DO VALUE STOCK OUTPERFORM GROWTH STOCK DURING COVID-19 PANDEMIC: EVIDENCE FROM THE INDONESIAN STOCK EXCHANGE

  • Chici Askotamiya Universitas Widya Dharma Pontianak
  • Katarina Agnes
DOI: https://doi.org/10.46229/msdj.v5i2.804
Keywords: value, growth, portfolio performance, investment strategy, COVID-19

Abstract

This research aims to study the return comparison between value and growth stocks listed in the Indonesia Stock Exchange during the COVID-19 pandemic. The portfolios were formed and separated between bigger and smaller capitalization. Data analysis techniques consist of descriptive statistics and hypothesis testing with t-test and Mann-Whitney test to compare the performance. The test’s result reveals no significant difference in portfolio performance between value and growth stocks. The value portfolios have superior performance over growth portfolios, measured by Treynor and Jensen ratios, while the actual return and Sharpe ratios show the contrary. Moreover, the result of this study discovers that only growth portfolios for large companies have positive returns, which indicates that most of the stocks in Indonesia’s capital market respond negatively to the information that existed during the COVID-19 pandemic.

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Published
2023-11-30
How to Cite
Askotamiya, C., & Agnes, K. (2023). DO VALUE STOCK OUTPERFORM GROWTH STOCK DURING COVID-19 PANDEMIC: EVIDENCE FROM THE INDONESIAN STOCK EXCHANGE. Management and Sustainable Development Journal, 5(2), 94-109. https://doi.org/10.46229/msdj.v5i2.804
Issue
Vol 5 No 2 (2023): Management and Sustainable Development Journal
Section
Articles

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