and Asymmetric GARCH Models. Global Business and Management Research: An International Journal, 15(1), 149–157.

Kircher, F., & Rösch, D. (2021). A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks. Journal of Banking & Finance, 133, 106281. https://doi.org/10.1016/j.jbankfin.2021.106281

Nida, R. S., Nafsi, F., Amelia Putri, A. R., Andni, R., & Johanna, A. (2023). The Impact of The Russian-Ukraine Invasion on The Reaction of Asean Stock Markets. Journal International Dakwah and Communication, 3(1), 43–56. https://doi.org/10.55849/jidc.v3i1.233

Pavic Kramaric, T., Miletic, M., & Pepur, P. (2023). The Treynor Ratio as a Risk-adjusted Return of Croatian Listed Firms. International Journal of Economic Sciences, 12(2), 92–106. https://doi.org/10.52950/ES.2023.12.2.006

Priyanto, Hartono, Rasyidin, Sudarmanto, E., & Rinaima, C. A. (2025). Manajemen Investasi dan Portofolio. PT Penerbit Naga Pustaka.

Pushpalatha, E. (2024). Risk-Return Trade-Off In Blue Chip Mutual Funds: An Evaluation Using Sharpe, Treynor, And Jensen Measures In The Banking Sector. Educational Administration: Theory and Practice, 429–438. https://doi.org/10.53555/kuey.v30i1.2600

Qi, Y., Liu, T., Zhang, S., & Zhang, Y. (2023). Robust Markowitz: Comprehensively maximizing Sharpe ratio by parametric-quadratic programming. Journal of Industrial and Management Optimization, 19(2), 1426. https://doi.org/10.3934/jimo.2021235

Riandini, A. S., & Risman, A. (2022). EVALUATION OF EQUITY MUTUAL FUNDS PORTFOLIO PERFORMANCE IN INDONESIA USING SHARPE, TREYNOR AND JENSEN METHODS. The EUrASEANs: journal on global socio-economic dynamics, 3(34), 34–40. https://doi.org/10.35678/2539-5645.3(34).2022.34-40

Rinaima, C. A. (2024). The Influence of Socialization, Knowledge, and Bandwagon Effect on Investment Interest in the Sharia Capital Market at Genbi UIN Sunan Ampel Surabaya. Journal of Indonesian Islamic Economic Finance, 3, 149–168.

Rinaima, C. A. (2025). SHARIA COMPLIANT STOCK MARKET PERFORMANCE OF ASEAN-3 COUNTRIES: A COMPARATIVE STUDY WITH CONVENTIONAL COUNTERPARTS. Universiti Utara Malaysia.

Sundarasen, S., Kamaludin, K., & Ibrahim, I. (2023). The impact of COVID-19 pandemic on the volatility of conventional and Islamic stock indexes: a comparative study on ASEAN and GCC countries. Journal of Islamic Accounting and Business Research, 14(4), 519–537. https://doi.org/10.1108/JIABR-02-2021-0058

Tamara, D., Setyawan, D., Kristalisa, A., & Dwisana, M. (2021). PERFORMANCE OF CONSTRUCTION SERVICES SECTOR COMPANIES ON THE INDONESIA STOCK EXCHANGE IN THE PERIOD BEFORE THE COVID-19 PANDEMIC AND DURING THE COVID-19 PANDEMIC USING SHARPE, TREYNOR AND JENSEN RATIO. EPH - International Journal of Business & Management Science, 7(3), 10–22. https://doi.org/10.53555/eijbms.v7i3.120

Treynor, J. L. (1965). Market value, time, and risk. Time, and Risk.

Wang, C. D., Chen, Z., Lian, Y., & Chen, M. (2022). Asset selection based on high frequency Sharpe ratio. Journal of Econometrics, 227(1), 168–188. https://doi.org/10.1016/j.jeconom.2020.05.007

Yulianti, S. Della, Mokoginta, I. J., & Lapure, M. G. (2024). Kinerja pasar ASEAN-5 selama isu krisis global. Riset Akuntansi dan Manajemen Pragmatis, 2(1), 29–37. https://doi.org/10.58784/ramp.98

Zerbib, O. D. (2022). A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Environmental Integration and Sin Stock Exclusion. Review of Finance, 26(6), 1345–1388. https://doi.org/10.1093/rof/rfac045

Mechikova, S. (2024). Risk Premium for Emerging Market Equities Versus Developed Market Equities. Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438, 18(1), 75–92. https://doi.org/10.17323/j.jcfr.2073-0438.18.1.2024.75-92