The performance evaluation of the state-owned enterprise’s stocks in Indonesia
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Author(s)Dolly Parlagutan PulunganLink to ORCID Index: https://orcid.org/0000-0003-4728-9529
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Sugeng WahyudiLink to ORCID Index: http://orcid.org/0000-0003-2889-7123
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Suharnomo SuharnomoLink to ORCID Index: https://orcid.org/0000-0002-6624-4409
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Harjum MuharamLink to ORCID Index: https://orcid.org/0000-0002-4627-9997
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DOIhttp://dx.doi.org/10.21511/imfi.16(2).2019.12
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Article InfoVolume 16 2019, Issue #2, pp. 140-149
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- 1117 Views
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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.
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JEL Classification (Paper profile tab)G11
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References45
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Tables4
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Figures0
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- 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
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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: 116 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.
