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

Immas Nurhayati (), Endri Endri (), Renea Shinta Aminda () and Leny Muniroh ()
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Immas Nurhayati: Management Department, Faculty of Economics and Business, Universitas Ibn Khaldun, Bogor 16162, Indonesia
Endri Endri: Faculty of Economics and Business, Universitas Mercu Buana, Jakarta 11650, Indonesia
Renea Shinta Aminda: Management Department, Faculty of Economics and Business, Universitas Ibn Khaldun, Bogor 16162, Indonesia
Leny Muniroh: Management Department, Faculty of Economics and Business, Universitas Ibn Khaldun, Bogor 16162, Indonesia

JOItmC, 2021, vol. 7, issue 1, 1-16

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.

Keywords: event study; COVID-19 outbreak; large market capitalization; risk adjusted performance; underperformed (search for similar items in EconPapers)
JEL-codes: M (search for similar items in EconPapers)
Date: 2021
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