DO VALUE STOCK OUTPERFORM GROWTH STOCK DURING COVID-19 PANDEMIC: EVIDENCE FROM THE INDONESIAN STOCK EXCHANGE
Abstrak
Penelitian ini bertujuan untuk mempelajari perbandingan tingkat pengembalian antara saham value dan growth yang terdaftar di Bursa Efek Indonesia pada masa pandemi COVID-19. Portofolio dibentuk dan dipisahkan antara perusahaan dengan kapitalisasi pasar yang lebih besar dan kecil. Teknik analisis data terdiri dari statistik deskriptif dan uji hipotesis dengan uji t dan uji Mann-Whitney untuk membandingkan kinerja portofolio. Hasil pengujian menunjukkan tidak ada perbedaan yang signifikan antara kinerja portofolio saham value dan growth. Portofolio saham value memiliki kinerja yang lebih tinggi dibandingkan portofolio saham growth jika diukur dengan rasio Treynor dan Jensen, sedangkan tingkat pengembalian dan rasio Sharpe justru menunjukkan nilai yang sebaliknya. Selain itu, hasil penelitian ini menemukan bahwa hanya portofolio saham growth pada perusahaan besar yang memiliki return positif, sehingga menunjukkan bahwa sebagian besar saham di pasar modal Indonesia memberikan respon yang negatif terhadap informasi yang ada selama pandemi COVID-19.
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