PERFORMANCE OF CONSTRUCTION SERVICES SECTOR COMPANIES ON THE INDONESIA STOCK EXCHANGE IN THE PERIOD BEFORE THE COVID-19 PANDEMIC AND DURING THE COVID-19 PANDEMIC USING SHARPE, TREYNOR AND JENSEN RATIO

Abstract

This study aims to compare the return and risk on shares of Construction Services Sector Companies in the period before and during the COVID-19 pandemic in Indonesia. The research method used was a quantitative method with a descriptive approach using secondary data with 15 samples of companies selected by the non-probability sampling method with the use of purposive sampling technique on the IDXINFRA stock index of the Indonesia Stock Exchange ("IDX"). The period considered in this research was before the COVID-19 pandemic from March 11, 2019 until March 1, 2020 and during the COVID-19 pandemic which was from 2 March 2020 – March 1, 2021. The measurement of investment return and risk was carried out using the Sharpe, Treynor, and Jensen Ratio methods. Then the data were tested by using T-Test (Different Test) to see if there is a significant difference between the two data. The results showed that the performance seen from the risk adjusted return of the Construction Services Sector Company during the COVID-19 Pandemic was better than the Performance of the Construction Services Sector Company before the COVID-19 pandemic. The different tests results showed a significant difference between the results of the Sharpe, Treynor, and Jensen Ratio before the COVID-19 pandemic compared to the results using the Sharpe, Treynor, and Jensen Ratio during the COVID-19 Pandemic. The best performance before the COVID-19 Pandemic were performed by; 1) PBSA (Sharpe Ratio), 2) JKON (Treynor Ratio), and 3) ACST (Jensen Ratio) while the best performance during COVID-19 was performed by; ACST (Sharpe Ratio, Treynor Ratio, and Jensen Ratio).