Comparative Analysis of Performance Indonesia with the Philippines Banking Stock Using the Sharpe, Treynor, and Jensen Index

Abstract

This study aims to analyze the comparison of the performance of banking stocks on the LQ 45 index in Indonesia and the Philippines PSEi during the 2014-2018 period. This type of research is descriptive with a quantitative approach. The research used is to calculate the return and risk of banking stocks. For further analysis, it measures performance based on the Sharpe, Treynor, and Jensen indexes. Comparative testing was performed using the Independent Sample T-Test. Based on the return calculation, Indonesian banking stocks have a significantly greater return than the Philippines. As for the risk, there is no significant difference, but the risk of Indonesian banking stocks is relatively greater. Performance measurement results based on the index of Sharpe, Treynor, and Jensen is the Indonesian banking stocks relative performance is better than the Philippine banking stocks, although there was no significant difference.