Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation
This research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indo...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2021-02-01
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| Series: | Journal of Open Innovation: Technology, Market and Complexity |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2199-8531/7/1/56 |
| _version_ | 1797642904980684800 |
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| author | Immas Nurhayati Endri Endri Renea Shinta Aminda Leny Muniroh |
| author_facet | Immas Nurhayati Endri Endri Renea Shinta Aminda Leny Muniroh |
| author_sort | Immas Nurhayati |
| collection | DOAJ |
| description | This research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indonesian Stock Exchange during the COVID-19 pandemic using the Sharpe Index, the Treynor Ratio, and Jensen’s Alpha. The sample selection used a purposive sampling technique and 24 stocks were selected as samples in the study. We used the daily closing price of stocks, the Indonesia composite index, and average risk-free rate return (BI rate). By using Jensen’s Alpha, this study found that FREN was the highest beta with a value of 1.8189, indicating that the index was an effective and well-diversified stock. FREN is low priced and the highest market capitalization stock in its tick size (third tier stocks). Jensen’s Alpha is good for measuring the performance of large capitalization and low-priced stocks. There are eight stocks that always have negative values in each method of measuring stock performance, which indicates that these stocks underperformed during COVID-19. |
| first_indexed | 2024-03-11T14:06:52Z |
| format | Article |
| id | doaj.art-1891b6f98c7543038fedcd7fda037efb |
| institution | Directory Open Access Journal |
| issn | 2199-8531 |
| language | English |
| last_indexed | 2024-03-11T14:06:52Z |
| publishDate | 2021-02-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Journal of Open Innovation: Technology, Market and Complexity |
| spelling | doaj.art-1891b6f98c7543038fedcd7fda037efb2023-11-02T01:31:29ZengElsevierJournal of Open Innovation: Technology, Market and Complexity2199-85312021-02-017565610.3390/joitmc7010056Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open InnovationImmas Nurhayati0Endri Endri1Renea Shinta Aminda2Leny Muniroh3Management Department, Faculty of Economics and Business, Universitas Ibn Khaldun, Bogor 16162, IndonesiaFaculty of Economics and Business, Universitas Mercu Buana, Jakarta 11650, IndonesiaManagement Department, Faculty of Economics and Business, Universitas Ibn Khaldun, Bogor 16162, IndonesiaManagement Department, Faculty of Economics and Business, Universitas Ibn Khaldun, Bogor 16162, IndonesiaThis research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indonesian Stock Exchange during the COVID-19 pandemic using the Sharpe Index, the Treynor Ratio, and Jensen’s Alpha. The sample selection used a purposive sampling technique and 24 stocks were selected as samples in the study. We used the daily closing price of stocks, the Indonesia composite index, and average risk-free rate return (BI rate). By using Jensen’s Alpha, this study found that FREN was the highest beta with a value of 1.8189, indicating that the index was an effective and well-diversified stock. FREN is low priced and the highest market capitalization stock in its tick size (third tier stocks). Jensen’s Alpha is good for measuring the performance of large capitalization and low-priced stocks. There are eight stocks that always have negative values in each method of measuring stock performance, which indicates that these stocks underperformed during COVID-19.https://www.mdpi.com/2199-8531/7/1/56event studyCOVID-19 outbreaklarge market capitalizationrisk adjusted performanceunderperformed |
| spellingShingle | Immas Nurhayati Endri Endri Renea Shinta Aminda Leny Muniroh Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation Journal of Open Innovation: Technology, Market and Complexity event study COVID-19 outbreak large market capitalization risk adjusted performance underperformed |
| title | Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation |
| title_full | Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation |
| title_fullStr | Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation |
| title_full_unstemmed | Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation |
| title_short | Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation |
| title_sort | impact of covid 19 on performance evaluation large market capitalization stocks and open innovation |
| topic | event study COVID-19 outbreak large market capitalization risk adjusted performance underperformed |
| url | https://www.mdpi.com/2199-8531/7/1/56 |
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