The performance evaluation of the state-owned enterprise’s stocks in Indonesia
-
Author(s)Dolly Parlagutan PulunganLink to ORCID Index: https://orcid.org/0000-0003-4728-9529
,
Sugeng WahyudiLink to ORCID Index: http://orcid.org/0000-0003-2889-7123
,
Suharnomo SuharnomoLink to ORCID Index: https://orcid.org/0000-0002-6624-4409
,
Harjum MuharamLink to ORCID Index: https://orcid.org/0000-0002-4627-9997
-
DOIhttp://dx.doi.org/10.21511/imfi.16(2).2019.12
-
Article InfoVolume 16 2019, Issue #2, pp. 140-149
- Cited by
- 1117 Views
-
164 Downloads
This work is licensed under a
Creative Commons Attribution 4.0 International License
State-owned enterprises (SOEs) play a strategic role in the Indonesian economy. In Indonesia, SOEs have contributed around 16.41% for the Indonesian state budget. Many Indonesian state-owned enterprises (SOEs) have listed their stocks on the Indonesia Stock Exchange. However, the study on the performance of SOEs’ stocks is still relatively limited and tends to use indicators such as Sharpe Index, Treynor Ratio or Jensen Index. In addition to using indicators such as Sharpe Index, Treynor Ratio or Jensen Index, this study examines the performance of SOEs’ stocks using Adjusted Sharpe Index, Adjusted Jensen Index and Sortino Ratio that can measure the downside risk of those stocks. The objective of this study is to analyze the performance of the SOEs’ stocks in Indonesia. The sample in this research were 19 SOEs’ stocks listed on Indonesia Stock Exchange during the period from January 2013 until April 2019. The result of this research indicated that INAF (PT Indo Farma) stocks had the best performance when measured by using all measurement methods. The performing stocks came from the construction sector and the pharmaceutical sector. Therefore, investors are suggested to give more attention to SOEs from the pharmaceutical sector and the construction sector.
- Keywords
-
JEL Classification (Paper profile tab)G11
-
References45
-
Tables4
-
Figures0
-
- Table 1. Samples
- Table 2. Beta, standard deviation, and average monthly return
- Table 3. The result of SOEs’ stock performance
- Table 4. The segmentation of equity mutual funds
-
- Abramov, A., Radygin, A., & Chernova, M. (2017). State-owned enterprises in the Russian market: Ownership structure and their role in the economy. Russian Journal of Economics, 3(1), 1-23.
- Al-Falah, & Alayk, M. (2008). Analisis Market Performance Saham-Saham BUMN dengan menggunakan Sharpe’s Model, Jensen’s Model, Appraisal Ratio (Working Paper).
- Bednarek, Z., Patel, P., & Ramezani, C. (2014). Sharpe Ratio Over Investment Horizon (Working Paper).
- Beer, F. M., Estes, J. P., & Munte, H. J. (2011). The performance of faith and ethical investment products: An empirical investigation of the last decade. Journal of the Academy of Business and Economics, 30, 101-124.
- Chen, H.-H., Yang, C.-B., & Peng, Y.-H. (2014). The trading on the mutual funds by gene expression programming with Sortino ratio. Applied Soft Computing, 15, 219-230.
- Cvitanic, J., Lazrak, A., & Wang, T. (2007). Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings (Working Paper).
- Dewi, D. K. (2011). Analisis Kinerja Saham-Saham dan Portofolio BUMN dengan Menggunakan Metode Sharpe, Treynor, dan Jensen (Skripsi). Universitas Mercubuana, Jakarta.
- Ferruz, L., & Vicente, L. (2005). Style portfolio performance: Empirical evidence from the Spanish equity funds. Journal of Asset Management, 5(6), 397-409.
- Fu, Y., & Blazenko, G. W. (2017). Normative portfolio theory. International Review of Financial Analysis, 52, 240-251.
- Grau-Carles, P., Doncel, L. M., & Sainz, J. (2018). Stability in mutual fund performance rankings: A new proposal. International Review of Economics & Finance, 61, 337-346.
- Jackwerth, J. C., & Slavutskaya, A. (2016). The total benefit of alternative assets to pension fund portfolios. Journal of Financial Markets, 31, 25-42.
- Jensen, M. C. (1967). The Performance of Mutual Funds in the Period 1945–1964. Journal of Finance, 23, 389-416.
- Jobson, J. D., & Korkie, B. M. (1981). Performance hypothesis testing with the Sharpe and Treynor measures. Journal of Finance, 36(4), 889-908.
- Kidd, D. (2011a). Measures of Risk-Adjusted Return: Let’s Not Forget Treynor and Jensen. Investment Performance Measurement Feature Articles, 1-3.
- Kidd, D. (2011b). The Sharpe Ratio and the Information Ratio. Investment Performance Measurement Feature Articles, 1, 1-4.
- Kidd, D. (2012). The Sortino Ratio: Is Downside Risk the Only Risk that Matters? Investment Performance Measurement Feature Articles, 1, 1-3.
- La Monaca, S., Assereto, M., & Byrne, J. (2018). Clean energy investing in public capital markets: Portfolio benefits of yieldcos. Energy Policy, 121, 383-393.
- Low, S.-W., & Chin, Y.-B. (2013). Refinements to the Sharpe Ratio – Evidence from Malaysian Equity Funds. Global Economic Review, 42(1), 72-97.
- Markowitz, H. M. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons, Inc.
- Ogata, H. (2012). Optimal Portfolio Estimation for Dependent Financial Returns with Generalized Empirical Likelihood. Advances in Decision Sciences, 1-8.
- Oikonomou, I., Platanakis, E., & Sutcliffe, C. (2018). Socially responsible investment portfolios: Does the optimization process matter? The British Accounting Review, 50(4), 379-401.
- Pangestuti, I. R. D., Wahyudi, S., & Robiyanto, R. (2017). Performance Evaluation of Equity Mutual Funds in Indonesia Period of 2012–2014. Jurnal Keuangan dan Perbankan, 21(4), 527-542.
- Preqin (2014). The 2014 Preqin Global Hedge Fund Report.
- Radygin, A., Simachev, Y., & Entov, R. (2015). The state-owned company: “State failure” or “market failure”? Russian Journal of Economics, 1(1), 55-80.
- Rini, S., Handayani, S. R., & Hidayat, R. (2013). Evaluasi Kinerja Portofolio dengan Menggunakan Model Sharpe (Studi Pada Perusahaan yang Listing Pada Indeks LQ45 di BEI Periode 2012) (Working Paper).
- Robiyanto, R. (2017). Performance evaluation and risk aversion rate for several stock indices in Indonesia Stock Exchange. Jurnal Manajemen dan Kewirausahaan, 19(1), 60-64.
- Robiyanto, R. (2018a). The Effect of Gold Price Changes, USD/IDR Exchange Rate Changes and Bank Indonesia (BI) Rate on Jakarta Composite Index (JCI)’s Return and Jakarta Islamic Index (JII)’s Return. Jurnal Manajemen dan Kewirausahaan, 20(1), 45-52.
- Robiyanto, R. (2018b). Performance Evaluation of Stock Price Indexes in the Indonesia Stock Exchange. International Research Journal of Business Studies, 10(3), 173-182.
- Robiyanto, R., Ernayani, R., & Ismail, R. S. (2019). Formulation of a dynamic portfolio with stocks and fixed-income instruments in the Indonesian capital market. Organizations and Markets in Emerging Economies, 10(1), 132-146.
- Robiyanto, R., Santoso, M. A., & Ernayani, R. (2019). Sharia Mutual Funds Performance in Indonesia. Business: Theory and Practice, 20, 11-18.
- Robiyanto, R., Wahyudi, S., & Pangestuti, I. R. D. (2017). The volatility – variability hypotheses testing and hedging effectiveness of precious metals for the Indonesian and Malaysian capital markets. Gadjah Mada International Journal of Business, 19(2), 167-192.
- Rollinger, T. N., & Hoffman, S. T. (2013). Sortino: A ’Sharper’Ratio. Chicago, Illinois: Red Rock Capital.
- Scholz, H., & Wilkens, M. (2006). Investor-Specific Performance Measurement – A Justification of Sharpe Ratio and Treynor Ratio (Working Paper).
- Sharpe, W. F. (1966). Mutual Fund Performance. Journal of Business, 39(1), 119-138.
- Simforianus, S., & Hutagaol, Y. (2008). Analisis Kinerja Reksa Dana Saham Dengan Metode Raw Return, Sharpe, Treynor, Jensen dan Sortino. Journal Of Applied Finance And Accounting, 1(1), 193-226.
- Sortino, F. A., & Price, L. N. (1994). Performance Measurement in a Downside Risk Framework. Journal of Investing, 3(3), 59-64.
- Sugiharto (2007). Peranan Strategis BUMN Dalam Perekonomian Indonesia. Jakarta, Indonesia: Elex Media Komputindo.
- Surianshah, S., Karim, Z. A., & Khalid, N. (2017). Krisis Subprima dan Kemeruapan Harga Saham Mengikut Sektor Ekonomi di Bursa Malaysia. Jurnal Pengurusan, 49, 77-87.
- The Directorate General of Budget, T. M. O. F. (2017). Informasi APBN 2017 (State Budget of The Republic of Indonesia).
- Treynor, J. L. (1965). How to Rate Management of Investment Funds. Harvard Business Review, 43(1), 63-75.
- Wang, Y., Jin, P., & Yang, C. (2016). Relations between the professional backgrounds of independent directors in state-owned enterprises and corporate performance. International Review of Economics & Finance, 42, 404-411.
- Wicaksono, A. (2008). Indonesian State-Owned Enterprises: The Challenge of Reform. Southeast Asian Affairs, 146-167.
- Widodo, W., & Robiyanto, R. (2018). Equity Mutual Fund Performance: The Case of Indonesia. UTCC International Journal of Business and Economics (UTCC IJBE), 10(3), 19-36.
- Yiannaki, S. M. (2015). ETFs Performance Europe – A Good Start or Not? Procedia Economics and Finance, 30, 955-966.
- Zulkafli, A. H., Ahmad, Z., & M., E. E. (2017). The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI). Gadjah Mada International Journal of Business, 19(1), 59-76.
-
Risk in the shadows: Macroeconomic shifts and their effects on Bangladeshi mutual funds
Shaikh Masrick Hasan ,
Tawfiq Taleb Tawfiq ,
Md. Mahedi Hasan ,
K. M. Anwarul Islam 
doi: http://dx.doi.org/10.21511/imfi.21(4).2024.30
Investment Management and Financial Innovations Volume 21, 2024 Issue #4 pp. 371-384 Views: 117 Downloads: 21 TO CITE АНОТАЦІЯThis study examines the downside risk, measured by semi-standard deviation and lower partial moment, and downside risk-adjusted return, measured by the Sortino ratio and Information ratio of Bangladeshi mutual funds. The study aims to explore the effect of macroeconomic variables such as deposit rate, broad money supply, GDP growth rate, remittance, exports and imports payments on downside risk and risk-adjusted returns. Month-wise downside risk and risk-adjusted return measures of 27 mutual funds are computed using the 12-month rolling window method, covering the period from January 2016 to December 2023. Here, the random effects model is utilized, and the results show that semi-standard deviation has a significant and positive relationship with deposit rate, broad money, and GDP growth rate and a negative relationship with export and remittance. Another downside risk measure, lower partial moment, is significantly and positively related to export and remittance but negatively related to deposit rate, broad money, and GDP growth. On the other hand, the risk-adjusted return Sortino ratio has a significant and positive relationship with the deposit rate, remittance, and GDP growth rate but also has a negative relationship with exports. Furthermore, the information ratio has a significant and positive relation with deposit rate, import and remittance, and a negative relation with GDP growth rate. Overall findings suggest that when broad macroeconomic factors performed well, mutual funds face reduced downside risk and increased risk-adjusted return, and vice versa. Practitioners and institutional investors can use this evidence in their decision-making in an asymmetric market situation.
