Abstract
State-owned enterprises (SOEs) play a strategic role in the Indonesian economy. In Indonesia, SOEs have contributed around 16.41% for the Indonesian state budget. Many Indonesian state-owned enterprises (SOEs) have listed their stocks on the Indonesia Stock Exchange. However, the study on the performance of SOEs’ stocks is still relatively limited and tends to use indicators such as Sharpe Index, Treynor Ratio or Jensen Index. In addition to using indicators such as Sharpe Index, Treynor Ratio or Jensen Index, this study examines the performance of SOEs’ stocks using Adjusted Sharpe Index, Adjusted Jensen Index and Sortino Ratio that can measure the downside risk of those stocks. The objective of this study is to analyze the performance of the SOEs’ stocks in Indonesia. The sample in this research were 19 SOEs’ stocks listed on Indonesia Stock Exchange during the period from January 2013 until April 2019. The result of this research indicated that INAF (PT Indo Farma) stocks had the best performance when measured by using all measurement methods. The performing stocks came from the construction sector and the pharmaceutical sector. Therefore, investors are suggested to give more attention to SOEs from the pharmaceutical sector and the construction sector.
Highlights
State-owned enterprises (SOEs) play a strategic role in the Indonesian economy
In addition to using indicators such as Sharpe Index, Treynor Ratio or Jensen Index, this study examines the performance of state-owned enterprises (SOEs)’ stocks using Adjusted Sharpe Index, Adjusted Jensen Index and Sortino Ratio that can measure the downside risk of those stocks
SOEs can be an income distribution tool for Indonesian people (Sugiharto, 2007). This income distribution can be realized if SOEs become public companies and their stocks are owned by Indonesian people as investors so that the Indonesian people as investors can enjoy the dividend of profits in the form of dividends or in the form of capital gains
Summary
State-owned enterprises (SOEs) play a strategic role in the Indonesian economy. According to Directorate General of Budget (2017), the profit from Indonesian SOEs has contributed around 16.41% to the Indonesian state budget. SOEs can be an income distribution tool for Indonesian people (Sugiharto, 2007) This income distribution can be realized if SOEs become public companies and their stocks are owned by Indonesian people as investors so that the Indonesian people as investors can enjoy the dividend of profits in the form of dividends or in the form of capital gains.
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