Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia

Covid-19 has an impact on stock investment, especially in Indonesia, marked by the decline in the Jakarta Composite Index (JCI) at the beginning of the Covid-19 pandemic. During the Covid-19 era, there was a lot of negative information about the uncertainty of the market, which made investors irrati...

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Main Authors: Dwi Fitrizal Salim, Aldilla Iradianty, Farida Titik Kristanti, Widyadhana Candraningtias
Format: Article
Language:English
Published: LLC "CPC "Business Perspectives" 2022-09-01
Series:Investment Management & Financial Innovations
Subjects:
Online Access:https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/17007/IMFI_2022_03_Salim.pdf
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author Dwi Fitrizal Salim
Aldilla Iradianty
Farida Titik Kristanti
Widyadhana Candraningtias
author_facet Dwi Fitrizal Salim
Aldilla Iradianty
Farida Titik Kristanti
Widyadhana Candraningtias
author_sort Dwi Fitrizal Salim
collection DOAJ
description Covid-19 has an impact on stock investment, especially in Indonesia, marked by the decline in the Jakarta Composite Index (JCI) at the beginning of the Covid-19 pandemic. During the Covid-19 era, there was a lot of negative information about the uncertainty of the market, which made investors irrational about the choice of stocks in the portfolio. So this research will have a hypothesis that the High Volatility stock group will be the best portfolio in Covid-19 conditions. The sample used is the Group of stocks that have the largest market capitalization value in JCI. Stocks with large market caps are chosen because of one of the indicators of blue chip stock. The sample will be divided into three portfolio groups, High Volatility, Moderate Volatility, and Low Volatility. The results obtained that High Volatility became the best portfolio during the Covid-19 period. The results of this study prove that the group of stocks with High Volatility will get positive returns and sharpe performance results are the highest and positive, compared to moderate volatility and low volatility portfolios. This result arises because stocks with High Volatility are subject to large price fluctuations and in this situation, investors can invest in these stocks in a short time frame. The short-term process is carried out regularly so that it can be in accordance with investors' expectations for investments in the portfolio.
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spelling doaj.art-77a0d00397a6403c899248d12508bcdc2022-12-22T04:30:25ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582022-09-0119330231110.21511/imfi.19(3).2022.2517007Smart beta portfolio investment strategy during the COVID-19 pandemic in IndonesiaDwi Fitrizal Salim0https://orcid.org/0000-0002-5026-8983Aldilla Iradianty1https://orcid.org/0000-0002-2015-722XFarida Titik Kristanti2https://orcid.org/0000-0003-1672-9907Widyadhana Candraningtias3Doctor, Economy and Business Faculty, Management Department, Telkom UniversityMaster, Economy and Business Faculty, Management Department, Telkom UniversityDoctor, Economy and Business Faculty, Management Department, Telkom UniversityStudent, Economy and Business Faculty, Management Department, Telkom UniversityCovid-19 has an impact on stock investment, especially in Indonesia, marked by the decline in the Jakarta Composite Index (JCI) at the beginning of the Covid-19 pandemic. During the Covid-19 era, there was a lot of negative information about the uncertainty of the market, which made investors irrational about the choice of stocks in the portfolio. So this research will have a hypothesis that the High Volatility stock group will be the best portfolio in Covid-19 conditions. The sample used is the Group of stocks that have the largest market capitalization value in JCI. Stocks with large market caps are chosen because of one of the indicators of blue chip stock. The sample will be divided into three portfolio groups, High Volatility, Moderate Volatility, and Low Volatility. The results obtained that High Volatility became the best portfolio during the Covid-19 period. The results of this study prove that the group of stocks with High Volatility will get positive returns and sharpe performance results are the highest and positive, compared to moderate volatility and low volatility portfolios. This result arises because stocks with High Volatility are subject to large price fluctuations and in this situation, investors can invest in these stocks in a short time frame. The short-term process is carried out regularly so that it can be in accordance with investors' expectations for investments in the portfolio.https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/17007/IMFI_2022_03_Salim.pdfcrisishigh volatilityinvestmentlow volatilitymoderate volatilityportfolio
spellingShingle Dwi Fitrizal Salim
Aldilla Iradianty
Farida Titik Kristanti
Widyadhana Candraningtias
Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia
Investment Management & Financial Innovations
crisis
high volatility
investment
low volatility
moderate volatility
portfolio
title Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia
title_full Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia
title_fullStr Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia
title_full_unstemmed Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia
title_short Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia
title_sort smart beta portfolio investment strategy during the covid 19 pandemic in indonesia
topic crisis
high volatility
investment
low volatility
moderate volatility
portfolio
url https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/17007/IMFI_2022_03_Salim.pdf
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