Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation

Immas Nurhayati · Endri Endri · Renea Shinta Aminda · Leny Muniroh

51 citations0/0 files storedJournal of Open Innovation Technology Market and Complexity

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance COVID-19 Pandemic Impacts

Abstract

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.

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1987Expected stock returns and volatility 2020Effects of COVID-19 on business and research 2009Open R&D and open innovation: exploring the phenomenon 2006Open Innovation: A New Paradigm for Understanding Industrial Innovation 2020

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