Stock and Gold Investment: The Analysis of Performance and Their Determinants
Pranowo Dewantoro, Dr. Mamduh Mahmadah Hanafi, MBA.
2013 | Tesis | S2 Magister Manajemen-
Investment is defined as activity that is delaying consumption or use of funds at the present time in order to get benefit in the future. Investment beside become interesting topic and activity from time to time, but also has evolved into an activity that is increasingly in demand around the world. Investment on stock is favorites for financial asset investment category and known as new type of investment, while investment on gold is favorites for real asset investment category and known as old type of investment. Therefore, researcher wants to analyze the performance of both investment and compare it. Moreover, researcher also investigates what are the macroeconomic indicators on both performance and whether both of them has same indicator. The indicators itself are the changes inflation rate, exchange rate, and world crude oil price. Data used by researcher in this study are gold price, LQ45 index, Jakarta Composite Index, inflation rare, exchange rate, and world crude oil price period 2006-2010. Performance of stock and gold investment based on changes of return from both investment. Researcher use Sharpe and Treynor ratio to analyze and compare the performances. For addition, researcher also uses Bootstrap method because only has one ratio for Sharpe and Treynor. The data is then analyzed by employing Mann-Whitney test. After comparative analysis, researcher conducts determinant analysis by employing double multiple regression analysis. The finding of comparative analysis shows that stock return based not perform better than gold return based on Sharpe ratio and stock return perform better than gold return based on Treynor ratio. The result of determinant analysis indicates that changes inflation rate and world crude oil price give negative influence on stock and gold return, while changes exchange rate give positive influence on stock and gold return.
Kata Kunci : investment, return, stock, gold, Sharpe ratio, Treynor ratio, Bootstrap method, inflation rate, exchange rate, and world crude oil price
