COMPARATIVE STUDY OF SMALL MEDIUM ENTERPRISE (SME) PORTFOLIO PERFORMANCE IN THE CAPITAL MARKETS OF INDONESIA, SOUTH AFRICA, AND THE UK

ABSTRACT : The purpose of this study is to compare the share portfolio performance of SMEs in theIndonesian, South Africa and England capital markets based on the Sharpe Index and to learn the significancedifference of the average of portfolio performance between the three capital markets. This study used historicaldata of stock prices of SMEs and the interest rate of the central bank of Indonesia (BI Rate), South Africa(Reverse Bank base Interest rate) and England (BoE Interest rate) in the period of January 2018 through January2019. Purposive sampling method is the sampling technique used to obtain a total sample of 15 stocks of SMEswhich has best performance on that year. The findings show that the share portfolio performance of SMEsbased on the Sharpe index in Capital Market of Indonesia, South Africa and England is better than theperformance of composite index and the performance of A-list share index in respective capital market.Statistically based on one-way ANOVA, the difference of the average of SMEs portfolio performance betweenthe Indonesian, South Africa, and England capital market, is not significant.

KEYWORDS : SMEs, capital marketss, portfolio performance, Sharpe Index