WAHYUDI, Sugeng (2019) The performance evaluation of the stateowned enterprise’s stocks in Indonesia. Investment Management and Financial Innovations, 16 (2).

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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.

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