Portfolio Establishment of Bumn20 Stock Index in Indonesia Stock Exchange: An Analysis During the Covid-19 Pandemic
- 10.2991/978-2-38476-022-0_66How to use a DOI?
- Single Index model; BUMN20 Index; Covid-19 Pandemic; Stocks
The Covid-19 Pandemic in Indonesia was first announced by the government at the beginning of March 2020. It was then followed by PSBB policies that affected the national economy. PSBB affected the reduction of public consumption. This caused many businesses to slow down. BUMN is a state-owned enterprise engaged in strategic industries. Not only receiving government support and guarantee but BUMN also has strong fundamentals and thereby the shares are sought-after by investors. The BUMN20 Index is a collection of selected BUMN with the best stock price performance. This study aims to determine whether, during the pandemic, investors can construct the optimal portfolios on the BUMN20 stock index using a single index model. The results of data analysis revealed that all BUMN20 index stocks during the coronavirus period experienced a positive mean return but with a very small value. The largest mean return was on Kalbe Farma stocks at 1.10% and the smallest on BBNI stocks at 0.04%. The single index method calculation resulted in negative ERB and Ci values for all stocks. Hence, the investors could not establish optimal portfolios during the Covid-19 pandemic.
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Cite this article
TY - CONF AU - Isbaya PY - 2023 DA - 2023/05/13 TI - Portfolio Establishment of Bumn20 Stock Index in Indonesia Stock Exchange: An Analysis During the Covid-19 Pandemic BT - Proceedings of the 1st UMSurabaya Multidisciplinary International Conference 2021 (MICon 2021) PB - Atlantis Press SP - 631 EP - 638 SN - 2352-5398 UR - https://doi.org/10.2991/978-2-38476-022-0_66 DO - 10.2991/978-2-38476-022-0_66 ID - 2023 ER -