Thesis: By: Helmi Adam 19 23 20 35

Comprehensive Research on Financial and Stocks Performance of SOE
in Infrastructure Sector in Indonesia and Their Comparison to Non-SOE in

Infrastructure Sector Before and During Pandemic Covid-19 Era
THESIS
By:
HELMI ADAM
19 23 20 35
Academic Supervisor:
Prof. Ir. Roy Sembel, MBA, Ph.D, CSA
Dr. Melinda Malau, SE.,MM.,CBV.,CFRM.,CFA.,CPA
MASTER OF BUSINESS ADMINISTRATION

SEKOLAH TINGGI MANAGEMENT IPMI
JAKARTA
2021
Comprehensive research on Financial and Stocks Performance of SOE
in Infrastructure Sector in Indonesia and Their Comparison to Non-SOE in
Infrastructure Sector Before and During Pandemic Covid-19 Era
Prepared by:
HELMI ADAM
19 23 20 35
A THESIS
Submitted in a partial fulfilment of the requirements for the degree of
Master of Business Administration
i
I{ON-PLAGIARISM DBCLARATION FORM
This Thesis is a presentation of our original research work. Wherever contribution of others are
involved, every effbrt is made to indicate this clearly, with due reference to the literature, and
knowledgement of collaborative research and discussions.
Also, this work is being submitted in parlial fulfilment of the requirements for the Master of
Business Administration degree and has not previously been accepted in substance fbr any
degree and is not being concurrently submitted in candidature lbr any degree.
Some of the material in this Thesis has been published in peer-viewed academic journals. This
Thesis remains a copyrighted work of the Author. Any errors or omissions contained within are
the responsibility of the author.
Jakarta, September 06, 2021
Helmi Adam
111
ABSTRACT
In recent years, the Indonesian government has continued to actively develop the infrastructure
sector, even during the COVID-19 pandemic. The government's role includes ownership of
several infrastructure sector companies and government-financed projects. However, until now
no research has been found on the financial performance and shares of government-owned
infrastructure companies covering aspects of government ownership and government projects,
including during the COVID-19 pandemic. So the purpose of this study is to analyse the financial
performance of SOE of infrastructure sector listed in Indonesian Stock Exchange, to compare the
financial performance position against non-SOE in infrastructure sector, and to analyse factors
that affect stock return as well as to analyse factors that affect profitability of SOE in
infrastructure sector, some selected ratios has been used. The factors are Debt to Equity ratios,
Current ratios, Total Asset Turnover ratios, Return On Capital Employed, Government Share,
Government Project, Market Return and Stock Return. This research also analyse effect of
Covid-19 pandemic. The research is using quantitative research method which is comparison
test, effect test, and also purposive sampling. The samples consist of 440 quarterly financial
reports of the company (from 2011 up to 2020) from 11 companies which is five companies are
SOE and six companies are non-SOE. Based research finding on analysing the financial
performance, SOE in infrastructure sector have a relatively good financials performance
compared to non-SOE in infrastructure sector, that SOE in infrastructure sector is more capable
to optimize its leverage and liquidity to generate a higher level of profitability than non-SOE in
the infrastructure sector. In term of analysing factors that affect ROCE of SOE, this study found
that Current Ratios, Total Asset Turnover, Government Share have a high significant effect on
ROCE. Total Asset Turnover has positive effect, while Current Ratios and Government share
have negative effect. In term of analysing factors that affect Stock Return of SOE,from all the
selected independent variables, this study found that only Government Project has a marginally
significant and Market Return and Dummy Covid-19 have a high significant for Stock Return of
State Owned Enterprise in infrastructure sector. This study revealed that covid-19 pandemic has
positive effect on market return, but does not have effect on profitability of SOE in infrastructure
sector. This study also revealed that government share has negative effect on profitability but
does not have effect on market return of SOE in infrastructure sector, while government project
has no significanly effect on profitability but become marginally significant on stock return of
stated owner company in infrastructure sector.
Keywords : SOE infrastructure sector, ROCE, stock return, government support, Covid-19
pandemic
iv
CONTENTS
CERTIFICATE OF APPROVAL ................................................................................................... ii
NON-PLAGIARISM DECLARATION FORM ........................................................................... iii
ABSTRACT................................................................................................................................... iv
CONTENTS.................................................................................................................................... v
TABLES ........................................................................................................................................ ix
FIGURES ....................................................................................................................................... xi
CHAPTER 1 ................................................................................................................................... 1
INTRODUCTION .......................................................................................................................... 1
1.3 Background of Study ........................................................................................................ 1
1.4 Problem Statement ............................................................................................................ 7
1.5 Research Questions ........................................................................................................... 7
1.6 Research Objectives.......................................................................................................... 8
1.7 Scope of the Study ............................................................................................................ 9
1.8 Significance of the Study .................................................................................................. 9
1.9 Thesis Structure ................................................................................................................ 9
CHAPTER 2 ................................................................................................................................. 11
LITERATURE REVIEW ............................................................................................................. 11
2.1 Introduction..................................................................................................................... 11
2.1.1 Grand Theory (Agency Theory) ............................................................................. 11
2.1.2 Middle Theory ........................................................................................................ 11
2.2 Financial Statement and Financial Ratios....................................................................... 14
2.3 Ratio Analysis ................................................................................................................. 16
v
2.4 Government Share and Government Projects................................................................. 16
2.5 Stock Return ................................................................................................................... 17
2.6 Return On Capital Employed (ROCE) ........................................................................... 18
2.7 Research Hypotheses ...................................................................................................... 19
CHAPTER 3 ................................................................................................................................. 27
RESEARCH METHODOLOGY.................................................................................................. 27
3.1 Introduction..................................................................................................................... 27
3.2 Data Collection ............................................................................................................... 27
3.3 Population and Sample ................................................................................................... 28
3.4 Variables of Study .......................................................................................................... 31
3.5 Classical Assumption Test .............................................................................................. 32
3.5.1 Normality Test ........................................................................................................ 32
3.5.2 Multicollinearity Test.............................................................................................. 32
3.6 Different Test .................................................................................................................. 32
3.7 Panel Data Analysis ........................................................................................................ 34
3.7.1 Regression Models .................................................................................................. 34
3.7.2 Regression Estimation Method ............................................................................... 38
3.7.3 Regression Analysis Method .................................................................................. 39
3.7.4 Selection of Estimation Model................................................................................ 41
3.7.5 Hypothesis Testing.................................................................................................. 42
3.8 Research Flow ................................................................................................................ 43
3.9 Research Method Summary ............................................................................................ 44
CHAPTER 4 ................................................................................................................................. 50
FINDINGS, ANALYSIS AND DISCUSSION ............................................................................ 50
4.1 Introduction..................................................................................................................... 50
vi
4.2 Differential Test with t-Test or Wilcoxon Test .............................................................. 50
4.2.1 Normality test.......................................................................................................... 51
4.2.2 Differential Test ...................................................................................................... 52
4.3 Test Effect on ROCE ...................................................................................................... 54
4.3.1 Descriptive Analysis ............................................................................................... 54
4.3.2 Classical Assumption Test ...................................................................................... 55
4.3.3 Best Model Selection .............................................................................................. 58
4.3.4 Simultaneous Variable Significance Test (F Test) ................................................. 60
4.3.5 Individual Parameter Significance Test (t Test) ..................................................... 60
4.3.6 Coefficient of Determination .................................................................................. 63
4.4 Test Effect on SR ............................................................................................................ 64
4.4.1 Descriptive Analysis ............................................................................................... 64
4.4.2 Classical Assumption Test ...................................................................................... 65
4.4.3 Best model selection ............................................................................................... 68
4.4.4 Individual Parameter Significance Test (t-Test) ..................................................... 70
4.4.5 Coefficient of Determination .................................................................................. 73
CHAPTER 5 ................................................................................................................................. 74
CONCLUSIONS AND RECOMMENDATIONS ....................................................................... 74
5.1 Conclusions..................................................................................................................... 74
5.2 Recommendations........................................................................................................... 76
5.3 Theoretical Implications ................................................................................................. 77
5.4 Practical Implications ..................................................................................................... 78
REFERENCES ............................................................................................................................. 79
APPENDIX ................................................................................................................................... 83
STATEMENT LETTER ............................................................................................................. 103

vii
PAPER APPROVAL FORM...................................................................................................... 104
JOURNAL PAPER ..................................................................................................................... 105
REFERENCES ........................................................................................................................... 124
viii
TABLES
Table 1 PSN Funding Sources ........................................................................................................ 3

Table 2 Hypothesis Resume of SOE in Infrastructure Sector & Non-SOE in Infrastructure Sector
Comparison ................................................................................................................................... 24
Table 3 Hypothesis Resume of Performance of SOE in Infrastructure Sector ............................. 25
Table 4 Hypothesis Resume of Stock return of SOE in Infrastructure Sector.............................. 26
Table 5 Population Companies (Infrastructure Sector in IDX) .................................................... 28
Table 6 Infrastructure Sector companies in IDX listed 10 years or more .................................... 29
Table 7 Infrastructure Sector companies in IDX listed 10 years or more .................................... 30
Table 8 Sample Companies (SOE Companies in Infrastructure Sector) ...................................... 30
Table 9 Comparison Companies (Non-SOE Companies in Infrastructure Sector) ...................... 31
Table 10 List of Variable Study .................................................................................................... 31
Table 11 Research Method Summary Question 1 ........................................................................ 45
Table 16 Group Statistics .............................................................................................................. 50
Table 17 Normality Test ............................................................................................................... 51
Table 18 DAR Variable Difference Test with t-Test Method ...................................................... 52
Table 19 Differential Test of CR, TAT and ROCE Variables Using Wilcoxon Method ............. 53
Table 20 Descriptive Statistics...................................................................................................... 54
Table 21 Initial Normality Test..................................................................................................... 56
Table 22 2nd Normality Test ........................................................................................................ 57
Table 23 Multicollinearity Test (Correlation Test) ....................................................................... 57
Table 24 Multicollinearity Test (VIF Test) .................................................................................. 58
Table 25 Chow test ....................................................................................................................... 59
Table 26 Random Effect Model Regression Results .................................................................... 59
ix
Table 27 F-statistic Test ................................................................................................................ 60
Table 28 T-statistic Test................................................................................................................ 61
Table 29 Coefficient of Determination ......................................................................................... 63
Table 30 Descriptive Statistics...................................................................................................... 64
Table 31 Initial Normality Test..................................................................................................... 66
Table 32 2nd Normality Test ........................................................................................................ 67
Table 33 Multicollinearity Test (Correlation Test) ....................................................................... 67
Table 34 Multicollinearity Test (VIF Test) .................................................................................. 68
Table 35 Chow Test ...................................................................................................................... 69
Table 36 Random Effect Model Regression Results .................................................................... 69
Table 37 Common effect model Resume...................................................................................... 70
Table 38 Coefficient of determination .......................................................................................... 73
x
FIGURES
Figure 1 PSN Spreading National Wide ......................................................................................... 2

Figure 2 Covid-19 Global Map Spreading...................................................................................... 4
Figure 3 Research Framework ...................................................................................................... 24
Figure 4 Research Flow ................................................................................................................ 44
xi
APPENDIX
Appendix 1 Raw Data ................................................................................................................... 83

Appendix 2 Outiler Test 1 (ROCE) .............................................................................................. 97
Appendix 3 Fixed Effect Model Statistical Analysis Results (ROCE)......................................... 99
Appendix 4 Outlier Test 2 (SR) .................................................................................................. 100
Appendix 5 Common Effect Model Statistical Analysis Results (SR)....................................... 102
xii
CHAPTER 1
INTRODUCTION
1.3 Background of Study
One of the business sectors that is interesting to observe, especially in Indonesia,

is the infrastructure sector. In today´s globalized world, business performance represents
one of the most important indicators to measure how successful a company is. Business
performance should be measured to keep the company successful in current stage and as
well as in the future time (Lenka, 2017).
The availability of infrastructure is one of the main factors supporting modern
society. Every business sector requires a guaranteed supply of energy, water,
communications and transportation to carry out production activities. If it is not available,
the country's productivity will be lower and so will economic growth in the end.
Infrastructure is widely recognized as one of the key factors affecting economic growth
and facilitating the reduction of inequality and poverty levels, especially in developing
countries (Advisory, 2018).
In addition, the World Bank's Indonesia Economic Quarterly in June 2011 stated
that Indonesia's low infrastructure is one of the obstacles to increasing economic growth.
Indonesia ranks low when compared to other countries in terms of the quality of
infrastructure and inadequate provision of infrastructure, which hinders several
companies from operating and investing. Following up on this matter, the government is
committed to establishing infrastructure as one of the priorities.
Realizing the importance of infrastructure in economic growth, President Joko
Widodo launched a development acceleration project to increase economic growth by at
least 7% in order to take off as a developed country in 2020 (KPPIP, 2018). In this effort,
the government through the Coordinating Ministry for Economic Affairs initiated the
creation of a mechanism to accelerate the provision of infrastructure and the issuance of
related regulations as a legal umbrella that regulates it. This effort is known as the
1
National Strategic Project (PSN) which is implemented in accordance with Presidential
Regulation No. 3/2016 and Presidential Regulation No. 58/2017.
Figure 1 PSN Spreading National Wide
Source: kkip.go.id (2021)
In Figure 1, PSN is mostly the provision of physical infrastructure that reaches all
of Indonesia. First established in 2016, the PSN has been updated annually by KPPIP
based on a selection process and input from project implementers. In PSN 2017, there are
245 projects and 2 programs with an estimated total financing of IDR 4,197 trillion with
funding sources from State / Regional Owned Enterprises (BUMN/BUMD) of IDR 1,258
trillion, private sector of IDR 2,414 trillion, and APBN of IDR 525 trillion or IDR 510
trillion for the 2015-2023 project. The complete list of projects from the 2017 PSN
includes the roads, railways (Makassar – Parepare), energy, ports, airports, sanitation and
water, and technology sectors. Of all sectors in the 2017 PSN, the railroad sector takes
the largest portion of the State Budget investment with a value of IDR 309 trillion.
2
Table 1 PSN Funding Sources
Funding Source Amount

State / Regional Owned Enterprises (BUMN/D) IDR 1,258 trillion
Private Sector IDR 2,414 trillion
APBN IDR 525 trillion
Source: kkip.go.id (2021)
In Table 1, the existence of PSN gradually increases the portion of the state
budget for infrastructure in Indonesia. Using a constant value, GDP expenditure on the
formation of capital goods has increased by 51.7% since 2010. Hence, there are concerns
about inability to finance due to ambitious infrastructure development but not supported
by increased tax revenues. This is indicated to have implications for macroeconomic
stability (Basri, 2018). There are also concerns about other issues such as labor,
inequality and poverty alleviation, as reported by various domestic surveys in 2017
(Advisory, 2018).
In 2020, the world is facing a global pandemic caused by a new virus named
Severe Acute Respiratory Syndrome Coronavirus-2 (SARS-CoV-2) with the disease
named Coronavirus 2019 or Covid-19 (WHO, 2020). The most common symptoms are
acute respiratory distress such as fever, shortness of breath, and dry cough. These
symptoms appear when the body reacts against the Coronavirus. (Pane, 2020). Covid-19
relates to the Severe Acute Respiratory Syndrome (SARS) and Middle East Respiratory
Syndrome (MERS) which appeared in 2019 (Indonesian Ministry of Health, 2020). These
three viruses are known to spread very fast by animals and capable to transmit from one
species to another, including humans. Although the spread of Coronavirus from animals
to humans is very rare, a human can be infected through direct contact with infected
animals. The first observation started in Wuhan Province, China, in 2019 and it is now
spreading rapidly around the world (Nuraini, 2020).
On January 30, 2020, the World Health Organization declared the Covid-19
outbreak as an international health emergency due to the high risk of virus fast infectious
3
spreads, confirmed cases, and high mortality rate. Countries with vulnerable health
service systems will get the most impact (Walker et al., 2020). Figure 2 shows the spread
of the virus in all countries in the world, including Indonesia, where as of 4 October
2020 the virus has infected around 34.7 million people with a death rate reaching 1
million people and the discovery of new cases of 230 thousand.
Figure 2 Covid-19 Global Map Spreading
Source: World Health Organization (2020)
Indonesia is entering the second wave of the Covid-19 pandemic. Some

Indonesian miss understands the new normal as a normal situation hence becomes less
alert for their health protocols causing the rise of daily cases and death (Kompas,
September 2020). The record showed on a single day of 4 October 2020, there are 3.992
new cases and 96 deaths, whereby Jakarta was the highest contributor with 1.398 new
cases and 13 new deaths mostly came from the office and restaurant clusters (Kemenkes
& WHO, 2020). The local government of Jakarta and some other cities in Indonesia were
facing another extension of the quarantine period with law enforcement (Kemenkes, 4
October 2020).
The Covid-19 pandemic affected the way of the global economy works between
health, public service, economics, politic, agriculture, transportation, and education that
caused major economic and financial crisis (Lucchese & Pianta, 2020). However, it is
4
interesting to observe that the Indonesian government still makes infrastructure
development one of its priorities to boost national economic growth and recovery. This
can be seen from the budget allocation for the Ministry of PUPR in 2021, which reaches
around Rp. 149.8 trillion, the highest among all Ministries / Agencies. Apart from the
budget from the APBN, cooperation and the role of all stakeholders, including the private
sector, the Cooperation between the Government Business Entities (PPP) and the
Regional Government (Pemda) are still needed, related to infrastructure financing.
(https://bpiw.pu.go.id)
Further for future developments, with plans including the construction 25 airports
and new power plants, Indonesia hopes to boost the economy by investing a record 5,957
trillion rupiah (USD 412 billion) in Infrastructure projects from 2020 – 2024. Around
40% will be directly funded by the government, 25% through state-owned enterprises and
the rest through the private sector. More than half (60%) of the funds will be allocated to
transport-related Infrastructure according to drafts of the plans. Furthermore, about 17%
of Infrastructure spending will go to Energy, while irrigation will receive 10%. The new
spending plan is about 5.7% of the projected GDP from 2020-2024, during which the
government projects an economic growth up to 6% according to the proposal draft. Apart
from upgrading 165 airports and the development of water-based facilities for seaplanes,
better Infrastructure resulting from the investments would also support the government’s
push towards attracting more tourists and closing the current account deficit.
(https://orissa-international.com).
Research on infrastructure sector companies in Indonesia has been conducted,
among others, by Ringo (2017) who examined the effect of leverage and profitability on
share returns in utility and transportation infrastructure sector companies registered in
Indonesia Stock Exchange during 2011 - 2015. The results showed that the Leverage
variable (DER) had no effect on stock returns and the Profitability (ROA) variable had a
positive effect on stock returns of Utilities and Transportation Sector Companies. While
research on the impact of covid-19 on business in Indonesia has also been carried out by
Taufik and Ayuningtyas (2020) who examined impact of the Covid-19 pandemic on
online platform-based-business activities in Jakarta, and Rosita (2020) which tries to
analyse the extent of the influence of the Covid-19 pandemic on MSMEs in Indonesia.
5
This study found that business activities that developed during the pandemic were
telecommunications, online platform providers/vendors, pharmaceuticals, health products
through online-based business platform adjustments. Research on the pandemic impact of
covid-19 on the stock market index and return of stock market index was also conducted
by Sutrisno et al. (2021) on several indices of countries listed on ASEAN exchanges that
have property and consumer sectors. The results show that there is a relationship between
the COVID-19 pandemic and stock index returns in these countries as well as for the
consumer and property sectors in ASEAN Exchanges with heterogeneous returns and an
inefficient distribution of risk levels.
Therefore it is interesting to learn what financial performance is like, especially
state-owned companies engaged in the infrastructure sector, both before the Covid-19
pandemic broke out, and after. On the other hand, Investors and Analysts use company
performances as one of the main tools in determining the share value of the company. By
analyzing the company's performance, investors can assess the company's prospects in
the future. If the company's performance is considered good, the company's shares will be
in demand by investors and the price will increase, but if the company's performance is
considered bad, investors will not want to invest in the company because it is considered
risky and will eventually reduce the company's stock price (Kurnia, 2013).
Studying about the relationship between the financial ratios of the companies and
the stock performance has been a subject for various number of studies until today
(Narayan and Reddy, 2016). For instance, Bayrakdaroglu et al. (2017) tried to examine
profitability ratios which are related with stock returns. They also investigate the effects
of financial information on stock prices. The result of financial ratios is a useful device
that can interpret the health of the financial condition of the company. To evaluate the
success of economic units in achieving stated strategies, objectives and critical success
factors is by using financial performance measurement as the indicators (Katja, 2009).
According to Benjalux (2006) performance measures are the life blood of economic
units, since without them no decisions can be made. A good financial performance will
be appreciated by the market in the form of rising stock prices or stock return.
Conversely, poor financial performance will be followed by a decline in stock prices or
stock return. To comply with the principle of rational economics, an enterprise must
6
systematically analyse its financial result or in other words analyse profitability (Parkitna
and Sadowska, 2011). So this study is aiming to analyse financial performance and stock
return of state ownned enterprises in infrastructure sector in Indonesia. More specifically,
research will be carried out on state ownned enterprises in infrastructure sector which is
listed in Indonesia Stock Exchange (IDX).
1.4 Problem Statement

Based on the background information above, the infrastructure sector is an
interesting sector to observe. Especially during the Covid-19 pandemic, where the
Indonesian government remains determined to continue its development plan in the
infrastructure sector. Some government-owned companies are also engaged in
infrastructure and are listed on the Indonesian stock exchange. Stakeholders, especially
the government, company management, investors and academics need more in-depth
information about the performance of companies in the infrastructure sector, especially
those owned by the government, both in terms of performance comparisons with private
companies, profitability performance, and stock performance. So this paper would like to
propose the following problems:
1. State owned enterprises in Infrastructure sector are faced with intense

competition with equal or stronger competitors of non-state owned enterprises
in Infrastructure sector who have capabilities to compete for market share.
2. Investors need to have more accurate and accountable information of
financial and stocks performance regarding state owned enterprises in
Infrastructure sector prior placing the investment.
1.5 Research Questions

Based on the problem statement, this paper would like to answer the following
questions:
1. How is the financial performance of state owned enterprises in Infrastructure

sector compared to non-state owned enterprises in infrastructure sector?
2. How is the influence of financial ratios and the role of government to
profitability of state owned enterprises in Infrastructure sector?
7
3. How is the influence of financial ratios and the role of government to stock
return of state owned enterprises companies in Infrastructure sector?
4. How is the influence of Pandemic Covid-19 to profitability of state owned
enterprises in Infrastructure sector?
5. How is the influence of Pandemic Covid-19 to stock return of state owned
1.6 Research Objectives

In dealing with this mentioned problem, the objectives of this research are to
analyse the financial performance of state owned enterprises in Infrastructure sector with
the purpose to provide valuable information for decision makers in related to business
enterprise which will be useful in decision-making. Analyzing financial performance are
normally decision makers concerned by evaluating the economic situation of the firm and
moreover to predict the company future direction, with following steps:
1. To measure and compare the financial performance position of state owned

enterprises in Infrastructure sector, versus the competitors and industry which
is non-state owned enterprises in Infrastructure sector.
2. To analyse factors that affect profitability of state owned enterprises in
Infrastructure sector which are Leverage, Liquidity, Turnover, Government
share, and Government Projects.
3. To analyse factors that affect stock return of state owned enterprises in
infrastructure sector which are Leverage, Liquidity, Turnover, Government
share, Government Projects, Profitability, and Market return
4. To analyse Pandemic Covid-19 that affect profitability of state owned
enterprises in Infrastructure sector.
5. To analyse Pandemic Covid-19 that affect stock return of state owned
8
1.7 Scope of the Study
This research is limited to state owned enterprises in infrastructure sector that
listed on the Indonesian stock exchange. The research method is using quantitative
method, followed by the main data collection techniques. This research focused on
companies in infrastructure sector that listed in Indonesia Stock Exchange with data
collections range from 2011 to 2020. This research uses ROCE (Return of Capital
Employed) ratio as profitability factor.
1.8 Significance of the Study

This study analyses the financial performance of state-owned enterprises in the
infrastructure sector, both when compared to competitors, and when facing the Covid-19
pandemic conditions. Below is the significance of the study:
1. Give insight to Government, companies Board of Managements, and Investors

to understand financial performance of state-owned enterprises in the
infrastructure sector in certain time and circumstances.
2. Give information for the next researchers as clues and direction.
This research can also add the following contributions :
1. Provide new experiences to researcher to extend theories concerning

performance of state-owned enterprises in infrastructure sector, especially
during pandemic Covid-19
2. Help investors and stock analysts to acquire additional insight about the
performance of state-owned enterprises in the infrastructure sector, especially
it’s performance during pandemic Covid-19
3. Give policy maker more informations and indications in order to refine their
assumptions and future policy direction in national infrastructure sector.
1.9 Thesis Structure

This thesis consists of six chapters as a systematic process with details as follow:
9
Chapter 1 : Introduction
This section outlines the prerequisites for an investigation. It also consists of

several parts, such as introduction, problem identification, research questions, research
objectives, the scope of research and research restriction.
Chapter 2 : Literature Review
This section focused on the theoretical review to guide the investigation. It also
shows the definition, frame, illustration and the result of previous studies. The literature
review is a collection of journals, newspapers, books and other sources of information
that can support research.
Chapter 3 : Methodology
This section explains the methods for completing the investigation. Its interest is
about the research process such as step by step to analyse the data. Also, there will be the
hypothesis, as well as the analysis indicators used in the study.
Chapter 4 : Finding, Analysis and Discussion
This section describes the details of data analysis; this is an essential part of the
study. This part shows the process of data by established procedures, then the result of the
data processors and provides an analysis of the results.
Chapter 5 : Conclusion and Recommendations
This section is the final chapter, which summarises the entire analysis from the
beginning to the end of this study. The recommendations are explained to help the future
researchers, academicians, marketing, and board of management in infrastructure sectors.
Reference
This chapter consists of a list of references that are used in this thesis.
10
CHAPTER 2
LITERATURE REVIEW
2.1 Introduction
2.1.1 Grand Theory (Agency Theory)

Every party that has a relationship with the company deeply have an interest in
company performance. The importance of measuring company performance can be
explained by two theories, namely agency theory and signaling theory. Agency theory
explains that in a company there are two interacting parties. These parties are company
owners (shareholders) and company management. Shareholders are referred to as
principals, while management people who are authorized by shareholders to run the
company are called agents. Companies that separate management and ownership
functions will be vulnerable to agency conflict because each party has conflicting
interests, namely trying to achieve their own prosperity (Jensen and Meckling, 1976).
To minimize potential conflicts between their owners and management, they enter
into an employment contract agreement. This employment contract regulates the
proportion of rights and obligations of each to achieve the expected utility. From the
owner's perspective, the agreement is expected to maximize the owner's utility, while
from the management perspective, the agreement is expected to satisfy and guarantee
management to receive compensation for the results of the company's management. And
all of those benefits are based on company performance. The owner demands a return on
the investment entrusted to manage by management, and management must provide
satisfactory returns to the owners of the company, because the compensation received by
the management is measured by it.
2.1.2 Middle Theory

2.1.2.1 Signaling Theory
The second theory that explains the importance of performance measurement is
the signal theory (signaling theory). Signal theory discusses how the signals of success or
11
failure of management (agent) should be conveyed to the owner (principal). Signal theory
explains that signaling is done by management to reduce asymmetric information.
According to Spence (1974); Sari and Zuhrotun (2006), the signal theory
(signaling theory) explains why companies have the urge to provide financial report
information to external parties. This impulse arises because of the presence of
asymmetric information between the company (management) and outside parties, where
management knows the company's internal information which is relatively more
abundant and faster than outsiders such as investors and creditors. Lack of information
obtained by outsiders about the company causing outsiders to protect themselves by
assigning low value to the company. Companies can increase company value by reducing
asymmetric information, one way is by providing signals to outsiders in the form of
reliable financial information so as to reduce uncertainty about the company's prospects
in the future.
Reports about good company performance will increase company value. In

signaling theory, the motivation for management to present financial information is
expected to provide a signal of prosperity to owners or shareholders. The publication of
annual financial reports presented by the company will be able to provide a signal for
dividend growth and the development of the company's share price (Kusuma, 2006).
Financial reports that reflect good performance are a signal or a sign that the
company is operating well. Good signals will also be responded to well by outsiders,
because market response is highly dependent on the fundamental signals issued by the
company. Investors will only invest their capital if they consider the company to be able
to provide added value to the invested capital, which is greater than investing elsewhere.
For this reason, investors' attention is directed to the company's ability, which is reflected
in the financial reports issued by the company. Good relations will continue if owners or
investors are satisfied with the performance of management, and signal recipients also
interpret the company's signals as positive ones. It is clear that the measurement of the
company's financial performance is crucial in the relationship between management and
owners or investors (Oktaviana 2014).
12
2.1.2.2 Efficient Market Hypothesis (EMH)
The Efficient Market Hypothesis theory states that the stock price formed is a
reflection of all available information, both fundamentals plus insider information.
Statman (1998) states that investors cannot beat market returns systematically and stock
prices are rational. What is meant by rational is that stock prices reflect fundamentals
such as risk value and do not reflect psychological aspects such as investor sentiment.
Fama (1970) provides an understanding that the concept of an efficient market means that
the current stock price reflects all available information. This means that information is
good from past, present and supplemented by information from the company itself
(insider information).
The Efficient Market Hypothesis has three assumptions, namely (Shleifer, 2000):
a. Investors are assumed to act rationally so that they will value stocks rationally.
b. Some investors will act irrationally but their behavior in conducting trade transactions
is random so that the effect is mutual and does not affect the price.
c. Arbitrator investors who act rationally will reduce the influence of irrational investor
behavior on prices in the capital market.
Investors who act rationally will value shares based on their value fundamental,
namely the present value (net present value) of future cash flows by discounting the level
of risk of the stock. When investors know of new information that will affect the
fundamental value of the stock, they will quickly react to that information by bidding at a
high price when the information is good (good news) and bidding at a low price when the
information is bad (bad news). The implication is that stock prices will always reflect all
available information quickly and stock prices will move to price levels according to new
fundamental values so that it can be said that stock prices will move randomly and cannot
be predicted (Prasetyo, 2009).
a. Weak Form Market Efficiency Hypothesis
This hypothesis explains that stock prices have reflected all past information
available in the market such as price data, trading volume, or short interest. The past
13
trading data is readily available in the market and it costs nothing to get it. All investors
will try to take advantage by reading data patterns from past data if the past data contains
reliable signals about future results. The implication is that all investors will exploit the
signal so that the signal will lose its value and will immediately be reflected in the price
(Bodie et al, 2008).
b. The Half-Strong Form Market Efficiency Hypothesis
This hypothesis states that all information available in the market including
information on the company's growth potential should have been reflected in stock prices
such as product line data, management quality, composition of financial statements such
as balance sheets, patents, profit projections, and accounting treatment. So, when all
information is known by investors, the reflection is already on the stock price (Bodie et
al, 2008).
c. Strong Form Market Efficiency Hypothesis
This hypothesis explains that stock prices reflect all relevant information for the
company, including information that is only available to internal parties (insiders) so that
although the management and employees of the company have access to information
before the information is available on the market, it does not allow them to take
advantage of trading based on this information because all the information will be
published immediately (Bodie et al, 2008).
2.2 Financial Statement and Financial Ratios

According to Demmer (2015), one of the indicators of the profitability and
financial sustainability of the business is the financial statements. Financial ratios are
powerful tools used to quantify the risk factors before making any strategic decisions,
including investment decisions, as it will provide useful information for investors with a
more comprehensive measure of performance (Arkan, 2016). Companies listed on stock
exchanges publish their annual report as well as quarterly financial reports. Using those
reports investors can analyse business performance using financial ratios.
14
Ratio analysis or complete financial ratio analysis is designed for helps us
evaluate reports corporate finance. financial reports the company reports the position of
the company at one point in time and activity its operations over several periods then. But
the real value is in the fact that the report can used to help predict future earnings and
dividends. According to the investor's point of view of mass forecasting front is the
essence of financial analysis which is actually. Meanwhile from the corner a management
view of report analysis finance is useful to help anticipating future conditions, and the
most important thing is as starting point for planning actions which will improve
performance companies in the future.
In another perspective Brigham and Houston (2012) suggested that ratio analysis
finance is an activity compare the numbers in the financial statements in a way divide one
number by numbers other. Comparisons can be made between one component by
component the others in one financial report or between components that are in between
financial statements. Then the numbers are compared can be numbers in one period or in
several periods.
Financial statement analysis is not would be meaningless if there were no

numbers the comparison. Comparative data for Financial ratios are an absolute must, so it
is easy to do calculations against the ratio selected. With the comparator data we can see
the difference in the numbers highlighted, has increased from the previous period. In
other words these financial statements have meaning certain, when compared to the
period previous.
Results of financial ratio analysis this is what will be used to judge performance
management company in one period, did hit the target like which determines in planning
or otherwise. Besides, it is also for assess management skills in empower company
resources (assets) effectively and efficiently. From this resulting performance can also
serve as an evaluation of things what needs to be done in the future so that management
performance can be improved or at least it can be maintained accordingly with the target
company. According to Kasmir (2010) in practice ratio analysis finances of a company
can classified into:
15
a. Balance sheet ratio, namely comparing figures only sourced from the balance
sheet.
b. Income statement ratio, that is compare the numbers that are only sourced from
the income statement report.
c. The ratio between reports, namely compare the numbers from two sources (mixed
data) are good on the balance sheet as well as on the existing on the income
statement.
2.3 Ratio Analysis

Financial ratios analysis is one way of processing and interpretation of
accounting information expressed in both relative and absolute terms to carry out a
specific relationship between a number and other numbers from a financial statement.
(Munawir 2009). To analyse company performance in financial side certain ratios usually
used such as Return on Assets, Return on Equity, Asset Turnover, Debt Equity Ratios,
Financial Leverage, and Current ratios. This research will be focused on Leverage Ratio,
Liquidity Ratio (Current Ratio), and Total Asset Turnover Ratio.
Leverage ratio is a ratio that measures the ratio of funds provided by the owner
with funds that the company borrows from creditors. This ratio shows the company's
ability to meet its financial obligations, both short and long term. (Abdul, 2013; Malau
and Murwaningsari, 2018). Liquidity Radio defined as the ability of a company to
fulfill a short term obligation in a timely manner. There are several liquidity ratios that
can be used to analyse a company, namely Current Ratio, Cash ratio, and Quick Ratio.
(Fahmi, 2011). Total asset turnover ratio is a comparison between sales and total assets.
This ratio is a ratio that measures ability the company generates sales based on its assets
company. the greater this ratio the better because the company is considered effective in
manage its assets. (Harahap, 2009).
2.4 Government Share and Government Projects

The portion of government ownership in a company is believed to have an
influence on the company's performance. There has been much debate on the effect of
government ownership on firm performance. On the one hand, state ownership is argued
16
to bring a ‘helping hand’ which assumes that the higher proportion of state ownership in
a firm, the more capital subsidy is provided by the government. On the other hand, state
ownership is supposed to bring a ‘grabbing hand’ which assumes that the government
will extract more of firm’s profit as a result of its ownership to the benefit of politicians
and bureaucrats (Tian and Estrin, 2008).
Theoretically, Huang and Xiao (2012) argue for a net negative effect of
government ownership and propose that less state ownership will result in an
improvement in firm profitability and productivity. Shleifer and Vishny (1994) develop a
game-theoretical model assuming state ownership bringing subsidies and bribes between
the government and firms. They argue that firm performance may be damaged with
heavy regulation by politicians, using the power of control to pursue political objectives.
2.5 Stock Return

Stock market returns are the net profit and loss resulted from an investment in the
stock market by investor (Amogha and Suresh, 2019). Analyzing factors that affects
stock return using fundamental analysis will enable to provide a useful parameter for
investors to decide about their investment in capital market (Shakeel and Ali, 2018),
where it is used to predict the movement of stock prices. This is due to the fundamental
analysis can reflect the company's condition and even to foresee future prospects of the
stock return. The higher the financial performance could be reflected by higher the stock
price in a stock market (Elliott & Schaub, 2006; Brealey et al., 2007; Tandelilin, 2010).
Yana (2016) found that the Leverage Ratio has a significant effect on stock
returns. While Naibaho and Sembel (2018) discover that market return has marginally
significant effect on stock return. Hasanah and Sucipto (2019) on they study on food and
beverage sub sector listed in Indonesia Stock Exchange indicate that liquidity ratios have
a negative impact on stock returns, while the profitability and solvency ratios have no
effect on stock returns. Based on research conducted by Jabbari and Fathi (2014) that
between stock returns and asset turnover ratio there is a significant positive relationship.
17
Profitability also demonstrates a company's ability to gain profit from the amount
of funds invested in overall assets (Puspitaningtyas, 2017). This measurement
demonstrates a company's ability to manage its own resources to earn a return on equity
(profitability). Sebnem and Vuran (2012) revealed in their study in regard to factors that
affecting stock return and the concluded that stock returns are affected by various
financial ratios indicator including by profitability.
2.6 Return On Capital Employed (ROCE)

Return on capital employed (ROCE) ratio compares a firm’s earnings from its
primary operations with the capital invested in the company and can serve as a reliable
measure of corporate performance (McClure, 2010). ROCE provides a means of measure
to determine how well a company invests funds in its basic business operation (Eilon,
1992). The financial ratio used to express ROCE uses Operating Income in the numerator
and Capital Employed in the denominator (Elliott & Elliot, 2001).
Capital employed is the total amount of share capital and debt that a company has
and uses (Scarlett, 2006); it refers to the amount of assets that contribute to a company’s
ability to generate revenue. It represents the financial resources necessary for the
company to continue functioning and engage in its primary task of revenue generation
(Eilon, 1988). Although capital employed has many definitions, it is commonly defined
as Total Assets less Current Liabilities (Robinson, 2011). ROCE is widely used as a
performance measure in the profit-seeking sector (Rutherford, 2002) and is commonly
employed in making intra- and inter-organisational comparisons (Drury, 2000; Skinner,
1990). The objective usually is to maximise this ratio.
As the ROCE ratio gives an indication of management’s ability to effectively
allocate capital (White et al., 1998), it should be useful as a screen to indicate profitable
companies. The nature of a firm’s competitive advantage stems from its basic business
function and ROCE measures how well a company invests in its core operation. A high
ROCE should typically be indicative of a company that is both well-managed and
profitable. (Styren, 2012)
18
2.7 Research Hypotheses
Based on the literature review the taking after is hypothesized:

H1: The financial performance of state-owned companies in the infrastructure sector
and other companies in the infrastructure sector is identical and does not differ.
One of the ways to improve company profit is through leverage, using debt as
instruments to anticipate level of return on company's equity would increase. High debt
level causes significant positive impact on ROE or profitability (Vintila and Duca, 2012;
Malau, 2020). The higher the amount of debt employed by a firm the higher its financial
leverage. A higher degree of financial leverage means high interest payments which
negatively affect the company’s bottom line (Olang, 2015).
H2: Leverage positively affect profitability of state owned enterprises in Infrastructure
sector.
This is to measures liquidity by using the current ratio indicator to measure the
company's ability to pay current liabilities with current assets. The higher the current
ratio means the better the company's ability to pay off its short-term liabilities. The higher
the current ratio of a company means the less risk of a company's failure to meet its short-
term liabilities (Puspitaningtyas, 2017). Return on equity or profitability is not
significantly affected by the three ratios: current ratio, quick ratio, liquid ratio (Manyo
and Ogakwu, 2013). The positive impact of LDR (loan to deposits ratio) on bank profit
supports the theory that liquidity positively influences profitability (Valverde and
Fernandez, 2007)
H3: Liquidity positively affect profitability of state owned enterprises in Infrastructure
sector.
The total asset turnover ratio is an instrument to measures a company’s ability on

using its assets to efficiently generate sales. Those assets include fixed assets, like plant
and equipment, as well as inventory, accounts receivable, as well as any other current
assets (Vintila and Duca, 2012). Okwuosa (2005) mentioned that the total asset turnover
19
indicates the efficiency of the enterprise in utilization on total assets to generate income.
The higher the number of times turnover, the more efficient the enterprises will be
deemed to be in the utilization of assets to generate income.
H4: Turnover positively affect profitability of state owned enterprises in Infrastructure
sector.
The portion of government ownership in a company is believed to have an

influence on the company's performance. Empirically, the evidence for this line of
research is mixed. Some studies report a positive effect (Jiang et al., 2008; Liao and
Young, 2012; Xu and Wang, 1999) or an inverse U-shape effect of government
ownership on firm performance (Sun et al., 2002), while some studies present a negative
effect (Chen et al., 2005, Lin et al., 2009, Qi et al., 2000, Sun and Tong, 2003, Wei, 2007,
Tran et al., 2014) or a Ushape of state ownership on firm performance (Gunasekarage et
al., 2007, Hess et al., 2010, Ng et al., 2009, Tian and Estrin, 2008, Wei and Varela, 2003;
Wei et al., 2005).
H5: Percentage of government share negatively affect profitability of state owned
In previous studies, government share is usually integrated with government

projects, so in this study it is attempted to separate the two as one of the contributions of
this study.
H6: Government Project negatively affect profitability of state owned enterprises in
Infrastructure sector.
The COVID-19 pandemic has harmed the national economy and caused a decline
in various businesses' financial performance. Devi et.al (2020) study of firms in Indonesia
stock exchange indicated that property, real estate and building construction, finance,
trade, services, and investment sectors experiencing a decrease in the liquidity and
profitability ratios.
20
H7: Covid-19 negatively affect profitability of state owned enterprises in
Leverage refers to financing methods of a company and its ability to meet its
financial obligations, and it is measured by debt ratios (total debt to total assets ratio),
debt to equity ratio, and the profit effect of financial leverage (Lenka, 2017). This is to
determines the use of additional resources that can lead to increase the stock return of a
company.This also called as the equity multiplier (Vintila and Duca, 2012). Variance of
stock returns is positively related to the firm’s financial leverage (Aharon and Yagil,
2019). However, based on research performed by Abdullah (2013), that he revealed that
there is negative significant impact of Debt to Equity Ratio on Stock Return which
elucidate that highly leverage firms have less stock prices as compared to low leverage
firms.
H8: Leverage negatively affect stock return of state owned enterprises in Infrastructure
sector.
Liquidity using Current Ratios indicates a company's ability to pay short-term

financial liabilities. A high level of liquidity reflects the company's financial condition in
good condition. If the level of liquidity is low, it will create an illiquid financial
condition. However, too high levels of liquidity can also have a material adverse effect on
the financial condition, as it reflects the availability of overly high current assets or
indicates a lot of idle funds (Puspitaningtyas, 2017; Puspitaningtyas & Kurniawan, 2012).
Ulupui (2007) empirical evidence shows that Current Ratios has positive and significant
impacts towards stock returns. However, not in line with the results of the study held by
Hernendiastoro (2005) in which the Current Ratios does not have any significant effects
towards stock returns.
H9: Liquidity positively affect stock return of state owned enterprises in Infrastructure
sector.
The asset turnover ratio also can be used as an indicator of the efficiencies;
therefore, the operating performance of a firm can be examined with the use of operating
21
efficiency ratios. Efficiency ratios will help to evaluate on how the firm uses its assets
and capital measured by sales generated by various asset and capital components. (Vintila
and Duca, 2012). Based on research conducted by Jabbari and Fathi (2014) that between
stock returns and asset turnover ratio there is a significant positive relationship.
H10: Turnover positively affect stock return of state owned enterprises in Infrastructure
sector.
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. Dolly et.al (2019) reveal that the performing stocks came
from the construction sector and the pharmaceutical sector.
H11: Percentage of government share negatively affect stock return of state owned
In previous studies, government share is usually integrated with government

projects, so in this study it is attempted to separate the two as one of the contributions of
this study.
H12: Government Project negatively affect stock return of state owned enterprises in
Covid-19 believed affects investors behavior in stocks market. Al-Awadhi et al.

(2020) stated that, specifically, stock returns were significantly negatively related to daily
growth in total confirmed cases and daily growth in total deaths caused by COVID-19.
While Sutrisno et.al (2020) discover that here was a relationship between the COVID-19
pandemic and the return on the stock market indexes of countries and the stock market
indexes of countries for the consumer products and property sector in the ASEAN
Exchanges.
H13: Covid-19 negatively affect stock return of state owned enterprises in
22
Profitability demonstrates a company's ability to gain profit from the amount of
funds invested in overall assets (Puspitaningtyas, 2017). This measurement demonstrates
a company's ability to manage its own resources to earn a return on equity (profitability).
Sebnem and Vuran (2012) revealed in their study in regard to factors that affecting stock
return and the concluded that stock returns are affected by various financial ratios
indicator including by profitability.
H14: Profitability positively affect stock return of state owned enterprises in
A company is considered to have a good performance when the stock return or

stock price is increase. The higher level of market valuation then the company is
considered to have a good performance (Puspitaningtyas, 2017). According to research
conducted by Din (2017) that market returns have positive and significant impact on
stock returns.
H15 : Market return positively affect stock return of state owned enterprises in
Hypothesis 15 used as control variable.
Then based on hypotheses described above theoritical framework as follow :
23
Leverage (X1)
(Debt to Asset)
H2 H8
Liquidity (X2) H9 Stock Return (Y1)
(SOE Companies in infrastructure
(Current Ratios)
H10 sector stock return)
H3
H11
Turnover (X3)
(Total Aset Turnover)
H4
H14
% Government
Share (X4) H5
Profitability (ROCE) as (Y2)
H12 also as (X7)
Government (Return on Capital Employed)
Projects (X5) H6
H13
Dummy Covid-19
(2020) H7
H15
Market Return
(X6)
(JSE stock return)
Figure 3 Research Framework
Source: Author of this Thesis, 2021
Table 2 Hypothesis Resume of SOE in Infrastructure Sector & Non-SOE in Infrastructure

Sector Comparison
Hypothesis Base Theory
H1: The financial performance of state- As a contribution of this study.
owned companies in the infrastructure
sector and other companies in the
infrastructure sector is identical and
does not differ

24
Table 3 Hypothesis Resume of Performance of SOE in Infrastructure Sector
H2: Leverage affect profitability of state • Vintila and Duca, 2012

owned enterprises in Infrastructure • Olang, 2015
sector. • Malau, 2020
H3: Liquidity affect profitability of state • Puspitaningtyas, 2017
owned enterprises in Infrastructure • Manyo and Ogakwu, 2013
sector. • Valverde and Fernandez, 2007
H4: Turnover positively affect profitability • Vintila and Duca, 2012
of state owned enterprises in • Okwuosa, 200
H5: Percentage of government share • Jiang et al., 2008
profitability return of state owned • Liao and Young, 2012
enterprises in Infrastructure sector. • Xu and Wang, 1999
• Sun et al., 2002
• Chen et al., 2005
• Lin et al., 2009
• Qi et al., 2000
• Sun and Tong, 2003
• Wei, 2007
• Tran et al., 2014
• Gunasekarage et al., 2007
• Hess et al., 2010
• Ng et al., 2009
• Tian and Estrin, 2008
• Wei and Varela, 2003
• Wei et al., 2005
H6: Government Project affect profitability Usually integrated with government
of state owned enterprises in projects, separated as a contribution of
Infrastructure sector. this study.
H7: Covid-19 negatively affect profitability • Devi et al, 2020
of state owned enterprises in
25
Table 4 Hypothesis Resume of Stock return of SOE in Infrastructure Sector
Hypothesis Base Theory

H8: Leverage affect stock return of state • Lenka, 2017
owned enterprises in Infrastructure • Vintila and Duca, 2012
sector. • Aharon and Yagil, 2019
• Abdullah, 2013
• Malau, 2020
H9: Liquidity affect stock return of state • Puspitaningtyas, 2017
owned enterprises in Infrastructure • Puspitaningtyas & Kurniawan, 2012
sector. • Ulupui, 2007
• Hernendiastoro, 2005
H10: Turnover positively affect stock return • Vintila and Duca, 2012
of state owned enterprises in • Jabbari and Fathi, 2014
H11: Percentage of government share affect • Dolly et.al, 2019
stock return of state owned enterprises
in Infrastructure sector.
H12: Government Project affect stock return Usually integrated with government
of state owned enterprises in projects, separated as a contribution of
Infrastructure sector. this study.
H13: Covid-19 negatively affect stock return • Al-Awadhi et al., 2020
of state owned enterprises in • Sutrisno et.al, 2020
H14: Profitability positively affect stock • Puspitaningtyas, 2017
return of state owned enterprises in • Sebnem and Vuran, 2012
Infrastructure sector. •
H15: Market return positively affect stock • Puspitaningtyas, 2017
return of state owned enterprises in • Din, 2017
26
CHAPTER 3
RESEARCH METHODOLOGY
3.1 Introduction
This chapter explain the methodologies and procedures to be utilized to achieve
the objective of the study which includes data collection, sample size, variable of study,
hypotheses testing, tests for models and assumptions, validity and reliability of the data as
well as the instrument utilized for the analysis. Based on the research conceptual model
provided in Chapter 1, and after literature review, the following testing be conducted in
this study. To answer question (1) in Chapter 1, this study use independent t-Test or
Wilcoxon Test. For question (2), (3), (4) and (5) in Chapter 1, this study use Panel Data
regression Analysis with generalized least squares as the estimation method.
3.2 Data Collection

The research method is using quantitative descriptive and inferential research
method, and sampling technique is using purposive sampling to the data collection
method. State-owned enterprises in the infrastructure sector listed in Indonesia Stock
Exchange (IDX) is selected as population data. To compare the financial performance
position with its closest competitor and industry, the research method is using
quantitative inferential research method, with source of data was using secondary data
using quarterly financial reports of the company. The same source of data has also been
utilized to analyse the factors that affect profitability. And the same source of data, and
the quarterly closing stock price of State-owned enterprises in the infrastructure sector,
and quarterly closing price of composite stock price index from IDX, simultaneously has
been utilized to analyse factors that affect stock return of the company. Meanwhile, tools
to analyse the comparison of the financial performance position with its closest
competitor and position in industry is using financial ratios and ROCE analysis. While
tools to analyse factors that affect stock return of State-owned enterprises in the
infrastructure sector, and factors that affect its profitability is using Multiple regression.
27
3.3 Population and Sample
Table 5 Population Companies (Infrastructure Sector in IDX)
No Code Name Listing Date
1 ACST Acset Indonusa Tbk. 24-Jun-13
2 ADHI Adhi Karya (Persero) Tbk. 18-Mar-04
3 BTEL Bakrie Telecom Tbk. 03-Feb-06
4 CMNP Citra Marga Nusaphala Persada 10-Jan-95
5 DGIK Nusa Konstruksi Enjiniring Tbk 19-Des-07
6 EXCL XL Axiata Tbk. 29-Sep-05
7 FREN Smartfren Telecom Tbk. 29-Nov-06
8 GHON Gihon Telekomunikasi Indonesia 09-Apr-18
9 GMFI Garuda Maintenance Facility Ae 10-Okt-17
10 IBST Inti Bangun Sejahtera Tbk. 31 Ags 2012
11 IDPR Indonesia Pondasi Raya Tbk. 10-Des-15
12 IPCC Indonesia Kendaraan Terminal T 09-Jul-18
13 ISAT Indosat Tbk. 19-Okt-94
14 JKON Jaya Konstruksi Manggala Prata 04-Des-07
15 JSMR Jasa Marga (Persero) Tbk. 12-Nov-07
16 KEEN Kencana Energi Lestari Tbk. 02-Sep-19
17 LINK Link Net Tbk. 02-Jun-14
18 META Nusantara Infrastructure Tbk. 18-Jul-01
19 NRCA Nusa Raya Cipta Tbk. 27-Jun-13
20 PBSA Paramita Bangun Sarana Tbk. 28-Sep-16
21 PPRE PP Presisi Tbk. 24-Nov-17
22 PTPP PP (Persero) Tbk. 09-Feb-10
23 SSIA Surya Semesta Internusa Tbk. 27-Mar-97
24 TBIG Tower Bersama Infrastructure T 26-Okt-10
25 TGRA Terregra Asia Energy Tbk. 16-Mei-17
26 TLKM Telkom Indonesia (Persero) Tbk 14-Nov-95
27 TOPS Totalindo Eka Persada Tbk. 16-Jun-17
28 TOTL Total Bangun Persada Tbk. 25-Jul-06
29 TOWR Sarana Menara Nusantara Tbk. 08-Mar-10
30 WEGE Wijaya Karya Bangunan Gedung T 30-Nov-17
31 WIKA Wijaya Karya (Persero) Tbk. 29-Okt-07
32 WSKT Waskita Karya (Persero) Tbk. 19-Des-12
Source: www.idx.co.id, 2021
28
Currently on the Indonesian stock exchange, there are about 32 companies that
are members of the infrastructure sector. In this study, these companies are chosen as
population.
For this study, companies that have been registered for at least 10 years (with the
exception of PT Waskita Karya Tbk as one of the samples) were selected, which in this
case were selected as many as 18 companies.
Table 6 Infrastructure Sector companies in IDX listed 10 years or more

2 BTEL Bakrie Telecom Tbk. 03-Feb-06
5 EXCL XL Axiata Tbk. 29-Sep-05
6 FREN Smartfren Telecom Tbk. 29-Nov-06
7 ISAT Indosat Tbk. 19-Okt-94
13 TBIG Tower Bersama Infrastructure T 26-Okt-10
14 TLKM Telkom Indonesia (Persero) Tbk 14-Nov-95
16 TOWR Sarana Menara Nusantara Tbk. 08-Mar-10
Then select more specifically by excluding companies engaged in

telecommunications infrastructure companies, which is now selected as may as 11
companies. From the 11 companies, 5 companies are majority-state owned enterprises
and then selected as samples. The other 6 companies of non State Owned Enterprise act
as the comparison companies for research question (1).
29
Table 7 Infrastructure Sector companies in IDX listed 10 years or more

The number of observation consist of four hundred and fourty (440), consist of
two hundred (200) for SOE and two hundred and fourty (240) for Non- SOE, quarterly
financial report of the company (from 2011 up to 2020 where the latest audit report was
available). For question number (1), these quarterly financial reports are then be
compared against another selected Non-SOE in infrastructure sector (exclude
communication infrastructure) which consist of two hundred and fourty (240) quarterly
financial report of the company (from 2011 up to 2020 where the latest audit report was
available). This study use year 2020 as Covid-19 Era.
The following is a list of State-owned enterprises in the infrastructure sector that

sampled.
Table 8 Sample Companies (SOE Companies in Infrastructure Sector)
No Code Name Listing Date Gov. Share

1 ADHI Adhi Karya (Persero) Tbk. 18-Mar-04 51%
2 JSMR Jasa Marga (Persero) Tbk. 12-Nov-07 70%
3 PTPP PP (Persero) Tbk. 09-Feb-10 51%
4 WIKA Wijaya Karya (Persero) Tbk. 29-Okt-07 65%
5 WSKT Waskita Karya (Persero) Tbk. 19-Des-12 66%

30
The following is a list of companies for comparison.
Table 9 Comparison Companies (Non-SOE Companies in Infrastructure Sector)

3.4 Variables of Study

Below are the list of variable study uses in this study.
Table 10 List of Variable Study
Debt to Asset Total Debt A measurement of a company’s financial

= leverage (Lenka, 2017; Naibaho and Sembel,
Ratio Total Asets
2018)
An indication of a company’s ability to pay
Current Assets short-term obligations or those due within one
Current Ratio =
Current Liabilities year (Puspitaningtyas, 2017; Naibaho and
Sembel, 2018)
Indicator for cost advantage and profit is taken
Total Asset Revenue
= as the indicator for differentiation advantage
Turnover Total Asets (Jabbari and Fathi, 2014; Naibaho and Sembel,
2018)
EBIT A measure of how effectively management is
ROCE =
Total Assets − Current Liabilities using capital employed to create profit (White et
al., 1998; Styren, 2012; Singh and Yadav, 2013)
Indication of return of a stock. Pt is Stock price
(P: − P:;< ) + D: at previous period, Pt-1 is the closing stock price
Stock Return = at the period (i.e. period t) and Dt is dividend
P:;<
paid at the period t. (Puspitaningtyas, 2017;
Naibaho and Sembel, 2018)
% Government Government Share Portion of share that owned by the state
=
Share Total Share
% Government CDEFG HDIJKLMJLE NKDOJPE Percentage of Government Projects held by
=
Projects CDEFG NKDOJPE QL RDMSFLT company
31
3.5 Classical Assumption Test
3.5.1 Normality Test

The normality test is intended to test whether the residual value that has been
standardized in the regression model is normally distributed or not (Suliyanto, 2011). The
test in this study uses the JB Test which if the probability is > 0.05 then the data is
normal, but if the probability is < 0.05 then the data is not normal.
3.5.2 Multicollinearity Test

Multicollinearity means that there is a near perfect correlation between
independent variables (Suliyanto, 2011). This test uses the method of partial correlation
between independent variables. According to Ghozali (2011), if the correlation matrix has
no value > 0.90, then there is no multicollinearity in the model. In addition, it can also be
tested for multicollinearity by looking at the Variant Inflation Factor (VIF) value, if the
VIF value obtained is lower than 10, it means that there is no multicollinearity in the
regression model, while if the VIF value is greater than 10, it means that there is
multicollinearity in the regression model.
3.6 Different Test

Question (1) in chapter 1 objective is to compare the financial performance
position of state owned enterprises in infrastructure sector, versus the competitors and
industry. Financial performance be represent by: Debt to Asset Ratios, Current Ratio,
Total Asset Turnover, and ROCE.
So the following samples be use in this study:
μ1a = Debt to Asset Ratios of state-owned companies in the infrastructure sector
μ1b = Current Ratio of state-owned companies in the infrastructure sector
μ1c = Total Asset Turnover of state-owned companies in the infrastructure sector
μ1d = ROCE of state-owned companies in the infrastructure sector
μ2a = Debt to Asset Ratios of other companies in the infrastructure sector

μ2b = Current Ratio of other companies in the infrastructure sector
32
μ2c = Total Asset Turnover of other companies in the infrastructure sector
μ2d = ROCE of other companies in the infrastructure sector
The first thing to do is to compile a simple hypothesis with the form below:
H01a: μ1a = μ2a
HA1a: μ1a ≠ μ2a
H01b: μ1b = μ2b
HA1b: μ1b ≠ μ2b
HA1c: μ1c ≠ μ2c
H01c: μ1d = μ2d
H01d: μ1d = μ2d
HA1d: μ1d ≠ μ2d
If the data follow a normal distribution, hypothesis testing is done by using the
analysis of the Independent Sample T-test in the SPSS program, the decision is made by
comparing the t value with a table with the following provisions:
a. If |t count| < t table, then H0 is not rejected and HA is not supported
b. If |t count| > t table, then H0 is rejected and Ha is supported. In addition, decision

making can also be seen from the significant level p (Sig (2-tailed)). If p> 0.05 then H0 is
accepted and if p <0.05 then H0 is rejected (Triton, 2006).
If the data don’t follow a normal distribution, hypothesis testing is done by

Wilcoxon test. Wilcoxon test is used to analyse the results of paired observations from
two data whether they are different or not. The Wilcoxon signed Rank test is used only
for interval or ratio type data, but the data does not follow a normal distribution. (Arya,
2018) Decision making can also be seen from the significant level p (Sig (2-tailed)). If p>
0.05 then H0 is accepted and if p <0.05 then H0 is rejected.
33
3.7 Panel Data Analysis
Panel data regression is a regression that uses panel data or data collected from
multiple objects over time. Panel data is a combination of time series and cross section
data (Suliyanto, 2011). The classical assumptions used in this study are the normality test
and multicollinearity test. Autocorrelation test and heteroscedasticity test will not be
carried out because this research uses generalized least squares as the estimation method.
3.7.1 Regression Models

For question (2), (3), (4) and (5) in Chapter 1, the regression model of the research
to answer those questions, would be as shown as below:
a. The first regression equation model to test factors that affect profitability of State-
owned enterprises in the infrastructure sector to be estimated is as follow:
ROCEit = βo + β1 DARit + β2 CRit + β3 TATit + β4 GSit
(Equation 1)
+ β5 GPit + β6DC + ɛit
b. The second regression equation model to test factors that affect stock return of
State-owned enterprises in the infrastructure sector to be estimated is as follow:
SRit = ɤo + ɤ1 DARit + ɤ2 CRit + ɤ3 TATit + ɤ4 GSit +
(Equation 2)
ɤ5 GPit + ɤ6 MRit + ɤ7 ROCEit + ɤ8DC + ɛit
With detail of the variables as below:
SR : Stock Return, as a dependent variable for the first regression equation
DAR : Debt to Asset Ratios, as independent variable
CR : Current Ratios, as independent variable
TAT : Total Asset Turnover, as independent variable
GS : Government Share, as independent variable (%)
GP : Government Projects, as independent variable (%)
34
MR : Market Return, as independent variable (JSE stock return)
DC : Dummy Covid-19, as dummy variable (0 for non covid period, 1 for covid period)
ROCE : Return on Capital Employed, stand as an independent variable for first

regression equation, but also act as a dependent variable for second regression
equation
Hypothesis Test of Significant for the individual parameters (t Stats) would be:
H0 : βi = 0
Ha : βi ≠ 0 or βi > 0 or βi < 0
Test Statistic: t = bi / Sbi
Rejection Rule:
Reject Ho if p-Value ≤ α or if t ≤ -tα or t ≥ tα
Where α = 0,5, tα is base on a t distribution with n – p – 1 degrees of freedom
The first group of hypotheses to test the null hypotheses would be as follow
• β0 is the ROCE -intercept. It’s the value of ROCE when all predictors i.e Debt to
Asset Ratios (DAR), Current Ratios (CR), Total Asset Turnover (TAT),
Government share (GS), Government Projects (GP), Dummy Covid-19 (DC) are
zero.
• Hypothesis for β 1
H02: β1 = 0
Ha2: β1 < 0
Slope for debt to asset ratios, this is expected decrease in profitability
corresponding to an increase in debt to asset ratios when the other independent
variables do not change.
H03: β2 = 0
Ha3: β2 > 0
Slope for current ratios, this is expected increase in profitability corresponding to
an increase in current ratios when the other independent variables do not change.
35
H04: β3 = 0
Ha4: β3 > 0
Slope for total asset turnover, this is expected increase in profitability
corresponding to an increase in total asset turnover when the other independent
H05: β4 = 0
Ha5: β4< 0
Slope for government share, this is expected decrease in profitability
corresponding to an increase in government share when the other independent
H06: β5 = 0
Ha6: β5 < 0
Slope for government project, this is expected decrease in profitability
corresponding to an increase in government project when the other independent
H07: β6 = 0
Ha7: β6 < 0
Slope for dummy covid-19, this is expected decrease in profitability
corresponding to covid-19 when the other independent variables do not change.
The next hypothesis Test of Significant for the individual parameters (t Stats) is
for the second group of hypotheses to test the null hypotheses as describe above
would as follow:
• ɤ0 is the SR-intercept. It’s the value of SR when all predictors i.e Debt to Asset
Ratios (DAR), Current Ratios (CR), Total Asset Turnover (TAT), Government
share (GS), Government Projects (GP), Market Return (MR), Dummy Covid-19
(DC), Return on Capital Employed (ROCE) are zero.
36
• Hypothesis for ɤ 1
H08: ɤ1 = 0
Ha8: ɤ1 < 0
Slope for debt to asset ratios, this is expected decrease in stock return
corresponding to an increase in debt to asset ratios when the other independent
H09: ɤ2 = 0
Ha9: ɤ2 > 0
Slope for current ratios, this is expected increase in stock return corresponding to
an increase in current ratios when the other independent variables do not change.
H010: ɤ3 = 0
Ha10: ɤ3 > 0
Slope for total asset turnover, this is expected increase in stock return
corresponding to an increase in turnover when the other independent variables do
not change.
H011: ɤ4 = 0
Ha11: ɤ4< 0
Slope for government share, this is expected decrease in stock return
corresponding to an increase in government share when the other independent
H012: ɤ5 = 0
Ha12: ɤ5 < 0
37
Slope for government project, this is expected decrease in stock return
corresponding to an increase in government project when the other independent
H015: ɤ 6 = 0
Ha15: ɤ6 > 0
Slope for market return, this is expected increase in stock return corresponding to
an increase in market return when the other independent variables do not change.
H013: ɤ 7 = 0
Ha13: ɤ 7 < 0
Slope for dummy covid-19, this is expected decrease in stock return
corresponding to covid-19 when the other independent variables do not change.
H014: ɤ 8 = 0
Ha14: ɤ 8 > 0
Slope for return on capital employed, this is expected increase in stock return
corresponding to an increase in return on capital employed when the other
independent variables do not change.
The analysis method used for those regression model is panel data regression
analysis. This research was made using multiple regression using the SPSS v.25
application.
3.7.2 Regression Estimation Method

This study uses generalized least squares as an estimation method. According to
(Gujarati, 2004) the assumptions that must be fulfilled in the estimation of the linear
regression model with Ordinary Least Square, among others, is not there is an
autocorrelation that is Var(ε) = 0 and homoscedasticity is Var(ε) = σ2I. If assumptions
about the absence of autocorrelation and homoscedasticity are not met, then the method
38
Ordinary Least Square (OLS) is no longer appropriate used to estimate the parameters of
the model linear regression. Generalized Least Square Method (GLS) can be used to
estimate parameters when the linear regression model is of the form:
Y = Xβ + ɛ ; where (U) = 0, Var(ε) = σ2V and V is matrix of size n x n.
Violation of the assumption of no autocorrelation and homoscedasticity will be

solved by transforming the observational data of the regression model so that it satisfies
the assumptions of the ordinary method least squares. The error covariance matrix is of
the form σ2V where V is a nonsingular and definite positive matrix so that there is a non-
singular symmetric V matrix with size n x n with V 'V = V V = V.
3.7.3 Regression Analysis Method

In panel data, there are 3 approaches used in the panel data regression analysis
method, the three models are: common effect, fixed effect, and random effect (Arifianto,
2012)
a. Common Effect
Common effect is an estimation model that combines time series data and cross
section data using the ordinary least square approach to estimate its parameters
(Nachrowi, 2006; Putri, 2016). In this approach, it does not pay attention to the individual
dimension or time so behavior of data between companies is assumed to be the same in
various time periods, then the regression equation model is:
ROCEit = βo + β1 DARit + β2 CRit + β3 TATit + β4 GSit + β5 GPit +

(Equation 3)
β6DCit + ɛit
SRit = ɤ o + ɤ 1 DARit + ɤ 2 CRit + ɤ 3 TATit + ɤ 4 GSit + ɤ 5 GPit + ɤ

(Equation 4)
6 MRit + ɤ 7 ROCEit + ɤ 8DCit + ɛit
39
b. Fixed Effect Model
Fixed Effect Model is a technique to estimate panel data using use dummy
variables to capture differences in the intercept. Definition of Fixed Effect This model is
based on the difference in intercept between companies, but the intercept is the same over
time. This model assumes a constant regression coefficient between companies and over
time. Fixed Effect Model with least square dummy variable (LSDV) technique. LSDV is
the ordinary least regression square (OLS) with dummy variables with the intercept
assumed to be different between company units. This dummy variable is very useful in
describing the effects of investment companies (Putri, 2016).
Fixed Effect Model can be written as follows:
ROCEit = β o + β 1 DARit + β 2 CRit + β 3 TATit + β 4 GSit + β 5 GPit

(Equation 5)
+ ɤ6DCit + Bndnit + ɛit
SRit = ɤ o + ɤ 1 DARit + ɤ 2 CRit + ɤ 3 TATit + ɤ 4 GPit + ɤ 5 GPit + ɤ

(Equation 6)
6 MRit + ɤ 7 ROCEit + ɤ 8DCit + Bndnit + ɛit
c. Random Effect Model
The random effect model is a panel regression estimation model assuming a

continuous slope coefficient and different interceptions between individuals and over
time (Random effect model). This model will estimate panel data where the disturbance
variables may be interrelated over time and between individuals. The right model
Random effect is used to estimate the generalized least square (GLS) as an estimator,
because it can increase the efficiency of the least square (Putri, 2016).
40
Writing constants in the Random effect model is no longer fixed, but is random,
so it can be written as follows:
ROCEit = βo + β1 DARit + β2 CRt + β3 TATit + β4 GSit + β5 GPit +

(Equation 7)
β6DCit + ɛit + it
SRit = ɤ o + ɤ 1 DARit + ɤ 2 CRit + ɤ 3 TATit + ɤ 5 GSit + ɤ 5 GPit + ɤ

(Equation 8)
6 MRit + ɤ 7 ROCEt + ɤ 8DCit + ɛit + it
3.7.4 Selection of Estimation Model

Panel data regression analysis which has 3 approaches must be chosen which is
best used to determine which model will be used to predict the regression model from the
research conducted. The following is a test to get the best approach in panel data
regression analysis.
a. Restricted F Test (Chow Test)
Chow test is used to choose between common effect and fixed effect methods, by
making the hypothesis H0 as common effect and H1 as fixed effect. If the p-value of the
cross section of chi square <α = 5% or the probability (pvalue) of F test <α = 5%, then
H0 is rejected, so the method that must be used is the fixed effect method. If the p-value
of the cross section of chi square ≥ α = 5% or the probability (p-value) of F test ≥ α = 5%
then H0 is accepted so that the method used is the common effect method.
b. Hausman Test
The Hausman test is a statistical test developed by Hausman to select whether a

fixed effect or random effect model is more appropriate for panel data regression. This
idea is based on the fact that GLS is efficient and OLS is inefficient, on the other hand
OLS is efficient and GLS is inefficient. Therefore, the null hypothesis test is that the
estimation results of the two are not different so that the Hausman test can be carried out
based on differences in these estimates. The testing hypothesis is as follows:
41
H0: random effect model
H1: fixed effect model
c. Lagrange Multiplier (LM) test
The LM test is used to select whether to use the random effect or the common effect. This
test was developed by Bruesch-pagan (1980). This test is based on the residual value of
the common effect method. LM formula:
n = number of individuals;
T = number of time periods;
e = residual common effect method
the null hypothesis is the same intercept and slope (common effect). The LM test is based
on the chi square distribution with a degree of freedom equal to the number of
independent variables. If the value of the LM statistic is greater than the critical value of
the chi square statistic, then we reject the null hypothesis, meaning that a more precise
estimate of the panel data regression is the random effect model. Conversely, if the value
of the LM statistic is smaller than the critical value of the chi square statistic, then we
accept the null hypothesis, which means that the common effect model is better used.
3.7.5 Hypothesis Testing

The hypothesis is a provisional guess made by the researcher. Because it is an assumption
that has no certainty, then the hypothesis must be tested first to determine the accuracy of
the allegations. Hypothesis test used is partial t-test, simultaneous F-test, and
Determination Coefficient Test.
a. F-test
Simultaneous hypothesis testing (f-test) according to Ghozali (2011) f-test is used
to test the regression coefficients partially from the independent variables. The procedure
used to perform the f-test is the hypothesis is accepted if the probability (F-statistic)
<0.05. The hypothesis is rejected if the probability (F-statistic)> 0.05.
42
b. t-test
Partial hypothesis testing (t-test) according to Ghozali (2011) t-test used to test the
regression coefficient partially from the variable independently. The procedure used to
perform the t-test is. The hypothesis is accepted if the probability is <0.05. The
hypothesis is rejected if the probability is> 0.05.
c. Coefficient of Determination
The coefficient of determination (R2) test is used to explain how much the
proportion of the variation in the dependent variable can be explained by the independent
variable (Widarjono, 2009). This test basically measures how far the independent
variable explains the variation in the dependent variable. According to Kuncoro (2011)
the coefficient of determination (R2) ranges between zero and one (0 <R2 <1). The value
of R2 which is small or close to zero means that the ability of the independent variable to
explain the dependent variable is very limited. R2 value that is large or close to one
means that the independent variable is able to provide almost all the information needed
to explain changes in the dependent variable.
3.8 Research Flow
Based on the research method above, the following is the research flow in this
study.
43
Figure 4 Research Flow
3.9 Research Method Summary

The following is a summary of the research questions and research methods used in this
study :
44
Table 11 Research Method Summary Question 1
No Research Question Hypotheses Statistics Testing

1 How is the financial H01a: μ1a = μ2a If the data follow a
performance of stated HA1a: μ1a ≠ μ2a normal distribution,
owned enterprises in H01b: μ1b = μ2b hypothesis testing is
Infrastructure sector HA1b: μ1b ≠ μ2b done by using the
compared to other H01c: μ1c = μ2c analysis of the
companies in HA1c: μ1c ≠ μ2c Independent Sample
infrastructure sector? H01d: μ1d = μ2d T-test. The decision
HA1d: μ1d ≠ μ2d making can be seen
from the significant
μ1a = Debt to Asset Ratios of state- level p (Sig (2-tailed)).
owned companies in the infrastructure If p> 0.05 then H0 is
sector accepted and if p
μ1b = Current Ratio of state-owned <0.05 then H0 is
companies in the infrastructure sector rejected.
μ1c = Total Asset Turnover of state-
owned companies in the infrastructure If the data don’t
sector follow a normal
μ1d = ROCE of state-owned companies distribution,
in the infrastructure sector hypothesis testing is
done by Wilcoxon
μ2a = Debt to Asset Ratios of other test. Decision making
companies in the infrastructure sector can also be seen from
μ2b = Current Ratio of other companies the significant level p
in the infrastructure sector (Sig (2-tailed)). If p>
μ2c = Total Asset Turnover of other 0.05 then H0 is
companies in the infrastructure sector accepted and if p
μ2d = ROCE of other companies in the <0.05 then H0 is
infrastructure sector rejected.
45
2 How is the influence The regression equation model Panel data analysis, use
of financial ratios and as follow: classical assumption test
the role of ROCEt = βo + β1 DARit + (normality test &
government to β2 CRit + β3 TATit + β4
multicollinearity test) and
profitability of stated GSit + β5 GPit + β6DC +
owned enterprises in ɛit GLS as estimation method,
Infrastructure sector? with 3 approaches used in the
panel data regression analysis
The first group of hypotheses to
method. The three models
test the null hypotheses would
are:
be as follow:
common effect
- β 0 is the ROCE-intercept. It’s fixed effect
the value of ROCE when all random effect
predictors i.e Debt to Asset Panel data regression analysis
Ratios (DAR), Currnet Ratios which has 3 approaches must
(CR), Total Asset Turnover be chosen which is best used
(TAT), Government share (GS), to determine which model
Government Projects (GP), will be used to predict the
Dummy Covid-19 (DC) are regression model from the
zero. research conducted. The
- Hypothesis for β 1 (DAR, H2) following is a test to get the
H02: β 1 = 0 best approach in panel data
Ha2: β 1 > 0 regression analysis.
- Hypothesis for β 2 (CR, H3) a. Restricted F Test
H03: β 2 = 0 (Chow Test)
Ha3: β 2 > 0 b. Hausman Test
- Hypothesis for β 3 (TAT, H4) c. Lagrange Multiplier
H04: β 3 = 0 (LM) test
Ha4: β 3 > 0 Then the hypothesis must be
- Hypothesis for β 4 (GS, H5) tested first to determine the
H05: β 4 = 0 accuracy of the allegations.
Ha5: β 4 < 0 Hypothesis test used is
- Hypothesis for β 5 (GP, H6) a. Simultaneous F-test
H06: β 5 = 0 b. Partial t –test
Ha6: β 5 < 0 c. Coefficient of
Determination
46

3 How is the influence The regression equation model as follow: As panel data
of financial ratios analysis above
and the role of SRit = ɤ o + ɤ 1 DARit + ɤ 2 CRit + ɤ
government to stock 3 TATit + ɤ 4 GSit + ɤ 5 GPit + ɤ 6
return of stated MRit + ɤ 7 ROCEit + ɤ 8DC + ɛit
owned enterprises in
Infrastructure sector?
The group of hypotheses to test the null
hypotheses as describe above would as
follow:
- ɤ0 is the SR-intercept. It’s the value of SR
when all predictors i.e Debt to Asset Ratios
(DAR), Currnet Ratios (CR), Total Asset
Turnover (TAT), Government share (GS),
Government Projects (GP), Market Return
(MR), Dummy Covid-19 (DC), Return on
Capital Employed (ROCE) are zero.
- Hypothesis for ɤ 1 (DAR, H8)
H08: ɤ1=0
Ha8: ɤ1>0
- Hypothesis for ɤ 2 (CR, H9)
H09: ɤ2=0
Ha9: ɤ2>0
- Hypothesis for ɤ 3 (TAT, H10)
H010: ɤ3=0
Ha10: ɤ3>0
- Hypothesis for ɤ 4 (GS, H11)
H011: ɤ4=0
Ha11: ɤ4<0
- Hypothesis for ɤ 5 (GP, H12)
H012: ɤ5=0
Ha12: ɤ5<0
- Hypothesis for ɤ 6 (MR, H15)
H015: ɤ6=0
Ha15: ɤ6>0
- Hypothesis for ɤ 8 (ROCE, H14)
H014: ɤ8=0
Ha14: ɤ8>0
47

of Pandemic Covid- ROCEt = βo + β1 DARit + β2 CRit + analysis above
19 to profitability of β3 TATit + β4 GSit + β5 GPit +
stated owned β6DC + ɛit
enterprises in
The hypothesis to test the null hypotheses

would be as follow:
- β 0 is the ROCE-intercept. It’s the

value of ROCE when all predictors i.e
Debt to Asset Ratios (DAR), Currnet
Ratios (CR), Total Asset Turnover
(TAT), Government share (GS),
Government Projects (GP), Dummy
Covid-19 (DC) are zero.
- Hypothesis for β 6 (DC, H7)

H07: β6=0
Ha7: β6<0
48
of Pandemic Covid-
SRit = ɤ o + ɤ 1 DARit + ɤ 2 CRit + ɤ analysis above
19 stock return of
stated owned 3 TATit + ɤ 4 GSit + ɤ 5 GPit + ɤ 6
enterprises in MRit + ɤ 7 ROCEit + ɤ 8DC + ɛit
The group of hypotheses to test the null
hypotheses as describe above would as
follow:
- ɤ0 is the SR-intercept. It’s the value of

SR when all predictors i.e Debt to Asset
Ratios (DAR), Currnet Ratios (CR),
Total Asset Turnover (TAT),
Government share (GS), Government
Projects (GP), Market Return (MR),
Dummy Covid-19 (DC), Return on
Capital Employed (ROCE) are zero.
- Hypothesis for ɤ 7 (DC, H13)

H013: ɤ7=0
Ha13: ɤ7<0
49
CHAPTER 4
FINDINGS, ANALYSIS AND DISCUSSION
4.1 Introduction
In this chapter, an analysis will be performed on the results of data processing
according to the method described in chapter 3 to answer the questions presented in
chapter 1 which have been compiled into several hypotheses and according to the
framework in chapter 2. From the results, it is hoped that conclusions can be drawn,
which will be outlined in chapter 5. The results of the processing are divided into 3 parts,
which is the difference test between SOE and non-SOE, the test for the effect on ROCE
of SOE and the test for the effect on SR of SOE.
4.2 Differential Test with t-Test or Wilcoxon Test

Table 16 shows the average value of the ratio compared between SOE and Non-
SoE. SOE DAR is 73.91%, while Non-SOE DAR is 49.07%. The CR for SOE is 1.19
times, while for Non-SOE it is 2.42 times. The ratio of TAT to SOE is 0.64 times, while
Non-SOE is 0.65 times. The ROCE value for SOE is 16.63%, while the ROCE for Non-
SOE is 12.09%.
Table 16 Group Statistics
Kategori N Mean Std. Deviation Std. Error Mean

DAR SOE 40 .739151 .0259563 .0041041
Non-SOE 40 .490732 .0194291 .0030720
CR SOE 40 1.186966 .0928644 .0146831
Non-SOE 40 2.424392 .8362631 .1322248
TAT SOE 40 .636266 .3065334 .0484672
Non-SOE 40 .653244 .1385950 .0219138
ROCE SOE 40 .166355 .1020253 .0161316
Non-SOE 40 .120911 .0572433 .0090510
Source: SPSS data processing result, 2021
50
4.2.1 Normality test
Here are the results of the normality test obtained:
Table 17 Normality Test
Kolmogorov-Smirnova Shapiro-Wilk
Kategori Statistic df Sig. Statistic df Sig.
*
DAR SOE .102 40 .200 .972 40 .403
Non-SOE .092 40 .200* .969 40 .345
CR SOE .158 40 .013 .923 40 .010
Non-SOE .193 40 .001 .861 40 .000
TAT SOE .118 40 .167 .911 40 .004
Non-SOE .072 40 .200* .986 40 .903
ROCE SOE .159 40 .013 .866 40 .000
*
Non-SOE .092 40 .200 .985 40 .868
*. This is a lower bound of the true significance.
a. Lilliefors Significance Correction
Based on the table above, it can be concluded as follows:

a. The DAR variables in the SOE and Non-SOE groups each had a sig value greater
than 0.05 in the normality test using the Kolmogorov Smirnov method and the
Saphiro Wilk method. Because the value is greater than 0.05, it means that the
DAR data in the SOE and Non-SOE groups are each normally distributed, so the
different test method uses the t-test method.
b. The CR variables in the SOE and Non-SOE groups each had a sig value lower
than 0.05 in the normality test using the Kolmogorov Smirnov method and the
Saphiro Wilk method. Because the value is lower than 0.05, it means that the CR
data in the SOE and Non-SOE groups are not normally distributed, respectively,
so the different test method uses the Wilcoxon method.
c. The TAT variable in the Non-SOE group had a sig value greater than 0.05 in the
normality test using the Kolmogorov Smirnov method and the Saphiro Wilk
51
method. The TAT variable in the SOE group had a sig value greater than 0.05 in
the normality test using the Kolmogorov Smirnov method but the sig value was
lower than 0.05 using the Saphiro Wilk method, meaning that the TAT data in the
SOE group was not normally distributed. Because there are data that are not
normally distributed, the different test method uses the Wilcoxon method.
d. The ROCE variable in the Non-SOE group has a sig value greater than 0.05 in the
normality test using the Kolmogorov Smirnov method and the Saphiro Wilk
method, meaning that the ROCE data in the Non-SOE group is normally
distributed, while the ROCE variable in the SOE group has a sig value. lower than
0.05 in the normality test using the Kolmogorov Smirnov method and the Saphiro
Wilk method, meaning that the ROCE data in the SOE group is not normally
distributed. Because there are data that are not normally distributed, the different
test method uses the Wilcoxon method.
4.2.2 Differential Test

Hypothesis:
Ho: there is no difference
Ha: there is a difference
At a significance level of 0.05 (5%), test criteria:
- Reject Ho if sig < 0.05
- Accept Ho if sig > 0.05
Here are the different test results obtained:
Table 18 DAR Variable Difference Test with t-Test Method
Levene's Test for t-test for Equality of Means

Equality of Variances
t df Sig. (2-tailed)
F Sig.
DAR Equal variances assumed 3.431 .068 48.458 78 .000
Equal variances not assumed 48.458 72.261 .000
52
The results of the different test for the DAR variable between SOE and Non-SOE
showed a sig. value 0.068 in Levene’s Test for equality of Variances. Because it is higher
than 0.05 then we choose result in line that equal variances assumed. The result shows
sig. (2-tailed) value of 0.000. Because the sig. value is lower than 0.05, Ha is accepted,
meaning that there is a difference in DAR between the SOE and Non-SOE groups.
Table 19 Differential Test of CR, TAT and ROCE Variables Using Wilcoxon Method
CR_NON_SOE - TAT_NON_SOE - ROCE_NON_SOE

CR_SOE TAT_SOE - ROCE_SOE
Z -5.511c -1.667c -4.060b
Asymp. Sig. (2-tailed) .000 .096 .000
Based on the table above, it can be concluded as follows:

a. The different test results for the CR variable between SOE and Non-SOE showed
a sig value of 0.000. Because the sig value is lower than 0.05, Ha is accepted,
meaning that there is a difference in CR between the SOE and Non-SOE groups.
b. The different test results for the TAT variable between SOE and Non-SOE
showed a sig value of 0.096. Because the sig value is greater than 0.05, Ho is
accepted, meaning that there is no difference in TAT between the SOE and Non-
SOE groups.
c. The different test results for the ROCE variable between SOE and Non-SOE
showed a sig value of 0.000. Because the sig value was lower than 0.05, Ha is
accepted, meaning that there is a difference in ROCE between the SOE and Non-
SOE groups.
The results of the above analysis indicate that there is a difference between the
variables in DAR, CR and ROCE between SOE and non-SOE, while in the TAT variable
53
there is no difference between SOE and non-SOE. When analysed on an average, during
2011 – 2020 the average DAR from SOE was 73.91%, higher than the DAR for non-SOE
which averaged 49.07%. Basically this indicates that the level of leverage risk faced by
SOE is greater, because the higher the debt of a company, the greater the risk of default.
This risk also tends to be greater, especially in the short-term leverage risk, given that the
average CR of SOE is 1.19 times, smaller than the average CR of non-SOE which is 2.42
times. However, in ROCE the average ROCE of SOE is 16.63%, higher than the ROCE
of non-SOE which is 12.09%, which indicates that SOE is more profitable than non-SOE.
With SOE DAR higher than non-SOE, it can be said that SOE in the infrastructure sector
is better able to optimize its leverage to generate a higher level of profitability than non-
SOE in the infrastructure sector.
4.3 Test Effect on ROCE

4.3.1 Descriptive Analysis
Table 20 Descriptive Statistics

Y_ROCE X1_DAR X2_CR X3_TAT X4_GS X5_GP X6_DC
Mean 0,175841 0,754376 1,304195 0,704049 0,580934 0,623098 0,105263
Median 0,149000 0,745700 1,341800 0,628000 0,522800 0,645700 0,000000
Maximum 0,855000 0,863400 1,633600 2,330400 0,680000 0,964800 1,000000
Minimum -0,286500 0,598100 0,674500 0,128100 0,510000 0,251000 0,000000
Std. Dev. 0,138919 0,062682 0,174485 0,399712 0,074482 0,165779 0,307907
Observations 152 152 152 152 152 152 152
Source: Eview data processing result, 2021
In the table above, the number of observation data listed is 152 data. This happens
because of empty data (no value):
a. Variable GP in JSMR companies in 2011-2020 quarters 1-4, WIKA in 2012
quarters 2, and WSKT in 2011 quarters 1-3
b. GS variable in WSKT companies in 2011 quarters 1-4 and 2012 quarters 1-3;
c. TAT variable in WIKA company in 2012 quarter 2, WSKT in 2011 quarter 1-4
and in 2012 quarter 1 and 3
54
d. Variable CR in WIKA company in 2012 quarter 2, WSKT in 2011 quarter 1-4
e. DAR variable in WIKA company in 2012 quarter 2, WSKT in 2011 quarter 1-4
f. ROCE variable in WIKA company in 2012 quarter 2, WSKT in 2011 quarter 1-4
And based on the table above can be drawn descriptive statistics as follow:
a. The average ROCE variable is 0.175841; the median is 0.149000; the maximum
is 0.855000; the minimum is -0.286500; the standard deviation is 0.138919.
b. The average DAR variable is 0.754376; the median is 0.745700; the maximum is
0.863400; the minimum is 0.598100; the standard deviation is 0.062682.
c. The mean CR variable is 1.304195; the median is 1.341800; the maximum is
d. The average TAT variable is 0.704049; the median is 0.628000; the maximum is
e. The mean GS variable is 0.580934; the median is 0.522800; the maximum is
f. The mean GP variable is 0.623098; the median is 0.645700; the maximum is
g. The average DC variable is 0.105263; the median is 0.000000; the maximum is
4.3.2 Classical Assumption Test

a. Normality Test
The following table is the results of the normality test on the initial data:
55
Table 21 Initial Normality Test
50
Series: Residuals
Sample 1 200
40 Observations 152
Mean -2.51e-16
30 Median -0.002335
Maximum 0.276353
Minimum -0.302458
20
Std. Dev. 0.055336
Skewness -0.402519
10 Kurtosis 11.83838
Jarque-Bera 498.8454
0 Probability 0.000000
-0.3 -0.2 -0.1 0.0 0.1 0.2 0.3
Based on the table above, the JB value obtained is 498.8454 with a probability
value of 0.000000. Because the probability value is lower than 0.05, it can be concluded
that the data is not normally distributed. To overcome this problem, a multivariate outlier
test was carried out first. By looking at the RSstudent value obtained, if the value is lower
than -2 or greater than +2, it means that the data is an outlier The result shown in
Appendix 2.
The red numbers in the Appendix 2 table indicate that the data is an outlier so that
the observation data is dropped based on that number. Then the normality test was carried
out again, with the following results:
56
Table 22 2nd Normality Test
12
Series: Residuals
Sample 1 193
10
Observations 145
8 Mean -2.19e-16
Median -0.002226
6 Maximum 0.104169
Minimum -0.087013
Std. Dev. 0.036640
4
Skewness 0.103858
Kurtosis 3.297082
2
-0.075 -0.050 -0.025 0.000 0.025 0.050 0.075 0.100
value of 0.672369. Because the probability value is greater than 0.05, it can be concluded
that the data is normally distributed.
b. Multicollinearity Test
On the same data (n=145) multicollinearity test was conducted by looking at the
correlation value between variables, if the correlation value is greater than 0.9, it means
that there is multicollinearity, while if the correlation value is lower than 0.9, it means
that there is no multicollinearity, with the following results:
Table 23 Multicollinearity Test (Correlation Test)

DAR CR TAT GS GP DC
DAR 1.000000
CR -0.285720 1.000000
TAT 0.202552 0.057187 1.000000
GS -0.410250 -0.329708 -0.063689 1.000000
GP 0.270499 -0.120023 -0.226075 0.039040 1.000000
DC 0.124167 -0.366826 -0.394412 -0.016270 0.198241 1.000000
57
Based on the table above, the highest correlation value between variables is
0.410250, namely the correlation between the DAR variable and the GS variable in a
negative direction. Because there is no correlation greater than 0.9, it means that we
expect there is no multicollinearity in the regression model.
As an additional test, a multicollinearity test is carried out by looking at the Variant
Inflation Factor (VIF) value. The results obtained are as follows:
Table 24 Multicollinearity Test (VIF Test)
Variance Inflation Factors

Date: 08/11/21 Time: 11:49
Sample: 1 193
Included observations: 145
Coefficient Uncentered Centered

Variable Variance VIF VIF
C 0.008726 903.1804 NA
DAR 0.004838 285.9585 1.951738
CR 0.000589 105.8987 1.755726
TAT 9.99E-05 6.108410 1.379752
GS 0.003115 110.6253 1.766497
GP 0.000446 19.11767 1.248104
DC 0.000150 1.608267 1.441895
Based on the table above, all variables have VIF values lower than 10, so it is
concluded that there is no multicollinearity in the regression model.
4.3.3 Best Model Selection
Panel data regression can be done with three models, namely common, fixed effect,
and random effect. The choice of the model depends on the assumptions used by the
researcher and the fulfillment of the correct statistical data processing requirements so
that they can be accounted for statistically. Therefore, the first step that must be done is to
choose a model from the three available.
58
The Chow test determines what method is the most appropriate (common effect or
fixed effect) to estimate panel data. The hypotheses for this test are:
H0 : Common Effect Model

H1 : Fixed Effect Model
Table 25 Chow test
Redundant Fixed Effects Tests
Pool: DATA
Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 6.074762 (3,135) 0.0007
From the table above, it can be seen that the Chow test shows a probability of
0.0000, or <0.05, then H0 is rejected and H1 is accepted. So from this Chow test, it is
recommended to use the Fixed Effect Model.
Next we will do a regression with a random effect model, to determine which model
is the right one. The results of the regression using the random effect model can be seen in
the following table:
Table 26 Random Effect Model Regression Results
Based on the information that appears in the Eviews software, Regression with the
Random model cannot be done because the random effects approach requires that the
number of unit cross sections must be greater than the number of time series.
59
So based on the model specification test using the Chow Test and Hausman Test
above, it shows the best choice using the Fixed Effect Model research model with the
results shows on Appendix 3.
4.3.4 Simultaneous Variable Significance Test (F Test)

The F test is used to determine how much influence the independent variables have
overall in influencing the dependent variable. In making decisions in the F test is to
compare the overall probability of independent variables between independent variables
on the dependent variable with alpha or the degree of confidence used, which is 0.05.
Here are the results of the F test:
Table 27 F-statistic Test
R-squared 0.912596 Mean dependent var 0.175811

Adjusted R-squared 0.906769 S.D. dependent var 0.121118
S.E. of regression 0.035730 Sum squared resid 0.172347
F-statistic 156.6169 Durbin-Watson stat 1.481614
Prob(F-statistic) 0.000000
The estimation results obtained that the probability value of the F-statistic is
0.000000, significant at 5% with the calculated F value of 156.6169. That is, overall the
independent variables DAR, CR, TAT, GS, GP, and DC have an effect on the dependent
variable ROCE.
4.3.5 Individual Parameter Significance Test (t Test)
The t-test was conducted to determine how much influence the individual
independent variables had in explaining their effect on the dependent variable by
assuming the other independent variables were constant. If the probability value < 5%,
then H0 is rejected, the dependent variable is able to explain the independent variable.
However, if the probability value > 5% then H0 is accepted, the dependent variable is not
able to explain the independent variable or in other words it has no effect between the
two variables being tested.
60
Table 28 T-statistic Test
Dependent Standard
Coefficient t-Statistic Probability
Variable =ROCE Error
Β0 1,835726 0,434596 4,223982 0,0000
β1 (DAR) 0,007824 0,071804 0,108957 0,9134
β2 (CR) -0,066494 0,023917 -2,780140 ***0,0062
β3 (TAT) 0,310727 0,011607 26,77178 ***0,0000
β4 (GS) -3,103367 0,754192 -4,114825 ***0,0001
β5 (GP) 0,011775 0,020723 0,568211 0,5708
β6 (DC) -0,005446 0,012232 -0,445259 0,6568
The equation formed from the estimation above can be described by the equation
below:
ROCE = 1,835726 + 0,007824 DAR - 0,066494 CR + 0,310727 TAT - 3,103367 GS +

0,011775 GP - 0,005446 DC
a. The constant value of 1.835726 indicates that if all independent variables are
considered constant or unchanged, then Y (ROCE) is 1.835726.
b. The DAR regression coefficient value of 0.007824 with a positive direction
means that if DAR increases by 1%, ROCE will increase by 0.007824% assuming
other variables remain.
c. The CR regression coefficient value of -0.066494 with a negative direction means
that if the CR increases by 1%, the ROCE will decrease by 0.066494% with the
assumption that other variables remain.
d. The TAT regression coefficient value of 0.310727 with a positive direction means
that if the TAT increases by 1%, the ROCE will increase by 0.310727% assuming
e. The GS regression coefficient value of -3.103367 with a negative direction can be
interpreted that if GS increases 1% then ROCE will decrease by 3.103367%
assuming other variables remain.
61
f. The GP regression coefficient value of 0.011775 with a positive direction means
that if the GP increases by 1%, the ROCE will increase by 0.011775% assuming
g. The DC regression coefficient value of -0.005446 with a negative direction can be
interpreted that if DC increases by 1% then ROCE will decrease by 0.005446%
Also based on the table above, it can be seen that:
a. The t-statistic value for the variable 1 is 0.108957 with a probability of 0.9134 not
being significant at 5%. Because the probability value is > 0.05, it can be seen that
DAR has no significant effect on ROCE.
b. The t-statistic value for the variable 2 is -2.780140 with a significant probability
of 0.0062 at 5%. Because the probability value is < 0.05, it can be seen that CR
has a high significant effect on ROCE.
c. The t-statistic value for the variable 3 is 26.77178 with a significant probability of
0.0000 at 5%. Because the probability value is < 0.05, it can be seen that TAT has
high significant effect on ROCE.
d. The t-statistic value for the variable 4 is -4.114825 with a significant probability
of 0.0001 at 5%. Because the probability value is < 0.05, it can be seen that GS
has high significant effect on ROCE.
e. The t-statistic value for the variable 5 is 0.568211 with a probability of 0.5708 not
being significant at 5%. Because the probability value is > 0.05, it can be seen that
GP has no significant effect on ROCE.
f. The t-statistic value for the variable 6 is -0.445259 with a significant probability
of 0.6568 at 5%. Because the probability value is > 0.05, it can be seen that DC
has no significant effect on ROCE.
The results above show that from several variables that were tested for their effect
on ROCE, the results showed that CR, TAT, and GS had a high significant effect on
ROCE, while DAR, GP, and DC had no significant effect on ROCE. The regression
equation shows that increasing CR by 1% will decrease ROCE by 0.07%, increasing
TAT by 1% will increase ROCE by 0.3%, and increasing GS by 1% will decrease ROCE
62
by 3.1%. So in this study ROCE from SOE infrastructure sector is indicated to be very
sensitive to changes in government shares, with negative effects. This result may indicate
that the share of government ownership in infrastructure companies is already in a
maximum position in the company structure in order to maximize company profitability.
Furthermore, the results of the study also show that government projects that have
no significant effect on ROCE indicate that the level of government projects is not much
different from the level of non-government projects in terms of profit contribution. And
the Covid-19 pandemic in 2020 which had no effect on ROCE indicated the SOE's ability
in the infrastructure sector to maintain profitability levels not much different from the
level before the Covid-19 pandemic.
4.3.6 Coefficient of Determination

The value of the coefficient of determination shows how much the dependent
variable can be influenced by the independent variable. The greater the value of the
coefficient of determination, the greater the influence of the independent variable on the
dependent variable. Here are the results of the coefficient of determination test:
Table 29 Coefficient of Determination

Based on the table above, the coefficient of determination obtained is 0.912596,

meaning that the dependent variable ROCE is influenced by variables DAR, CR, TAT,
GS, GP, and DC by 91.25% while the rest is the influence of other variables not
examined in this study.
63
4.4 Test Effect on SR
4.4.1 Descriptive Analysis
Table 30 Descriptive Statistics

Y_SR X1_DAR X2_CR X3_TAT X4_GS X5_GP X6_MR X7_ROCE X8_DC
Mean 0,079259 0,754341 1,303084 0,698245 0,580277 0,622248 0,015987 0,174111 0,105960
Median -0,008123 0,744991 1,341541 0,619067 0,522800 0,645187 0,020497 0,148288 0,000000
Maximum 2,070000 0,863406 1,633573 2,330390 0,680000 0,964850 0,213764 0,855036 1,000000
Minimum -0,633229 0,598067 0,674549 0,128081 0,510000 0,251028 -0,268860 -0,286531 0,000000
Std. Dev. 0,371045 0,062888 0,174524 0,394552 0,074288 0,166005 0,084330 0,137724 0,308811
Observations 151 151 151 151 151 151 151 151 151
In the table above, the number of observation data listed is 151 data. This happens
because of empty data (no value):
a. ROCE variable in WIKA company in 2012 quarter 2, WSKT in 2011 quarter 1-4
b. Variable GP in JSMR companies in 2011-2020 quarters 1-4, WIKA in 2012
quarters 2, and WSKT in 2011 quarters 1-3
c. GS variable in WSKT companies in 2011 quarters 1-4 and 2012 quarters 1-3;
d. TAT variable in WIKA company in 2012 quarter 2, WSKT in 2011 quarter 1-4
e. CR vaiable in WIKA company in 2012 quarter 2, WSKT in 2011 quarter 1-4 and
in 2012 quarter 1 and 3
f. DAR variable in WIKA company in 2012 quarter 2, WSKT in 2011 quarter 1-4
g. Variable SR in WSKT companies in 2011 quarters 1-4 and 2012 quarters 1-4.
And based on the table above can be drawn descriptive statistics as follow:
a. The mean SR variable is 0.079259; the median is -0.008123; the maximum is
2.070000; the minimum is -0.633229; the standard deviation is 0.371045.
64
b. The average DAR variable is 0.754341; the median is 0.744991; the maximum is
c. The mean CR variable is 1.303084; the median is 1.341541; the maximum is
d. The average TAT variable is 0.698245; the median is 0.619067; the maximum is
e. The mean GS variable is 0.580277; the median is 0.522800; the maximum is
f. The mean GP variable is 0.622248; the median is 0.645187; the maximum is
g. The mean MR variable is 0.015987; the median is 0.020497; the maximum is
0.213764; the minimum is -0.268860; the standard deviation is 0.084330.
h. The average ROCE variable is 0.174111; the median is 0.148288; the maximum
is 0.855036; the minimum is -0.286531; the standard deviation is 0.137724.
i. The average DC variable is 0.105960; the median is 0.000000; the maximum is
4.4.2 Classical Assumption Test
a. Normality test
The following table is the results of the normality test on the initial data:
65
Table 31 Initial Normality Test
20
Series: Residuals
Sample 1 200
16 Observations 151
Mean -1.55e-16
12 Median -0.005663
Maximum 1.052101
Minimum -0.550020
8
Std. Dev. 0.232495
Skewness 0.989127
4 Kurtosis 6.082553
-0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
value of 0.000000. Because the probability value is lower than 0.05, it can be concluded
that the data is not normally distributed. To overcome this problem, a multivariate outlier
test was carried out first. By looking at the RSstudent value obtained, if the value is lower
than -2 or greater than +2, it means that the data is an outlier The result shown in
Appendix 3.
The red number in Appendix 4 indicates that the data is an outlier so that
observation data is dropped based on that number. Then the normality test was carried
out again, with the following results:
66
Table 32 2nd Normality Test
12
Series: Residuals
Sample 1 194
10
Observations 145
8 Mean -8.40e-17
Median -0.015180
6 Maximum 0.496030
Minimum -0.353708
Std. Dev. 0.178936
4
Skewness 0.343486
Kurtosis 2.725638
2
-0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5
value of 0.191472. Because the probability value is greater than 0.05, it can be concluded
that the data is normally distributed.
b. Multicollinearity Test
On the same data (n=145) multicollinearity test was conducted by looking at the
correlation value between variables with the following results:
Table 33 Multicollinearity Test (Correlation Test)

DAR CR TAT GS GP MR ROCE DC
DAR 1.000000
CR -0.258657 1.000000
TAT 0.245668 0.043155 1.000000
GS -0.407000 -0.329592 -0.068479 1.000000
GP 0.247056 -0.085420 -0.171096 0.034907 1.000000
MR -0.093593 -0.019752 0.062580 0.025391 -0.091254 1.000000
ROCE 0.318998 -0.028983 0.916413 -0.165114 -0.079985 0.065481 1.000000
DC 0.045446 -0.318629 -0.347029 0.004580 0.137440 -0.165145 -0.294847 1.000000
67
Based on the table above, the highest correlation value between variables is
0.916413, namely the correlation between the TAT variable and the ROCE variable in a
positive direction. Because there is a correlation greater than 0.9, it means that there is
possibility of multicollinearity in the regression model.
As an additional test, a multicollinearity test is carried out by looking at the Variant
Inflation Factor (VIF) value. The results obtained are as follows:
Table 34 Multicollinearity Test (VIF Test)
Variance Inflation Factors

Date: 08/05/21 Time: 21:15
Sample: 1 194
Coefficient Uncentered Centered

Variable Variance VIF VIF
C 0.222109 949.9852 NA
DAR 0.119300 290.6696 1.907969
CR 0.015544 116.1318 1.824424
TAT 0.011401 32.29790 7.514416
GS 0.082307 120.3808 1.926900
GP 0.010661 18.63101 1.238170
MR 0.038041 1.088224 1.056657
ROCE 0.097851 21.02694 7.404165
DC 0.004184 1.481050 1.358481
Source: Eview data process, 2021
Based on the table above, all variables have VIF values lower than 10, so it is
concluded that there is no multicollinearity in the regression model.
4.4.3 Best model selection
The Chow test is then carried out. The results of the chow test can be seen in the
following table:
68
Table 35 Chow Test
Redundant Fixed Effects Tests

Pool: DATA_B
Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 0.656899 (3,133) 0.5800
From the table above, it can be seen that the Chow test shows a probability of
0.5800, or > 0.05, so H1 is rejected and H0 is accepted. So from the Chow test, it is
recommended to use the Common Effect Model.
Next we will do a regression with a random effect model, to determine which

model is the right one. The results of the regression using the random effect model can be
seen in the following table:
Table 36 Random Effect Model Regression Results
Based on the information that appears in the Eviews software, Regression with the
Random model cannot be done because the random effects approach requires that the
number of unit cross sections must be greater than the number of time series.
So based on the model specification test using the Chow Test and Hausman Test
above, it shows the best choice using the Common Effect Model research model with the
69
results shows in appendix 5. In the use of the common effects model, no F-test is carried
out because in the common model there is no F value.
4.4.4 Individual Parameter Significance Test (t-Test)

The t-test was conducted to determine how much influence the individual
independent variables had in explaining their effect on the dependent variable by
assuming the other independent variables were constant.
Below is a table showing the results of data estimation using the Common Effect
Model :
Table 37 Common effect model Resume
Dependent Standard
Constant t-Statistic Probability
Variable =SR Error
ɤ1 (DAR) 0,132849 0,195138 0,680795 0,4972
ɤ2 (CR) -0,017963 0,081682 -0,219912 0,8263
ɤ3 (TAT) -0,049111 0,111121 -0,441965 0,6592
ɤ4 (GS) 0,024961 0,174849 0,142758 0,8867
ɤ5 (GP) -0,202025 0,107994 -1,870696 *0,0635
ɤ6 (MR) 2,620220 0,204876 12,78927 ***0,0000
ɤ7 (ROCE) 0,377634 0,326852 1,155366 0,2500
ɤ8 (DC) 0,214610 0,066479 3,228227 ***0,0016
The equation formed from the estimation above can be described by the equation
below:
Y = 0.132849 DAR - 0.017963 CR - 0.049111 TAT +0.024961 GS - 0.2202025 GP +

2.620220 MR + 0.377634 ROCE + 0.213432 DC
a. DAR regression coefficient value of 0.132849 with a positive direction can be

interpreted that if DAR increases by 1% then SR will increase by 0.132849%
b. CR regression coefficient value of 0.017963 with a negative direction can be
interpreted that if CR increases by 1% then SR will decrease by 0.017963%
70
c. TAT regression coefficient value of 0.049111 with a negative direction can be
interpreted that if TAT increases by 1% then SR will decrease by 0.049111%
d. GS regression coefficient value of 0.024961 with a positive direction can be
interpreted that if GS increases by 1% then SR will increase by 0.024961%
e. The GP regression coefficient value of 0.22025 with a negative direction can be
interpreted that if GP increases by 1%, the SR will experience a decrease of
0.22025% assuming other variables remain.
f. The value of the MR regression coefficient is 2.620220 with a positive direction,
which means that if MR increases by 1%, the SR will increase by 2.620220%
g. ROCE regression coefficient value of 0.377634 with a positive direction can be
interpreted that if ROCE increases by 1% then SR will increase by 0.377634%
h. The DC regression coefficient value of 0.214610 with a positive direction can be
interpreted that if DC increases by 1%, the SR will increase by 0.214610%
Also based on the table above, it can be seen that:
a. The t-statistic value for the DAR variable is 0.680795 with a probability of 0.4972
not significant at 5%. Because the probability value is > 0.05, it can be seen that
DAR has no significant effect on SR.
b. The t-statistic value for the CR variable is -0.219912 with a probability of 0.8263
CR has no significant effect on SR.
c. The t-statistic value for the TAT variable is -0.441965 with a probability of
0.6592 not significant at 5%. Because the probability value is > 0.05, it can be
seen that TAT has no significant effect on SR.
71
d. The t-statistic value for the GS variable is 0.142758 with a probability of 0.8867
GS has no significant effect on SR.
e. The t-statistic value for the GP variable is -1.870696 with a probability of 0.0635
not significant at 5%. Because the probability value is < 0.10, it can be seen that
GP has marginally significant effect on SR.
f. The t-statistic value for the MR variable is 12.78927 with a significant probability
of 0.0000 at 5%. Because the probability value is <0.05, it can be seen that MR
has a high significant effect on SR.
g. The t-statistic value for the ROCE variable is 1.155366 with a probability of
0.2500 not significant at 5%. Because the probability value is > 0.05, it can be
seen that ROCE has no significant effect on SR.
h. The t-statistic value for the DC variable is 3.228227 with a significant probability
of 0.0016 at 5%. Because the probability value is <0.05, it can be seen that DC
has a high significant effect on SR.
The results above show that of the variables tested for their effect on SR, only GP
has a marginally significant , MR and DC have a high significant effect on ROCE, while
DAR, CR, TAT, GS, GP, and ROCE have no significant effect on SR. The regression
equation shows that an increase in MR of 1% will increase SR by 2.62%, and an increase
in DC of 1% will increase ROCE by 0.2%. So in this study, stock returns from SOE in
the infrastructure sector are indicated to be sensitive to changes in market returns, which
have a dominant effect on stock returns from this sector. These results can strengthen the
theory of Capital Asset Pricing Model which states that the expected return on certain
securities is a positive linear function of the sensitivity of the security to changes in the
return of its market portfolio.
Furthermore, the results of the study also show that the Covid-19 pandemic which
has a positive effect on stock returns indicates that it seems that market players, in
addition to using market returns as the main benchmark, also tend to hold on to optimism
over the performance of SOE in infrastructure sector in the future, taking into account the
government's determination to continue to develop in the infrastructure sector.
72
The value of the coefficient of determination shows how much the dependent
variable can be influenced by the independent variable. The greater the value of the
coefficient of determination, the greater the influence of the independent variable on the
dependent variable. Here are the results of the coefficient of determination test:
Table 38 Coefficient of determination

S.E. of regression 0.195285 Akaike info criterion -0.375122
Sum squared resid 5.224660 Schwarz criterion -0.210888
Log likelihood 35.19635 Hannan-Quinn criter. -0.308388
Durbin-Watson stat 1.843780
Based on the table above, the coefficient of determination obtained is 0.566706,

meaning that the dependent variable SR is influenced by the DAR, CR, TAT, GS, GP,
MR, ROCE, and DC variables by 56.7% while the rest is the influence of other variables
not investigated in this study.
73
CHAPTER 5
CONCLUSIONS AND RECOMMENDATIONS
5.1 Conclusions
Base on the result of the research and discussion in analysis findings, and aligned
with the formulation of the problem described at the beginning of the discussion chapter,
it can be concluded that:
1. Based on the difference test between State Owned Enterprise in the infrastructure
sector and non-State Owned Enterprise in the infrastructure sector listed on the
Indonesia Stock Exchange during 2011 - 2020, it can be seen that there are
differences in leverage (in this case Debt to Asset Ratios), liquidity (Current
Ratios), and Return On Capital Employed (ROCE) between State Owned
Enterprise and non-State Owned Enterprise, while in turnover (Total Asset
Turnover) there is no difference between State Owned Enterprise and non-State
Owned Enterprise. During 2011 – 2020 the average DAR from SOE was 73.91%,
higher than the DAR for non-SOE which averaged 49.07%. Basically this
indicates that the level of leverage risk faced by SOE is greater, because the
higher the debt of a company, the greater the risk of default. This risk also tends
to be greater, especially in the short-term leverage risk, given that the average CR
of SOE is 1.19 times, smaller than the average CR of non-SOE which is 2.42
times. However, in ROCE the average ROCE of SOE is 16.63%, higher than the
ROCE of non-SOE which is 12.09%, which indicates that SOE is more profitable
than non-SOE. With SOE DAR higher than non-SOE, it can be said that SOE in
the infrastructure sector is more capable to optimize its leverage to generate a
higher level of profitability than non-SOE in the infrastructure sector.
2. In term of analyzing factors that affect ROCE (profitability) of State Owned
Enterprise in infrastructure sector listed on the Indonesia Stock Exchange during
2011 - 2020, the coefficient of determination (R2) obtained is 0.912596, meaning
that the dependent variable ROCE of the company is influenced by variables Debt
74
to Asset Ratios, Current Ratios, Total Asset Turnover, Government Share,
Government Project, and Dummy Covid-19 by 91.3% while the rest is the
influence of other variables not examined in this study. Based on the t-test at a
significance level of 0.05, it can be seen that Current Ratios, Total Asset
Turnover, Government Share have a high significant effect on ROCE as
profitability factor. Meanwhile, Debt to Asset Ratios, and Government Project
have no significant effect on ROCE as profitability factor. The regression
equation shows that increasing GS by 1% will decrease ROCE by 3.1%. So in this
study ROCE from SOE infrastructure sector is indicated to be very sensitive to
changes in government shares, with negative effects. This result may indicate that
the share of government ownership in infrastructure companies is already in a
maximum position in the company structure in order to maximize company
profitability. The results of this study also show that government projects that
have no significant effect on ROCE indicate that the level of government projects
is not much different from the level of non-government projects in terms of profit
contribution.
3. In term of analyzing factors that affect Stock Return of State Owned Enterprise in
infrastructure sector listed on the Indonesia Stock Exchange during 2011 - 2020,
the coefficient of determination (R2) obtained is 0.566706, meaning that the
dependent variable Stock Return of is influenced by the Debt to Asset Ratios ,
Current Ratios, Total Asset Turnover, Government Shares, Government Project,
Market Return, ROCE, and Dummy Covid-19 variables by 56.7% while the rest
is the influence of other variables not investigated in this study. Based on the t-
test at a significance level of 0.05, it can be seen that GP has a marginally
significant , and Market Return has a high significant effect on Stock Return of
State Owned Enterprise in infrastructure sector. Meanwhile, Debt to Asset Ratios,
Current Ratios, Total Asset Turnover, Government Share, Government Project,
and ROCE have no significant effect on Stock Return of State Owned Enterprise
in infrastructure sector. These results can strengthen the theory of Capital Asset
Pricing Model which states that the expected return on certain securities is a
75
positive linear function of the sensitivity of the security to changes in the return of
its market portfolio.
4. In term of analyzing factor of Covid-19 pandemic that affect ROCE of State
Owned Enterprise in infrastructure sector listed on the Indonesia Stock Exchange
during 2020, based on the t-test at a significance level of 0.05, it can be seen that
Covid-19 pandemic have no significant effect on ROCE as profitability factor.
This is indicated the ability of SOE in the infrastructure sector to maintain
profitability levels not much different from the level before the Covid-19
pandemic.
5. In term of analyzing factor of Covid-19 pandemic that affect Stock Return of
State Owned Enterprise in infrastructure sector listed on the Indonesia Stock
Exchange during 2020, based on the t-test at a significance level of 0.05, it can be
seen that Covid-19 pandemic has high significant effect on Stock Return. The
regression equation shows that increasing DC by 1% will increase SR by 0,2%.
This result show that the Covid-19 pandemic which has a positive effect on stock
returns indicates that it seems that market players, in addition to using market
returns as the main benchmark, also tend to hold on to optimism over the
performance of SOE in infrastructure sector in the future, taking into account the
government's determination to continue to develop in the infrastructure sector.
5.2 Recommendations
Base on the result gathered from analysis, below recommendations that author consider
can be proposed:
1. For further studies in examining the difference test between State Owned
Enterprise in infrastructure sector and non-State Owned Enterprise in
infrastructure sector, it is recommended to examine other financial ratio variables
besides Debt to Asset Ratios, Current Ratios, Total Asset Turnover, and ROCE
which also represent leverage, liquidity, turnover, and profitability ratios.
2. To conduct a broader research on the factors that affect Stock Returns, because
from this research, it can be seen from the selected variables only Market Returns
and the Covid-19 dummy which have a significant influence on Stock Returns of
76
state owned enterprise in the infrastructure sector. And based on the results of this
study, there are still around 43.3% of variables whose influence on state owned
enterprise in the infrastructure sector has not been detected.
3. The results show that government ownership of infrastructure companies has a
negative effect on company profitability, where the results show that every 1%
increase in government shares will reduce ROCE to 3.1%. From these results, it is
suggested that more extensive research should be conducted on whether State
Owned Enterprise in other sectors have the same trend as State Owned Enterprise
in infrastructure sector.
4. The results of the analysis of the effect on stock returns show the dominance of
the influence of market returns. These results indicate that the company's financial
performance factors are don’t have addequate attention by stock stakeholders.
This can be an input for investors to consider being more proportional in trading
SOE shares in the infrastructure sector by deepening the financial performance of
the company before deciding to trade shares.
5. The results of the study show that on average the levels of DAR and CR of SOE
in infrastructure sector are higher than non-SOE, which indicates a higher future
financial risk faced by SOE related to the potential risk of default on the
company's debt. For this reason, it is hoped that the results of this study can be an
input and challenge for SOE management to adjust the leverage and liquidity
factors of the company in a fairly safe position without reducing the company's
ability to generate profits.
5.3 Theoretical Implications

The study contributes insight to the existing knowledge concerning a financial
performance analysis impact in its positions in market. This paper is representing a
theoretical implication of the factors that affecting stock return and profitability of stated
owner company in infrastructure sector. Numerous of studies has revealed that some
factors i.e. leverage, liquidity, turnover, government share, covid-19 pandemic could
negatively or positively effect the profitability of a company. However, this study has
found that only liquidity, turnover, and government share have effects on profitability.
77
Other of studies has revealed that some factors i.e. leverage, liquidity, government share,
covid-19 pandemic could negatively or positively effect on stock return.. This study
shown that only stock market and covid-19 pandemic have significantly effect on stock
return. This study also revealed that government project has no significanly effect on
profitability either stock return od stated owner company in infrastructure sector.
5.4 Practical Implications

The study findings have established valuable lessons to various stakeholders in the
respect of combining knowledge management and research result which encouraged
management or government to confront the long-term implications of decisions and to
give thought to the potential business impact of discernible current trends, well before the
effects are visible in financial performance. Based on the results of research on
government ownership and government projects, it can be seen that the portion of
government ownership has a negative effect on profitability and does not significantly
affect stock returns, while government projects have no significant effect on both
profitability and stock returns. this can be an input to the government in managing its
ownership in a state-owned company.
78
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Websites:
http://id.citramarga.com
www.adhi.co.id
www.idx.co.id
www.jasakonstruksi.com
www.jasamarga.com
www.nusakonstruksi.com
www.nusantarainfrastructure.com
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www.suryainternusa.com
www.totalbp.com
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www.waskita.co.id
www.wika.co.id
82
APPENDIX
Appendix 1 Raw Data
ADHI (SOE)
DAR CR TAT ROCE GS GP SR
Q1 0,822 1,13931 0,51154 0,08911 0,5228 0,67531 -0,0769
Q2 0,84559 1,10726 0,89415 0,19964 0,5228 0,72326 -0,0476
2011
Q3 0,84731 1,01718 0,95275 0,34292 0,5228 0,76252 -0,3624
Q4 0,83799 1,103 2,33039 0,74542 0,5228 0,79199 0,20505
Q1 0,83183 1,09903 0,39963 0,10832 0,5228 0,66286 0,37931
Q2 0,84596 1,0711 0,73251 0,23125 0,51 0,6493 0,25453
2012
Q3 0,85179 1,20934 1,00563 0,27849 0,51 0,63206 0,16121
Q4 0,84999 1,24443 2,06428 0,53635 0,51 0,64519 0,5501
Q1 0,85565 1,414 0,6586 0,08949 0,51 0,74279 0,76136
Q2 0,85736 1,36741 0,93075 0,20843 0,51 0,77508 0,08016
2013
Q3 0,85383 1,35038 1,03016 0,26497 0,51 0,78484 -0,3609
Q4 0,84071 1,391 1,70534 0,52497 0,51 0,72296 -0,2894
Q1 0,84544 1,37256 0,61689 0,11342 0,51 0,57696 1,10265
Q2 0,84705 1,34298 0,72204 0,15785 0,51 0,60134 -0,1173
2014
Q3 0,84013 1,32414 0,83641 0,1868 0,51 0,59188 -0,042
Q4 0,83253 1,34154 1,32443 0,45612 0,51 0,53698 0,3645
Q1 0,84539 1,30866 0,45215 0,09553 0,51 0,45278 -0,1566
Q2 0,86091 1,25721 0,67927 0,17312 0,51 0,46317 -0,2497
2015
Q3 0,86341 1,24084 0,7184 0,18245 0,51 0,49198 -0,1219
Q4 0,69202 1,56049 0,94832 0,25113 0,51 0,5108 0,09535
Q1 0,68639 1,51934 0,32222 0,04822 0,51 0,51825 0,25234
Q2 0,70106 1,45871 0,42055 0,07463 0,51 0,47489 0,02844
2016
Q3 0,71898 1,34214 0,55563 0,1222 0,51 0,60355 -0,1355
Q4 0,72915 1,29063 1,06907 0,16798 0,51 0,56709 -0,197
Q1 0,72872 1,27457 0,45511 0,09007 0,51 0,66133 0,25066
Q2 0,76263 1,48531 0,50917 0,10826 0,51 0,73659 -0,0817
2017
Q3 0,77285 1,43327 0,57801 0,13285 0,51 0,73042 -0,0698
Q4 0,79282 1,40743 0,90937 0,35242 0,51 0,72768 -0,0525
Q1 0,78193 1,40994 0,46112 0,11842 0,51 0,74416 0,09235
Q2 0,77555 1,42941 0,44384 0,12178 0,51 0,69992 -0,1213
2018
Q3 0,78465 1,41182 0,47274 0,17015 0,51 0,72232 -0,2235
Q4 0,79132 1,34092 0,82652 0,24921 0,51 0,71906 0,14029
83
ADHI (SOE)
Q1 0,78673 1,33917 0,31223 0,06128 0,51 0,71035 0,06625
Q2 0,79667 1,34846 0,3947 0,11392 0,51 0,71956 -0,0407
2019
Q3 0,80041 1,32793 0,43042 0,10509 0,51 0,72271 -0,1577
Q4 0,81284 1,2377 0,69737 0,2006 0,51 0,70136 -0,1049
Q1 0,8458 1,18403 0,33531 0,08555 0,51 0,77045 -0,5314
Q2 0,85339 1,12755 0,26151 0,06553 0,51 0,82227 0,14286
2020
Q3 0,85123 1,1404 0,31217 0,06196 0,51 0,7725 -0,1896
Q4 0,85366 1,11161 0,24885 0,15455 0,51 0,77615 2,07
JSMR (SOE)
Q1 0,55581 1,48702 0,23462 0,14332 0,7 n/a 0,00741
Q2 0,58632 1,17637 0,23554 0,15074 0,7 n/a 0,02178
2011
Q3 0,56598 1,17009 0,24436 0,1237 0,7 n/a 0,15797
Q4 0,56886 1,06054 0,25481 0,11864 0,7 n/a 0,05672
Q1 0,57949 1,30345 0,27918 0,15418 0,7 n/a 0,22606
Q2 0,59156 1,13819 0,32768 0,19875 0,7 n/a 0,06406
2012
Q3 0,59098 1,02004 0,40286 0,15507 0,7 n/a 0,08351
Q4 0,60459 0,68156 0,56183 0,14713 0,7 n/a -0,0684
Q1 0,60469 0,73827 0,3717 0,14553 0,7 n/a 0,09167
Q2 0,61781 0,65117 0,36088 0,14892 0,7 n/a 0,03298
2013
Q3 0,64582 0,97322 0,31583 0,10375 0,7 n/a -0,0579
Q4 0,61691 0,76147 0,4551 0,10733 0,7 n/a -0,1887
Q1 0,63397 0,7519 0,28516 0,1274 0,7 n/a 0,29732
Q2 0,62838 0,7504 0,32214 0,13287 0,7 n/a 0,00924
2014
Q3 0,63557 0,98642 0,27878 0,10876 0,7 n/a 0,07104
Q4 0,64138 0,84429 0,31422 0,10568 0,7 n/a 0,086
Q1 0,65735 0,75082 0,2488 0,11095 0,7 n/a 0,02162
Q2 0,65419 0,79094 0,25993 0,10543 0,7 n/a -0,1447
2015
Q3 0,65025 0,68193 0,26106 0,10232 0,7 n/a -0,1674
Q4 0,66321 0,48155 0,39091 0,16743 0,7 n/a 0,04594
Q1 0,65932 0,47062 0,31468 0,13558 0,7 n/a 0,05753
Q2 0,66674 0,45558 0,37902 0,13468 0,7 n/a -0,0601
2016
Q3 0,67372 0,45287 -0,0265 0,13781 0,7 n/a -0,1067
Q4 0,6946 0,69608 0,76502 0,13173 0,7 n/a -0,0464
Q1 0,72317 0,83921 0,33713 0,12135 0,7 n/a 0,05324
2017
Q2 0,72865 1,14192 0,49241 0,09459 0,7 n/a 0,19299
84
JSMR (SOE)
Q3 0,74142 1,20154 0,58055 0,09109 0,7 n/a 0,04673
Q4 0,76817 0,75955 0,60713 0,07478 0,7 n/a 0,125
Q1 0,776 0,55662 0,45655 0,09642 0,7 n/a -0,2683
Q2 0,77935 0,40639 0,41269 0,08021 0,7 n/a -0,0893
2018
Q3 0,75036 0,5537 0,46217 0,15068 0,7 n/a 0,05083
Q4 0,75492 0,38009 0,46541 0,09424 0,7 n/a -0,0161
Q1 0,75864 0,33697 0,35436 0,10895 0,7 n/a 0,39603
Q2 0,7617 0,31137 0,27646 0,09801 0,7 n/a -0,0342
2019
Q3 0,76375 0,29808 0,31052 0,10282 0,7 n/a 0,00873
Q4 0,7674 0,27964 0,20842 0,11552 0,7 n/a -0,0823
Q1 0,75621 0,37435 0,1653 0,0928 0,7 n/a -0,4566
Q2 0,76531 0,43105 0,10114 0,02252 0,7 n/a 0,52778
2020
Q3 0,76696 0,48778 0,14584 0,06416 0,7 n/a -0,217
Q4 0,76197 0,71714 0,12132 0,04838 0,7 n/a 0,34985
PTPP (SOE)
Q1 0,75972 1,47097 0,47356 0,13624 0,51 0,54767 -0,1
Q2 0,78203 1,38965 0,73692 0,20457 0,51 0,64518 -0,0694
2011
Q3 0,7876 1,37649 0,86654 0,24397 0,51 0,72576 -0,4857
Q4 0,79441 1,30238 1,8966 0,85504 0,51 0,74087 0,4697
Q1 0,78538 1,37039 0,42217 0,11354 0,51 0,62856 0,29897
Q2 0,80856 1,32243 0,71171 0,21969 0,51 0,66935 -0,0081
2012
Q3 0,82289 1,34538 0,9351 0,31656 0,51 0,69846 0,19672
Q4 0,80635 1,35751 1,89986 0,56312 0,51 0,53561 0,13699
Q1 0,81739 1,45743 0,55219 0,09854 0,51 0,88445 0,44578
Q2 0,82648 1,47886 1,17698 0,26322 0,51 0,86356 0,14099
2013
Q3 0,84292 1,43931 1,08583 0,28044 0,51 0,87272 -0,0889
Q4 0,84014 1,35615 1,41767 0,5472 0,51 0,86122 -0,0488
Q1 0,83022 1,36849 0,66357 0,15286 0,51 0,35598 0,5641
Q2 0,8386 1,34348 0,83837 0,2465 0,51 0,36087 -0,0131
2014
Q3 0,8318 1,39638 1,00359 0,31195 0,51 0,36731 0,22472
Q4 0,83642 1,37675 1,26468 0,4647 0,51 0,33135 0,64679
Q1 0,82143 1,47865 0,5699 0,14656 0,51 0,25103 0,03203
2015 Q2 0,78334 1,54509 0,84269 0,19863 0,51 0,33502 -0,0224
Q3 0,77561 1,55411 0,89617 0,24119 0,51 0,38856 -0,0042
85
PTPP (SOE)
Q4 0,73239 1,38834 1,13812 0,35205 0,51 0,42942 0,08089
Q1 0,71832 1,43016 0,55453 0,12204 0,51 0,30152 -0,0181
Q2 0,73523 1,45959 0,75997 0,18266 0,51 0,37344 0,02023
2016
Q3 0,74499 1,41853 0,77846 0,19601 0,51 0,3975 0,08549
Q4 0,65433 1,53313 0,71889 0,20882 0,51 0,44429 -0,0907
Q1 0,64807 1,56417 0,38663 0,06073 0,51 0,49952 -0,1312
Q2 0,63204 1,60505 0,65471 0,15722 0,51 0,53929 0,01496
2017
Q3 0,64661 1,54629 0,63761 0,14323 0,51 0,53348 -0,3021
Q4 0,65912 1,44484 0,74105 0,18466 0,51 0,55913 0,14286
Q1 0,65161 1,58788 0,35064 0,06028 0,51 0,46717 -0,0114
Q2 0,6655 1,62634 0,52878 0,11145 0,51 0,54465 -0,2177
2018
Q3 0,68611 1,51683 0,43444 0,09329 0,51 0,5753 -0,2356
Q4 0,68952 1,41517 0,78651 0,15379 0,51 0,68555 0,18361
Q1 0,68575 1,45046 0,37853 0,06675 0,51 0,69448 0,15235
Q2 0,6934 1,44034 0,43019 0,08328 0,51 0,72902 0,08579
2019
Q3 0,69663 1,43694 0,38942 0,06671 0,51 0,71552 -0,2104
Q4 0,70716 1,36777 0,58123 0,1646 0,51 0,68659 -0,086
Q1 0,7412 1,29977 0,24919 0,02461 0,51 0,65397 -0,6332
Q2 0,73762 1,27675 0,2466 0,0355 0,51 0,65849 0,63248
2020
Q3 0,73614 1,13176 0,24245 0,05055 0,51 0,65639 -0,0896
Q4 0,73805 1,21218 0,43472 0,14087 0,51 0,65758 1,22537
WIKA (SOE)
Q1 0,68952 1,45219 0,95262 0,14324 0,6665 0,57926 -0,0147
Q2 0,69864 1,33847 1,09144 0,13659 0,6641 0,52328 0,00979
2011
Q3 0,71786 1,23099 1,18136 0,22343 0,6641 0,59631 -0,2576
Q4 0,73334 1,1388 1,10474 0,33535 0,6637 0,42257 0,2449
Q1 0,7223 1,08782 0,79218 0,17461 0,6637 0,36386 0,47541
Q2 n/a n/a n/a n/a 0,6637 n/a 0,18627
2012
Q3 0,76289 1,11255 0,85752 0,18366 0,6637 0,38188 0,15238
Q4 0,7429 1,10094 1,25928 0,30002 0,6551 0,39711 0,22314
Q1 0,73749 1,11938 0,92269 0,23004 0,6549 0,30227 0,43581
Q2 0,73438 1,06349 0,9437 0,21361 0,6515 0,3684 -0,0248
2013
Q3 0,74248 1,06704 0,87383 0,20811 0,6515 0,40745 -0,039
Q4 0,74379 1,09534 1,26146 0,33142 0,6515 0,42722 -0,198
86
WIKA (SOE)
Q1 0,73499 1,06399 0,86781 0,20502 0,6515 0,36025 0,51266
Q2 0,68572 1,18332 0,83834 0,17894 0,6505 0,34635 0,12042
2014
Q3 0,68562 1,16913 0,73272 0,13894 0,6505 0,34973 -0,0604
Q4 0,68717 1,12251 0,96961 0,30975 0,6505 0,37959 0,4759
Q1 0,6961 1,14123 0,49159 0,07875 0,6505 0,36269 -0,0871
Q2 0,70746 1,09787 0,65039 0,13295 0,6505 0,43788 -0,1237
2015
Q3 0,71103 1,13114 0,74265 0,22049 0,6505 0,42447 -0,101
Q4 0,72258 1,18521 1,12814 0,28665 0,6505 0,43937 0,00571
Q1 0,7132 1,15946 0,56542 0,10305 0,6505 0,47964 0,00189
Q2 0,7276 1,12214 0,64335 0,16512 0,6505 0,52804 0,09466
2016
Q3 0,73994 1,09899 0,60259 0,14968 0,6505 0,52067 -0,0278
Q4 0,59807 1,47558 0,81418 0,27063 0,6505 0,4771 -0,1571
Q1 0,61046 1,45481 0,46553 0,10368 0,6505 0,66445 0,02119
Q2 0,64919 1,31068 0,61907 0,12691 0,6505 0,65935 -0,0731
2017
Q3 0,67105 1,34547 0,63834 0,13668 0,6505 0,68295 -0,1864
Q4 0,67972 1,34396 0,90187 0,24363 0,6505 0,65353 -0,1341
Q1 0,70634 1,61951 0,49886 0,07801 0,6505 0,701 0,08387
Q2 0,72295 1,59537 0,49738 0,10004 0,6505 0,66007 -0,1954
2018
Q3 0,7296 1,57051 0,56427 0,10472 0,6505 0,67396 -0,0113
Q4 0,70935 1,54168 0,68578 0,17203 0,6505 0,66113 0,26336
Q1 0,6974 1,63357 0,44842 0,08178 0,6505 0,68261 0,30514
Q2 0,70141 1,47039 0,32592 0,06578 0,6505 0,64329 0,14286
2019
Q3 0,70728 1,41935 0,44253 0,1192 0,6505 0,67907 -0,2016
Q4 0,69062 1,39493 0,57421 0,15974 0,6505 0,64621 0,03608
Q1 0,72525 1,24429 0,27485 0,06695 0,6505 0,63922 -0,5622
Q2 0,73003 1,04235 0,19526 0,00329 0,6505 0,63334 0,39773
2020
Q3 0,73678 1,01175 0,21163 0,02535 0,6505 0,63058 -0,126
Q4 0,75543 1,08632 0,36138 0,08053 0,6504 0,51357 0,89391
WSKT (SOE)
Q1 n/a n/a n/a n/a n/a n/a n/a
2011
Q4 n/a n/a n/a n/a n/a 0,44968 n/a
2012 Q1 n/a n/a n/a n/a n/a 0,17876 n/a
87
WSKT (SOE)
Q2 0,88524 1,23624 1,35619 0,24542 n/a 0,56585 n/a
Q3 n/a n/a n/a n/a n/a 0,23057 n/a
Q4 0,7601 1,47203 1,58086 0,4378 0,68 0,75063 n/a
Q1 0,70983 1,62715 0,55215 0,06376 0,68 0,72798 0,63636
Q2 0,74834 1,45162 1,01063 0,16318 0,68 0,73415 0,07237
2013
Q3 0,74865 1,4157 1,02196 0,1634 0,68 0,72468 -0,1948
Q4 0,72879 1,4338 2,06556 0,44375 0,68 0,59664 -0,3468
Q1 0,72155 1,50955 0,50513 0,08248 0,68 0,59293 0,87654
Q2 0,74308 1,42539 0,93999 0,13067 0,6781 0,568 -0,1033
2014
Q3 0,76409 1,35153 0,81673 0,15951 0,6776 0,55915 0,27612
Q4 0,77286 1,3618 1,59662 0,44868 0,6733 0,58444 0,71345
Q1 0,78129 1,34515 0,42868 0,0789 0,6733 0,43468 0,16041
Q2 0,61818 1,53146 0,5561 0,11811 0,6607 0,45536 -0,0086
2015
Q3 0,63851 1,3718 0,58891 0,11847 0,6607 0,51819 -0,0507
Q4 0,67983 1,32273 0,88827 0,17568 0,6607 0,77337 0,05031
Q1 0,71592 1,15474 0,3623 0,0936 0,6607 0,75721 0,21856
Q2 0,74636 1,05832 0,49527 0,17166 0,6604 0,80093 0,23609
2016
Q3 0,67793 1,29365 0,47121 0,11764 0,6604 0,74794 0,048
Q4 0,72693 1,1723 0,6369 0,14829 0,6604 0,62526 -0,0267
Q1 0,70479 1,17968 0,41726 0,10157 0,6604 0,60642 -0,0706
Q2 0,72502 1,06101 0,44301 0,15854 0,6604 0,58691 -0,0431
2017
Q3 0,74963 1,03297 0,59238 0,25268 0,6604 0,93542 -0,204
Q4 0,76756 1,00225 0,68148 0,22802 0,6604 0,95297 0,24507
Q1 0,7797 1,16453 0,44604 0,17912 0,6604 0,96485 0,11765
Q2 0,7769 1,24374 0,35723 0,10176 0,6604 0,9452 -0,1975
2018
Q3 0,79099 1,23548 0,41263 0,11086 0,6604 0,94502 -0,1169
Q4 0,76777 1,17939 0,40377 0,07582 0,6604 0,91543 -0,0118
Q1 0,76985 1,18513 0,26932 0,08904 0,6604 0,91838 0,18155
Q2 0,78235 1,17645 0,18444 0,04454 0,6604 0,90061 0,01998
2019
Q3 0,78704 1,12506 0,21043 0,04702 0,6604 0,88531 -0,1498
Q4 0,76247 1,08916 0,30582 0,02927 0,6604 0,8869 -0,2526
Q1 0,76565 1,01155 0,14334 0,03119 0,6604 0,81249 -0,5854
Q2 0,77362 1,00348 0,13563 -0,011 0,6604 0,88107 0,39216
2020
Q3 0,79445 0,96768 0,12808 -0,0314 0,6604 0,895 -0,2911
Q4 0,843 0,67455 0,16859 -0,2865 0,6604 0,8663 1,88023
88
CMNP (NON-SOE)
Q1 0,3489 5,62351 0,2632 0,15374
Q2 0,34393 4,92184 0,25935 0,16255
2011
Q3 0,03047 9,34676 0,2545 0,2066
Q4 0,32447 6,11817 0,33151 0,09673
Q1 0,31036 8,10521 0,26879 0,13007
Q2 0,30862 7,98206 0,26603 0,21636
2012
Q3 0,3097 13,0656 0,25405 0,14772
Q4 0,33193 9,11794 0,25216 0,09473
Q1 0,32673 12,7883 0,20659 0,12721
Q2 0,33662 19,2609 0,21601 0,10407
2013
Q3 0,32328 3,74325 0,19542 0,13233
Q4 0,31979 3,82288 0,21887 0,10224
Q1 0,30503 4,1188 0,21675 0,13132
Q2 0,30866 3,91758 0,23469 0,09526
2014
Q3 0,293 4,34954 0,21508 0,11968
Q4 0,29711 3,96001 0,35752 0,04708
Q1 0,2841 5,74583 0,31715 0,09702
Q2 0,28916 4,33359 0,29776 0,12858
2015
Q3 0,29402 4,47156 0,16549 0,05984
Q4 0,32571 2,87877 0,2828 0,09346
Q1 0,33822 2,87588 0,31182 0,11594
Q2 0,36975 2,11691 0,5079 0,10746
2016
Q3 0,34959 2,85008 0,37408 0,12371
Q4 0,41 2,88019 0,11605 0,0972
Q1 0,41964 2,40868 0,27133 0,0986
Q2 0,41459 2,50248 0,26195 0,06978
2017
Q3 0,41437 2,81328 0,31466 0,146
Q4 0,47949 2,71251 0,40879 0,04992
Q1 0,483 2,33891 0,22982 0,08936
Q2 0,49885 2,5536 0,2749 0,05791
2018
Q3 0,49134 2,96367 0,25397 0,10011
Q4 0,47796 2,99704 0,49203 0,10087
Q1 0,48982 2,46321 0,22379 0,091
Q2 0,49532 2,17512 0,21981 0,04449
2019
Q3 0,49942 2,44833 0,22609 0,09704
Q4 0,48773 1,54826 0,29306 0,14106
2020 Q1 0,46823 1,61906 0,20377 0,07916
89
CMNP (NON-SOE)
Q2 0,46941 1,419 0,10886 0,04294
Q3 0,44635 1,55623 0,12686 0,06983
Q4 0,40543 2,26979 0,21668 0,05939
DGIK (NON-SOE)
Q1 0,38684 1,85404 0,67353 0,07491
Q2 0,35377 2,20686 0,74322 0,08572
2011
Q3 0,32219 2,52673 0,70764 0,02427
Q4 0,35389 2,30336 0,79234 0,05409
Q1 0,3562 2,24406 0,65519 0,03685
Q2 0,35096 2,28494 0,83287 0,09269
2012
Q3 0,35883 2,20715 0,7187 0,07295
Q4 0,42699 1,77831 0,85962 0,08258
Q1 0,4085 1,79201 0,72638 0,05614
Q2 0,44329 1,76702 0,75198 0,07661
2013
Q3 0,46364 1,66211 0,69965 0,06952
Q4 0,49529 1,56415 0,85771 0,08601
Q1 0,46922 1,63488 0,95399 0,12003
Q2 0,47629 1,58129 1,07988 0,17006
2014
Q3 0,426 1,72208 1,01958 0,08516
Q4 0,45977 1,65395 0,98139 0,13259
Q1 0,45691 1,6755 0,83719 0,0832
Q2 0,4759 1,64908 0,77163 0,04817
2015
Q3 0,50965 1,60211 0,81032 0,06699
Q4 0,48245 1,56435 0,50128 -0,1179
Q1 0,47722 1,54694 0,51803 0,0135
Q2 0,46708 1,55533 0,538 -0,0664
2016
Q3 0,44664 1,6047 0,36432 -0,0267
Q4 0,51209 1,19504 0,99235 -0,0699
Q1 0,50701 1,22338 0,68275 -0,1005
Q2 0,53694 1,11645 0,621 -0,0077
2017
Q3 0,56553 1,07485 1,01984 0,10245
Q4 0,5681 1,07859 0,48535 -0,0149
Q1 0,54955 1,1169 0,53875 -0,1041
2018
Q2 0,54406 1,125 0,47352 -0,0168
90
DGIK (NON-SOE)
Q3 0,5681 1,00626 0,53307 -0,2131
Q4 0,61548 1,16646 0,84232 0,0534
Q1 0,62721 1,15411 0,58585 -0,1253
Q2 0,61717 1,14773 0,47851 -0,144
2019
Q3 0,59745 1,16534 0,72221 -0,0287
Q4 0,49771 1,42597 0,51643 0,18206
Q1 0,48567 1,4317 0,39739 -0,0944
Q2 0,45923 1,55866 0,29228 -0,0399
2020
Q3 0,42329 1,60156 0,37088 -0,0985
Q4 0,41636 1,47041 0,57483 0,03644
JKON (NON-SOE)
Q1 0,54295 1,4559 0,92551 0,05877
Q2 0,57041 1,39613 1,52626 0,1677
2011
Q3 0,60119 1,33147 1,75018 0,2767
Q4 0,61428 1,3408 2,24468 0,45025
Q1 0,58497 1,39319 0,9985 0,09731
Q2 0,5872 1,3337 1,54521 0,18483
2012
Q3 0,60539 1,30398 1,73898 0,30495
Q4 0,60293 1,3427 2,6229 0,51937
Q1 0,61075 1,22586 1,0465 0,09523
Q2 0,61444 1,31842 1,34331 0,19636
2013
Q3 0,54885 1,56659 1,58107 0,23802
Q4 0,52699 1,60401 1,99539 0,38929
Q1 0,52794 1,50701 0,79015 0,06839
Q2 0,5566 1,48147 1,18443 0,14154
2014
Q3 0,54356 1,45694 1,20831 0,20005
Q4 0,54135 1,55505 2,03212 0,41228
Q1 0,53553 1,57692 0,72292 0,05455
Q2 0,54689 1,53145 0,9312 0,0885
2015
Q3 0,54696 1,55869 1,0986 0,22811
Q4 0,4852 1,7914 2,11098 0,38132
Q1 0,45652 1,90192 0,82824 0,05231
2016 Q2 0,50314 1,61545 1,0401 0,08431
Q3 0,50258 1,62388 1,25699 0,27298
91
JKON (NON-SOE)
Q4 0,45083 1,6929 1,64962 0,3194
Q1 0,41326 1,8161 0,73285 0,01596
Q2 0,42442 1,72357 0,97584 0,04422
2017
Q3 0,4746 1,4828 1,17851 0,15935
Q4 0,4282 1,70366 1,55603 0,26434
Q1 0,40192 1,66275 0,50708 -0,0325
Q2 0,44179 1,47823 0,77202 0,03668
2018
Q3 0,50382 1,26677 1,28908 0,2018
Q4 0,46246 1,29822 1,87822 0,3012
Q1 0,47832 1,28207 0,59297 -0,0044
Q2 0,49538 1,26812 0,74299 0,04359
2019
Q3 0,5094 1,27298 1,15835 0,13628
Q4 0,45258 1,35794 1,87051 0,25424
Q1 0,46301 1,34353 0,56945 -0,0184
Q2 0,44404 1,41128 0,50708 -0,0039
2020
Q3 0,43296 1,44174 0,59579 0,05217
Q4 0,41229 1,6252 0,89439 0,16606
META (NON-SOE)
Q1 0,43955 10,2654 0,11137 -0,029
Q2 0,4413 10,1584 0,12334 0,1252
2011
Q3 0,43209 11,6977 0,13195 0,04079
Q4 0,45291 3,14961 0,14658 0,06532
Q1 0,48063 2,37285 0,13438 0,05859
Q2 0,4791 1,86884 0,13661 0,0627
2012
Q3 0,48318 1,81703 0,13556 0,05134
Q4 0,48097 1,80042 0,1403 0,06454
Q1 0,40692 2,96878 0,11349 0,04843
Q2 0,38908 3,10349 0,12257 0,05498
2013
Q3 0,3253 6,27505 0,12145 0,04296
Q4 0,31911 7,46058 0,31884 0,07643
Q1 0,43491 4,77656 0,12695 0,04261
Q2 0,41315 4,91029 0,15944 0,07885
2014
Q3 0,39881 5,32967 0,14941 0,07069
Q4 0,41955 3,3945 0,13357 0,04984
92
META (NON-SOE)
Q1 0,41561 3,44353 0,12698 0,06682
Q2 0,42359 3,56942 0,1208 0,046
2015
Q3 0,43056 3,8354 0,12414 0,06225
Q4 0,4619 2,52798 0,18215 0,0756
Q1 0,482 2,47587 0,12677 0,07296
Q2 0,50032 2,60628 0,11745 0,06585
2016
Q3 0,50022 2,39404 0,11779 0,07434
Q4 0,51247 3,11323 0,36045 0,08052
Q1 0,50342 3,19659 0,12756 0,08083
Q2 0,49483 3,2864 0,12573 0,06663
2017
Q3 0,49883 2,83991 0,13543 0,04871
Q4 0,52348 2,73312 0,18019 0,05357
Q1 0,52424 2,49199 0,15148 0,08239
Q2 0,32086 2,6144 0,28141 0,01216
2018
Q3 0,35053 1,46584 0,20857 0,09485
Q4 0,30807 2,66752 0,12998 0,03881
Q1 0,29182 3,10138 0,14511 0,07461
Q2 0,28464 3,62969 0,17415 0,05953
2019
Q3 0,34957 1,56279 0,58001 0,07556
Q4 0,37098 1,68936 0,40949 0,03956
Q1 0,40811 1,17364 0,57348 0,05069
Q2 0,41935 1,05858 0,09625 0,00689
2020
Q3 0,42959 1,163 0,23321 0,03232
Q4 0,42615 1,28761 0,19446 0,01515
SSIA (NON-SOE)
Q1 n/a n/a n/a n/a
Q2 0,58288 1,36277 0,85978 0,14641
2011
Q3 0,57876 1,37685 0,91553 0,20206
Q4 0,59116 1,66724 0,96274 0,23174
Q1 0,56344 2,1188 1,07781 0,44848
Q2 0,57928 1,58695 0,95642 0,33488
2012
Q3 0,55963 1,39385 0,89977 0,37265
Q4 0,65608 1,72507 0,74674 0,33509
2013 Q1 0,62179 1,73769 0,89156 0,34271
93
SSIA (NON-SOE)
Q2 0,58675 1,9179 0,89655 0,29065
Q3 0,56984 1,95319 0,71329 0,2136
Q4 0,55081 2,00597 0,84794 0,22592
Q1 0,54837 1,87332 0,6274 0,05865
Q2 0,53729 1,88386 0,86877 0,22968
2014
Q3 0,53201 1,97332 0,73078 0,09015
Q4 0,49294 1,67966 0,8078 0,17727
Q1 0,45881 1,81805 0,85192 0,24938
Q2 0,48316 1,65339 0,74281 0,10505
2015
Q3 0,48152 1,6039 0,80094 0,27151
Q4 0,4836 1,56171 0,62638 -0,0728
Q1 0,4557 2,04647 0,73983 0,18506
Q2 0,47054 2,09468 0,56957 0,0464
2016
Q3 0,53344 2,63867 0,51142 0,06503
Q4 0,53404 1,78273 0,43453 0,04109
Q1 0,53384 1,64612 0,44011 0,08605
Q2 0,48944 2,24613 0,34203 1,10154
2017
Q3 0,48951 2,15058 0,35958 0,05785
Q4 0,49423 1,92624 0,41503 0,04194
Q1 0,43055 2,38473 0,46583 0,0493
Q2 0,42846 2,27421 0,3261 0,01853
2018
Q3 0,42454 1,68111 0,61131 0,05626
Q4 0,40777 1,70115 0,55285 0,13116
Q1 0,40637 1,62876 0,44619 0,04304
Q2 0,433 1,54879 0,51997 0,0326
2019
Q3 0,46135 2,17241 0,47271 0,07443
Q4 0,44662 2,36847 0,61169 0,12704
Q1 0,44817 2,32189 0,43163 0,03996
Q2 0,44806 2,11253 0,29847 -0,0322
2020
Q3 0,45781 1,59883 0,33955 -0,0139
Q4 0,44513 1,61277 0,43131 0,12311
TOTL (NON-SOE)
Q1 0,61288 1,52873 1,00875 0,23674
2011
Q2 0,60618 1,51584 0,90904 0,04008
94
TOTL (NON-SOE)
Q3 0,61672 1,48082 0,83093 0,14288
Q4 0,64493 1,40385 0,97624 0,33994
Q1 0,63724 1,40607 0,70921 0,13667
Q2 0,67064 1,38496 1,10562 0,3468
2012
Q3 0,67635 1,40147 1,00028 0,30787
Q4 0,65804 1,4442 0,90032 0,20606
Q1 0,68057 1,41564 0,98376 0,27355
Q2 0,66344 1,48749 1,13459 0,34299
2013
Q3 0,64928 1,5402 0,99294 0,24776
Q4 0,63215 1,57968 0,99116 0,23326
Q1 0,62085 1,60467 0,9724 0,17517
Q2 0,63847 1,5309 1,08897 0,1847
2014
Q3 0,64251 1,46117 0,77856 0,17415
Q4 0,67821 1,29842 0,86931 0,18507
Q1 0,66676 1,34203 0,82955 0,19236
Q2 0,6822 1,27732 0,87524 0,23632
2015
Q3 0,69666 1,26115 0,74445 0,17853
Q4 0,69562 1,25833 0,9052 0,29755
Q1 0,68021 1,2791 0,87736 0,25294
Q2 0,68473 1,25928 0,92227 0,31505
2016
Q3 0,67138 1,25893 0,68998 0,19156
Q4 0,68053 1,28067 0,89028 0,2644
Q1 0,66066 1,33928 0,87607 0,22318
Q2 0,69421 1,26982 1,02074 0,23873
2017
Q3 0,68284 1,3005 0,76505 0,23526
Q4 0,68854 1,26076 1,16389 0,28216
Q1 0,66609 1,35076 0,94276 0,25535
Q2 0,67581 1,31503 0,82606 0,18871
2018
Q3 0,65613 1,40945 0,85794 0,24475
Q4 0,67414 1,37254 0,95222 0,12852
Q1 0,66186 1,43931 0,9916 0,21914
Q2 0,65715 1,46833 0,7335 0,1388
2019
Q3 0,63662 1,50624 0,79949 0,12002
Q4 0,63655 1,42262 0,70878 0,13187
Q1 0,62925 1,45813 0,94587 0,11485
2020 Q2 0,62408 1,469 0,63435 0,04659
Q3 0,62458 1,46276 0,80663 0,12853
95
TOTL (NON-SOE)
Q4 0,6057 1,49094 0,6722 0,14735
Market
Return
Q1 -0,0011
Q2 0,06681
2011
Q3 -0,0777
Q4 0,06988
Q1 0,09718
Q2 -0,0266
2012
Q3 0,06313
Q4 0,02296
Q1 0,12018
Q2 -0,0247
2013
Q3 -0,089
Q4 -0,0301
Q1 0,14094
Q2 -0,0025
2014
Q3 0,02147
Q4 0,0592
Q1 0,04082
Q2 -0,0869
2015
Q3 -0,1552
Q4 0,07436
Q1 0,06745
Q2 0,00145
2016
Q3 0,10964
Q4 -0,0127
Q1 0,05117
Q2 0,04706
2017
Q3 0,01218
Q4 0,07678
Q1 -0,028
Q2 -0,0609
2018
Q3 -0,0117
Q4 0,09475
96
Market
Return
Q1 0,03188
Q2 -0,0179
2019
Q3 -0,0255
Q4 0,0205
Q1 -0,2689
Q2 0,07571
2020
Q3 -0,0095
Q4 0,21376
Appendix 2 Outiler Test 1 (ROCE)

Influence Statistics
Date: 08/05/21 Time: 13:38
Sample: 1 200
Obs. Resid. RStudent
1 -0.055391 -0.998049
2 -0.068545 -1.238542
3 0.047809 0.870115
4 0.020522 0.398220
7 -0.015489 -0.277352
8 -0.089160 -1.674064
9 -0.087302 -1.584163
10 -0.059046 -1.063618
11 -0.035790 -0.643001
12 0.017373 0.317136
13 -0.044102 -0.794026
14 -0.036150 -0.648404
15 -0.044438 -0.795568
16 0.075266 1.358956
21 -0.015119 -0.271797
22 -0.020161 -0.361454
23 -0.029499 -0.528132
24 -0.145868 -2.685645
25 -0.037408 -0.672902
26 -0.023339 -0.417067
27 -0.022964 -0.409508
28 0.092288 1.659981
31 0.047447 0.848556
33 -0.015181 -0.271715
40 0.104766 1.947008
81 0.025788 0.460523
84 0.276353 5.666931
86 0.020522 0.365407
87 0.048128 0.859896
89 -0.053191 -0.961146
97
90 -0.081571 -1.487028
91 -0.037733 -0.682669
92 0.119312 2.202787
94 0.029638 0.537302
95 0.045873 0.831389
96 0.117667 2.172394
97 0.028873 0.534594
100 0.031720 0.569134
104 0.023596 0.426495
105 -0.021571 -0.390584
107 -0.021417 -0.387736
108 -0.020107 -0.363802
112 -0.072580 -1.316411
113 -0.029690 -0.535473
114 -0.031534 -0.568652
115 -0.034487 -0.621377
120 0.037897 0.699428
121 -0.079339 -1.432220
122 -0.134243 -2.450767
123 -0.086138 -1.554893
124 0.054950 0.990555
127 -0.016117 -0.290669
128 -0.032063 -0.579787
130 -0.021843 -0.394623
134 -0.017754 -0.319657
135 -0.025737 -0.463766
136 0.065727 1.192551
139 0.047594 0.855647
141 -0.015193 -0.271732
142 0.017883 0.319640
144 0.087439 1.599749
145 0.018558 0.335713
148 0.019433 0.347321
150 0.023614 0.429006
152 0.031483 0.566865
153 0.020191 0.367444
154 0.033946 0.609746
155 0.045422 0.813073
156 0.043450 0.775827
157 0.058981 1.091064
159 0.022289 0.408533
160 0.043964 0.811932
168 0.018335 0.339107
169 -0.023740 -0.435600
170 -0.078243 -1.424916
171 -0.083553 -1.518329
172 -0.124143 -2.390694
174 -0.081442 -1.477537
175 -0.017032 -0.306308
176 0.025452 0.465241
177 0.031409 0.575950
178 0.025957 0.469592
180 -0.049743 -0.896509
181 0.025599 0.459522
182 0.054777 0.989954
183 0.022599 0.404870
98
185 0.026086 0.466464
186 0.069313 1.252443
187 0.095696 1.761690
188 0.041163 0.753091
189 0.077927 1.420993
190 0.035056 0.635174
191 0.027257 0.493864
193 0.046850 0.849459
194 0.030479 0.553202
195 0.022476 0.407762
196 -0.029733 -0.538650
197 0.044031 0.808256
199 -0.019546 -0.359461
200 -0.302458 -6.432385
Appendix 3 Fixed Effect Model Statistical Analysis Results (ROCE)

Dependent Variable: Y?
Method: Pooled EGLS (Cross-section weights)
Date: 08/05/21 Time: 20:00
Sample: 2011Q1 2020Q4
Cross-sections included: 4
Total pool (unbalanced) observations: 145
Linear estimation after one-step weighting matrix
White cross-section standard errors & covariance (d.f. corrected)
Cross sections without valid observations dropped
Variable Coefficient Std. Error t-Statistic Prob.
C 1.835726 0.434596 4.223982 0.0000

DAR 0.007824 0.071804 0.108957 0.9134
CR -0.066494 0.023917 -2.780140 0.0062
TAT 0.310727 0.011607 26.77178 0.0000
GS -3.103367 0.754192 -4.114825 0.0001
GP 0.011775 0.020723 0.568211 0.5708
DC -0.005446 0.012232 -0.445259 0.6568
Fixed Effects (Cross)
_ADHI--C -0.205366
_PTPP--C -0.207816
_WIKA--C 0.206284
_WSKT--C 0.253538
Effects Specification
Cross-section fixed (dummy variables)
Weighted Statistics

99
Unweighted Statistics

Sum squared resid 0.175741 Durbin-Watson stat 1.471969
Appendix 4 Outlier Test 2 (SR)

Influence Statistics
Date: 08/05/21 Time: 20:54
Sample: 1 200
Obs. Resid. RStudent
2 -0.273540 -1.174169
3 -0.089915 -0.389572
6 0.337215 1.452873
7 -0.107524 -0.455609
8 0.379952 1.705547
9 0.277619 1.203730
11 -0.146828 -0.627632
12 -0.288686 -1.255142
13 0.540748 2.364460
14 -0.207029 -0.880046
15 -0.197352 -0.836970
17 -0.403209 -1.748415
18 -0.097431 -0.419418
19 0.257536 1.122287
21 0.135402 0.576775
22 0.105312 0.446707
23 -0.373461 -1.599777
25 0.222506 0.949430
26 -0.197239 -0.835510
28 -0.302130 -1.295420
29 0.213096 0.902240
30 0.099512 0.420889
31 -0.165964 -0.702760
32 -0.145077 -0.613006
36 -0.156159 -0.659616
38 -0.422951 -1.862709
39 -0.494723 -2.180193
40 1.052101 5.177230
81 -0.097238 -0.410627
82 -0.280235 -1.184190
83 -0.218765 -0.927350
84 0.249436 1.222393
90 0.169608 0.732993
91 0.136867 0.588864
94 -0.151905 -0.651832
96 0.284591 1.250590
97 -0.279305 -1.229369
98 0.134305 0.578118
99 0.394623 1.720028
100
100 -0.136815 -0.581602
101 -0.220102 -0.941984
103 -0.274356 -1.168729
105 -0.152944 -0.655950
107 -0.188259 -0.807297
109 0.202376 0.869147
113 0.214094 0.915401
114 0.305989 1.313032
118 0.170265 0.743756
119 -0.231921 -1.014569
120 0.331467 1.492923
122 -0.225358 -0.976881
125 0.146805 0.627938
127 -0.136990 -0.584797
128 0.100547 0.430002
131 0.225892 0.972141
132 -0.138661 -0.593169
134 0.150436 0.641425
135 -0.099668 -0.424742
136 0.327712 1.415478
137 -0.188249 -0.804883
138 0.196132 0.842212
139 0.417644 1.827208
140 -0.256829 -1.093475
141 -0.191196 -0.810496
142 0.112170 0.474368
143 -0.373180 -1.597559
146 -0.098034 -0.415933
147 -0.139360 -0.588968
148 -0.323033 -1.376781
149 0.129432 0.556875
153 0.164581 0.710457
154 0.198335 0.844203
155 -0.110177 -0.466662
158 -0.111285 -0.483239
159 -0.363325 -1.587826
160 -0.148684 -0.666477
169 0.175295 0.770439
172 -0.367282 -1.699193
173 0.332109 1.450016
174 -0.210654 -0.906691
176 0.369469 1.618672
177 -0.140814 -0.611480
178 0.325033 1.405264
179 0.532370 2.332289
180 -0.103588 -0.442395
182 0.304918 1.310551
183 -0.203455 -0.867447
185 -0.177021 -0.749746
186 -0.139323 -0.595775
187 -0.136600 -0.595035
188 0.086236 0.373445
189 0.237597 1.028595
191 -0.093089 -0.398953
192 -0.284015 -1.220648
193 0.111117 0.476565
101
194 0.090125 0.386961
196 -0.254449 -1.093933
198 -0.121872 -0.530641
199 -0.550020 -2.440574
200 0.901535 5.016176
Appendix 5 Common Effect Model Statistical Analysis Results (SR)

Dependent Variable: Y?
Method: Pooled Least Squares
Date: 08/12/21 Time: 14:16
Sample: 2011Q1 2020Q4
Cross-sections included: 4
Total pool (unbalanced) observations: 145
Cross sections without valid observations dropped
Variable Coefficient Std. Error t-Statistic Prob.
DAR 0.132849 0.195138 0.680795 0.4972

CR -0.017963 0.081682 -0.219912 0.8263
TAT -0.049111 0.111121 -0.441965 0.6592
GS 0.024961 0.174849 0.142758 0.8867
GP -0.202025 0.107994 -1.870696 0.0635
MR 2.620220 0.204876 12.78927 0.0000
ROCE 0.377634 0.326852 1.155366 0.2500
DC 0.214610 0.066479 3.228227 0.0016

102
STATEMENT LETTER
The undersign is:
Name : Helmi Adarn
NIK t9 23 20 35
Address Dusun Krajan, RT 051RW 05, Kelurahan Benculuk, Kecarnatan Cluring.
Kabupaten Banyurvangi. Provinsi Jawa Timur
Hereby declare that:
1. The manuscript lias not been published or are in the process of submission in the cther
journals.
2. Scientific paper is free of plagiarism.
If it is found in the future that there is plagiartsm or other abuses in the submitted paper, I anr
willing to accept the sanctions in accordance with the provision of ths legislation.
Sincerely
Helmi Adam
103
PAPER APPROVAL FORM
Title Comprehensive research on Financial and Stocks Pedbnrance of SOE in

Infrastructure Sector in Indonesia and Their Comparison to Non-SOE in
Infiastructure Sector Before and During Pandemic Covid-19 Era
Author Helmi Adam
This paper has been revised in accordance with the reviewer(s) recommendations, and this paper
I approve to published in any reputable joumals.
Jakarta, September 06, 2027
Prof.Ir. Roy Sembel, MBA, Ph.D., CSA.
104
JOURNAL PAPER
Comprehensive research on Financial and Stocks Performance of SOE

in Infrastructure Sector in Indonesia and Their Comparison to Non-SOE in Infrastructure
Sector Before and During Pandemic Covid-19 Era
Helmi Adam, Roy Sembel, Melinda Malau

IPMI International Business School
helmi.adam@ipmi.ac.id
roy.sembel@ipmi.ac.id
melindamalau_1982@yahoo.com
ABSTRACT
In recent years, the Indonesian government has continued to actively develop the infrastructure sector, even
during the COVID-19 pandemic. The government's role includes ownership of several infrastructure sector
companies and government-financed projects. However, until now no research has been found on the financial
performance and shares of government-owned infrastructure companies covering aspects of government
ownership and government projects, including during the COVID-19 pandemic. So the purpose of this study is
to analyse the financial performance of SOE of infrastructure sector listed in Indonesian Stock Exchange, to
compare the financial performance position against non-SOE in infrastructure sector, and to analyse factors
that affect stock return as well as to analyse factors that affect profitability of SOE in infrastructure sector,
some selected ratios has been used. The factors are Debt to Equity ratios, Current ratios, Total Asset Turnover
ratios, Return On Capital Employed, Government Share, Government Project, Market Return and Stock
Return. This research also analyse effect of Covid-19 pandemic. The research is using quantitative research
method which is coparison test, effect test, and also purposive sampling. The samples consist of 440 quarterly
financial reports of the company (from 2011 up to 2020) from 11 companies which is five companies are SOE
and six companies are non-SOE. Based research finding on analysing the financial performance, SOE in
infrastructure sector have a relatively good financials performance compared to non-SOE in infrastructure
sector, that SOE in infrastructure sector is more capable to optimize its leverage and liquidity to generate a
higher level of profitability than non-SOE in the infrastructure sector. In term of analysing factors that affect
ROCE of SOE, this study found that Current Ratios, Total Asset Turnover, Government Share have a high
significant effect on ROCE. Total Asset Turnover has positive effect, while Current Ratios and Government
share have negative effect. In term of analysing factors that affect Stock Return of SOE,from all the selected
independent variables, this study found that only Government Project has a marginally significant and Market
Return and Dummy Covid-19 have a high significant for Stock Return of State Owned Enterprise in
infrastructure sector. This study revealed that covid-19 pandemic has positive effect on market return, but does
not have effect on profitability of SOE in infrastructure sector. This study also revealed that government share
has negative effect on profitability but does not have effect on market return of SOE in infrastructure sector,
while government project has no significanly effect on profitability but become marginally significant on stock
return of stated owner company in infrastructure sector.
Keywords : SOE infrastructure sector, ROCE, stock return, government support, Covid-19 pandemic
105
1. INTRODUCTION
One of the business sectors that is interesting to observe, especially in Indonesia, is the infrastructure
sector. In today´s globalized world, business performance represents one of the most important indicators
to measure how successful a company is. Business performance should be measured to keep the company
successful in current stage and as well as in the future time (Lenka, 2017). The availability of infrastructure
is one of the main factors supporting modern society. Every business sector requires a guaranteed supply of
energy, water, communications and transportation to carry out production activities. If it is not available,
the country's productivity will be lower and so will economic growth in the end. Infrastructure is widely
recognized as one of the key factors affecting economic growth and facilitating the reduction of inequality
and poverty levels, especially in developing countries (Advisory, 2018). In addition, the World Bank's
Indonesia Economic Quarterly in June 2011 stated that Indonesia's low infrastructure is one of the obstacles
to increasing economic growth. Indonesia ranks low when compared to other countries in terms of the
quality of infrastructure and inadequate provision of infrastructure, which hinders several companies from
operating and investing. Following up on this matter, the government is committed to establishing
infrastructure as one of the priorities.
In 2020, the world is facing a global pandemic caused by a new virus named Severe Acute Respiratory
Syndrome Coronavirus-2 (SARS-CoV-2) with the disease named Coronavirus 2019 or Covid-19 (WHO,
2020). The Covid-19 pandemic affected the way of the global economy works between health, public
service, economics, politic, agriculture, transportation, and education that caused major economic and
financial crisis (Lucchese & Pianta, 2020). However, it is interesting to observe that the Indonesian
government still makes infrastructure development one of its priorities to boost national economic growth
and recovery. This can be seen from the budget allocation for the Ministry of PUPR in 2021, which reaches
around Rp. 149.8 trillion, the highest among all Ministries / Agencies. Apart from the budget from the
APBN, cooperation and the role of all stakeholders, including the private sector, the Cooperation between
the Government Business Entities (PPP) and the Regional Government (Pemda) are still needed, related to
infrastructure financing. (https://bpiw.pu.go.id)
Research on infrastructure sector companies in Indonesia has been conducted, among others, by Ringo
(2017) who examined the effect of leverage and profitability on share returns in utility and transportation
infrastructure sector companies registered in Indonesia Stock Exchange during 2011 - 2015. The results
showed that the Leverage variable (DER) had no effect on stock returns and the Profitability (ROA)
variable had a positive effect on stock returns of Utilities and Transportation Sector Companies. While
research on the impact of covid-19 on business in Indonesia has also been carried out by Taufik and
Ayuningtyas (2020) who examined impact of the Covid-19 pandemic on online platform-based-business
activities in Jakarta, and Rosita (2020) which tries to analyse the extent of the influence of the Covid-19
pandemic on MSMEs in Indonesia. This study found that business activities that developed during the
pandemic were telecommunications, online platform providers/vendors, pharmaceuticals, health products
through online-based business platform adjustments. Research on the pandemic impact of covid-19 on the
stock market index and return of stock market index was also conducted by Sutrisno et al. (2021) on several
indices of countries listed on ASEAN exchanges that have property and consumer sectors. The results show
that there is a relationship between the COVID-19 pandemic and stock index returns in these countries as
well as for the consumer and property sectors in ASEAN Exchanges with heterogeneous returns and an
inefficient distribution of risk levels.
1.1 Problem Statement

Stakeholders, especially the government, company management, investors and academics need more in-
depth information about the performance of companies in the infrastructure sector, especially those owned
by the government, both in terms of performance comparisons with private companies, profitability
performance, and stock performance. So this paper would like to propose the following problems:
1. State owned enterprises in Infrastructure sector are faced with intense competition with equal or
stronger competitors of non-state owned enterprises in Infrastructure sector who have
capabilities to compete for market share.
106
2. Investors need to have more accurate and accountable information of financial and stocks
performance regarding state owned enterprises in Infrastructure sector prior placing the
investment.
1.2 Research Questions

Based on the problem statement, this paper would like to answer the following questions:
1. How is the financial performance of state owned enterprises in Infrastructure sector compared to
non-state owned enterprises in infrastructure sector?
2. How is the influence of financial ratios and the role of government to profitability of state owned
3. How is the influence of financial ratios and the role of government to stock return of state owned
enterprises companies in Infrastructure sector?
4. How is the influence of Pandemic Covid-19 to profitability of state owned enterprises in
5. How is the influence of Pandemic Covid-19 to stock return of state owned enterprises in
1.3 Scope of the Study

This research is limited to state owned enterprises in infrastructure sector that listed on the Indonesian stock
exchange. The research method is using quantitative method, followed by the main data collection
techniques. This research focused on companies in infrastructure sector that listed in Indonesia Stock
Exchange with data collections range from 2011 to 2020. This research uses ROCE (Return of Capital
Employed) ratio as profitability factor.
2. LITERATURE REVIEW
2.1 Introduction
Every party that has a relationship with the company deeply have an interest in company performance. The
importance of measuring company performance can be explained by two theories, namely agency theory
and signaling theory. Agency theory explains that in a company there are two interacting parties. These
parties are company owners (shareholders) and company management. Companies that separate
management and ownership functions will be vulnerable to agency conflict because each party has
conflicting interests, namely trying to achieve their own prosperity (Jensen and Meckling, 1976). To
minimize potential conflicts between their owners and management, they enter into an employment
contract agreement. This employment contract regulates the proportion of rights and obligations of each to
achieve the expected utility. From the owner's perspective, the agreement is expected to maximize the
owner's utility, while from the management perspective, the agreement is expected to satisfy and guarantee
management to receive compensation for the results of the company's management. And all of those
benefits are based on company performance. The owner demands a return on the investment entrusted to
manage by management, and management must provide satisfactory returns to the owners of the company,
because the compensation received by the management is measured by it.
The second theory that explains the importance of performance measurement is the signal theory (signaling
theory). According to Spence (1974); Sari and Zuhrotun (2006), the signal theory (signaling theory)
explains why companies have the urge to provide financial report information to external parties. This
impulse arises because of the presence of asymmetric information between the company (management) and
outside parties, where management knows the company's internal information which is relatively more
abundant and faster than outsiders such as investors and creditors. Lack of information obtained by
outsiders about the company causing outsiders to protect themselves by assigning low value to the
company. Companies can increase company value by reducing asymmetric information, one way is by
providing signals to outsiders in the form of reliable financial information so as to reduce uncertainty about
the company's prospects in the future. It is clear that the measurement of the company's financial
performance is crucial in the relationship between management and owners or investors (Oktaviana 2014).
107
2.2 Financial Ratio Analysis
Financial ratios analysis is one way of processing and interpretation of accounting information
expressed in both relative and absolute terms to carry out a specific relationship between a number
and other numbers from a financial statement. (Munawir 2009). To analyse company performance in
financial side certain ratios usually used such as Return on Assets, Return on Equity, Asset Turnover, Debt
Equity Ratios, Financial Leverage, and Current ratios. This research will be focused on Leverage Ratio,
Liquidity Ratio (Current Ratio), and Total Asset Turnover Ratio.
Leverage ratio is a ratio that measures the ratio of funds provided by the owner with funds that the
company borrows from creditors. This ratio shows the company's ability to meet its financial obligations,
both short and long term. (Abdul, 2013; Malau and Murwaningsari, 2018). Liquidity Radio defined as the
ability of a company to fulfill a short term obligation in a timely manner. There are several liquidity
ratios that can be used to analyse a company, namely Current Ratio, Cash ratio, and Quick Ratio. (Fahmi,
2011). Total asset turnover ratio is a comparison between sales and total assets. This ratio is a ratio that
measures ability the company generates sales based on its assets company. the greater this ratio the better
because the company is considered effective in manage its assets. (Harahap, 2009).
2.3 Government Share and Government Projects

The portion of government ownership in a company is believed to have an influence on the company's
performance. There has been much debate on the effect of government ownership on firm performance. On
the one hand, state ownership is argued to bring a ‘helping hand’ which assumes that the higher proportion
of state ownership in a firm, the more capital subsidy is provided by the government. On the other hand,
state ownership is supposed to bring a ‘grabbing hand’ which assumes that the government will extract
more of firm’s profit as a result of its ownership to the benefit of politicians and bureaucrats (Tian and
Estrin, 2008).
Theoretically, Huang and Xiao (2012) argue for a net negative effect of government ownership and propose
that less state ownership will result in an improvement in firm profitability and productivity. Shleifer and
Vishny (1994) develop a game-theoretical model assuming state ownership bringing subsidies and bribes
between the government and firms. They argue that firm performance may be damaged with heavy
regulation by politicians, using the power of control to pursue political objectives.
2.4 Stock Return

Stock market returns are the net profit and loss resulted from an investment in the stock market by investor
(Amogha and Suresh, 2019). Analyzing factors that affects stock return using fundamental analysis will
enable to provide a useful parameter for investors to decide about their investment in capital market
(Shakeel and Ali, 2018), where it is used to predict the movement of stock prices. This is due to the
fundamental analysis can reflect the company's condition and even to foresee future prospects of the stock
return. The higher the financial performance could be reflected by higher the stock price in a stock market
(Elliott & Schaub, 2006; Brealey et al., 2007; Tandelilin, 2010).
Yana (2016) found that the Leverage Ratio has a significant effect on stock returns. While Naibaho and
Sembel (2018) discover that market return has marginally significant effect on stock return. Hasanah and
Sucipto (2019) on they study on food and beverage sub sector listed in Indonesia Stock Exchange indicate
that liquidity ratios have a negative impact on stock returns, while the profitability and solvency ratios have
no effect on stock returns. Based on research conducted by Jabbari and Fathi (2014) that between stock
returns and asset turnover ratio there is a significant positive relationship.
Profitability also demonstrates a company's ability to gain profit from the amount of funds invested in
overall assets (Puspitaningtyas, 2017). This measurement demonstrates a company's ability to manage its
own resources to earn a return on equity (profitability). Sebnem and Vuran (2012) revealed in their study in
regard to factors that affecting stock return and the concluded that stock returns are affected by various
108
2.5 Return On Capital Employed (ROCE)
Return on capital employed (ROCE) ratio compares a firm’s earnings from its primary operations with the
capital invested in the company and can serve as a reliable measure of corporate performance (McClure,
2010). ROCE provides a means of measure to determine how well a company invests funds in its basic
business operation (Eilon, 1992). The financial ratio used to express ROCE uses Operating Income in the
numerator and Capital Employed in the denominator (Elliott & Elliot, 2001).
Capital employed is the total amount of share capital and debt that a company has and uses (Scarlett, 2006);
it refers to the amount of assets that contribute to a company’s ability to generate revenue. It represents the
financial resources necessary for the company to continue functioning and engage in its primary task of
revenue generation (Eilon, 1988). Although capital employed has many definitions, it is commonly defined
as Total Assets less Current Liabilities (Robinson, 2011). ROCE is widely used as a performance measure
in the profit-seeking sector (Rutherford, 2002) and is commonly employed in making intra- and inter-
organisational comparisons (Drury, 2000; Skinner, 1990). The objective usually is to maximise this ratio.
As the ROCE ratio gives an indication of management’s ability to effectively allocate capital (White et al.,
1998), it should be useful as a screen to indicate profitable companies. The nature of a firm’s competitive
advantage stems from its basic business function and ROCE measures how well a company invests in its
core operation. A high ROCE should typically be indicative of a company that is both well-managed and
profitable. (Styren, 2012)
2.6 Research Hypotheses

Based on the literature review the taking after is hypothesized:
H1: The financial performance of state-owned companies in the infrastructure sector
and other companies in the infrastructure sector is identical and does not differ.
One of the ways to improve company profit is through leverage, using debt as instruments to anticipate
level of return on company's equity would increase. High debt level causes significant positive impact on
ROE or profitability (Vintila and Duca, 2012; Malau, 2020). The higher the amount of debt employed by a
firm the higher its financial leverage. A higher degree of financial leverage means high interest payments
which negatively affect the company’s bottom line (Olang, 2015).
H2: Leverage positively affect profitability of state owned enterprises in Infrastructure sector.
This is to measures liquidity by using the current ratio indicator to measure the company's ability to pay
current liabilities with current assets. The higher the current ratio means the better the company's ability to
pay off its short-term liabilities. The higher the current ratio of a company means the less risk of a
company's failure to meet its short-term liabilities (Puspitaningtyas, 2017). Return on equity or profitability
is not significantly affected by the three ratios: current ratio, quick ratio, liquid ratio (Manyo and Ogakwu,
2013). The positive impact of LDR (loan to deposits ratio) on bank profit supports the theory that liquidity
positively influences profitability (Valverde and Fernandez, 2007)
H3: Liquidity positively affect profitability of state owned enterprises in Infrastructure sector.
The total asset turnover ratio is an instrument to measures a company’s ability on using its assets to
efficiently generate sales. Those assets include fixed assets, like plant and equipment, as well as inventory,
accounts receivable, as well as any other current assets (Vintila and Duca, 2012). Okwuosa (2005)
mentioned that the total asset turnover indicates the efficiency of the enterprise in utilization on total assets
to generate income. The higher the number of times turnover, the more efficient the enterprises will be
deemed to be in the utilization of assets to generate income.
H4: Turnover positively affect profitability of state owned enterprises in Infrastructure sector.
The portion of government ownership in a company is believed to have an influence on the company's
performance. Empirically, the evidence for this line of research is mixed. Some studies report a positive
effect (Jiang et al., 2008; Liao and Young, 2012; Xu and Wang, 1999) or an inverse U-shape effect of
government ownership on firm performance (Sun et al., 2002), while some studies present a negative effect
(Chen et al., 2005, Lin et al., 2009, Qi et al., 2000, Sun and Tong, 2003, Wei, 2007, Tran et al., 2014) or a
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Ushape of state ownership on firm performance (Gunasekarage et al., 2007, Hess et al., 2010, Ng et al.,
2009, Tian and Estrin, 2008, Wei and Varela, 2003; Wei et al., 2005).
H5: Percentage of government share negatively affect profitability of state owned enterprises in
In previous studies, government share is usually integrated with government projects, so in this study it is
attempted to separate the two as one of the contributions of this study.
H6: Government Project negatively affect profitability of state owned enterprises in Infrastructure
sector.
The COVID-19 pandemic has harmed the national economy and caused a decline in various businesses'
financial performance. Devi et.al (2020) study of firms in Indonesia stock exchange indicated that
property, real estate and building construction, finance, trade, services, and investment sectors
experiencing a decrease in the liquidity and profitability ratios.
H7: Covid-19 negatively affect profitability of state owned enterprises in Infrastructure sector.
Leverage refers to financing methods of a company and its ability to meet its financial obligations, and it is
measured by debt ratios (total debt to total assets ratio), debt to equity ratio, and the profit effect of
financial leverage (Lenka, 2017). This is to determines the use of additional resources that can lead to
increase the stock return of a company.This also called as the equity multiplier (Vintila and Duca, 2012).
Variance of stock returns is positively related to the firm’s financial leverage (Aharon and Yagil, 2019).
However, based on research performed by Abdullah (2013), that he revealed that there is negative
significant impact of Debt to Equity Ratio on Stock Return which elucidate that highly leverage firms have
less stock prices as compared to low leverage firms.
H8: Leverage negatively affect stock return of state owned enterprises in Infrastructure sector.
Liquidity using Current Ratios indicates a company's ability to pay short-term financial liabilities. A high
level of liquidity reflects the company's financial condition in good condition. If the level of liquidity is
low, it will create an illiquid financial condition. However, too high levels of liquidity can also have a
material adverse effect on the financial condition, as it reflects the availability of overly high current assets
or indicates a lot of idle funds (Puspitaningtyas, 2017; Puspitaningtyas & Kurniawan, 2012). Ulupui (2007)
empirical evidence shows that Current Ratios has positive and significant impacts towards stock returns.
However, not in line with the results of the study held by Hernendiastoro (2005) in which the Current
Ratios does not have any significant effects towards stock returns.
H9: Liquidity positively affect stock return of state owned enterprises in Infrastructure sector.
The asset turnover ratio also can be used as an indicator of the efficiencies; therefore, the operating
performance of a firm can be examined with the use of operating efficiency ratios. Efficiency ratios will
help to evaluate on how the firm uses its assets and capital measured by sales generated by various asset
and capital components. (Vintila and Duca, 2012). Based on research conducted by Jabbari and Fathi
(2014) that between stock returns and asset turnover ratio there is a significant positive relationship.
H10: Turnover positively affect stock return of state owned enterprises in Infrastructure sector.
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. Dolly et.al (2019) reveal that the
performing stocks came from the construction sector and the pharmaceutical sector.
H11: Percentage of government share negatively affect stock return of state owned enterprises in
In previous studies, government share is usually integrated with government projects, so in this study it is
attempted to separate the two as one of the contributions of this study.
H12: Government Project negatively affect stock return of state owned enterprises in Infrastructure
sector.
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Covid-19 believed affects investors behavior in stocks market. Al-Awadhi et al. (2020) stated that,
specifically, stock returns were significantly negatively related to daily growth in total confirmed cases and
daily growth in total deaths caused by COVID-19. While Sutrisno et.al (2020) discover that here was a
relationship between the COVID-19 pandemic and the return on the stock market indexes of countries and
the stock market indexes of countries for the consumer products and property sector in the ASEAN
Exchanges.
H13: Covid-19 negatively affect stock return of state owned enterprises in Infrastructure sector.
Profitability demonstrates a company's ability to gain profit from the amount of funds invested in overall
assets (Puspitaningtyas, 2017). This measurement demonstrates a company's ability to manage its own
resources to earn a return on equity (profitability). Sebnem and Vuran (2012) revealed in their study in
regard to factors that affecting stock return and the concluded that stock returns are affected by various
H14: Profitability positively affect stock return of state owned enterprises in Infrastructure sector.
A company is considered to have a good performance when the stock return or stock price is increase. The
higher level of market valuation then the company is considered to have a good performance
(Puspitaningtyas, 2017). According to research conducted by Din (2017) that market returns have positive
and significant impact on stock returns.
H15 : Market return positively affect stock return of state owned enterprises in Infrastructure sector.
Hypothesis 15 used as control variable.
Then based on hypotheses described above theoritical framework as follow :
Figure 1 Research Hypotheses Framework
Leverage (X1)
(Debt to Asset)
H2 H8
Liquidity (X2) H9 Stock Return (Y1)
(Current Ratios) (SOE Companies in infrastructure
H10 sector stock return)
H3
H11
Turnover (X3)
(Total Aset Turnover)
H4
H14
% Government
Share (X4) H5
Profitability (ROCE) as (Y2)
H12 also as (X7)
Government (Return on Capital Employed)
Projects (X5) H6
H13
Dummy Covid-19
(2020) H7
H15
Market Return
(X6)
(JSE stock return)
Source: Author, 2021
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3. RESEARCH METHODOLOGY
3.1 Data Collection

The research method is using quantitative descriptive and inferential research method, and sampling
technique is using purposive sampling to the data collection method. State-owned enterprises in the
infrastructure sector listed in Indonesia Stock Exchange (IDX) is selected as population data. To compare
the financial performance position with its closest competitor and industry, the research method is using
quantitative inferential research method, with source of data was using secondary data using quarterly
financial reports of the company. The same source of data has also been utilized to analyse the factors that
affect profitability. And the same source of data, and the quarterly closing stock price of State-owned
enterprises in the infrastructure sector, and quarterly closing price of composite stock price index from
IDX, simultaneously has been utilized to analyse factors that affect stock return of the company.
Meanwhile, tools to analyse the comparison of the financial performance position with its closest
competitor and position in industry is using financial ratios and ROCE analysis. While tools to analyse
factors that affect stock return of State-owned enterprises in the infrastructure sector, and factors that affect
its profitability is using Multiple regression.
3.2 Population and Sample

Currently on the Indonesian stock exchange, there are about 32 companies that are members of the
infrastructure sector. In this study, these companies are chosen as population. For this study, companies that
have been registered for at least 10 years (with the exception of PT Waskita Karya Tbk as one of the
samples) were selected, which in this case were selected as many as 18 companies. Then select more
specifically by excluding companies engaged in telecommunications infrastructure companies, which is
now selected as may as 11 companies. From the 11 companies, 5 companies are majority-state owned
enterprises and then selected as samples. The other 6 companies of non State Owned Enterprise act as the
comparison companies for research question (1).
The number of observation consist of four hundred and fourty (440), consist of two hundred (200) for SOE
and two hundred and fourty (240) for Non- SOE, quarterly financial report of the company (from 2011 up
to 2020 where the latest audit report was available). For question number (1), these quarterly financial
reports are then be compared against another selected Non-SOE in infrastructure sector (exclude
communication infrastructure) which consist of two hundred and fourty (240) quarterly financial report of
the company (from 2011 up to 2020 where the latest audit report was available). This study use year 2020
as Covid-19 Era.
The following is a list of State-owned enterprises in the infrastructure sector that sampled.
Table 1 Sample Companies (SOE Companies in Infrastructure Sector)

No Code Name Listing Date Gov. Share
1 ADHI Adhi Karya (Persero) Tbk. 18-Mar-04 51%
2 JSMR Jasa Marga (Persero) Tbk. 12-Nov-07 70%
3 PTPP PP (Persero) Tbk. 09-Feb-10 51%
4 WIKA Wijaya Karya (Persero) Tbk. 29-Okt-07 65%
5 WSKT Waskita Karya (Persero) Tbk. 19-Des-12 66%
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The following is a list of companies for comparison.
Table 2 Comparison Companies (Non-SOE Companies in Infrastructure Sector)

3.3 Variables of Study
Below are the list of variable study uses in this study.
Table 3 List of Variable Study
A measurement of a company’s
Debt to Asset Total Debt
= financial leverage (Lenka, 2017;
Ratio Total Asets Naibaho and Sembel, 2018)
An indication of a company’s
Current Assets ability to pay short-term obligations
Current Ratio = or those due within one year
Current Liabilities (Puspitaningtyas, 2017; Naibaho
and Sembel, 2018)
Indicator for cost advantage and
Revenue profit is taken as the indicator for
Total Asset
= differentiation advantage (Jabbari
Turnover Total Asets and Fathi, 2014; Naibaho and
Sembel, 2018)
A measure of how effectively
EBIT management is using capital
ROCE = employed to create profit (White et
Total Assets − Current Liabilities al., 1998; Styren, 2012; Singh and
Yadav, 2013)
Indication of return of a stock. Pt is
Stock price at previous period, Pt-1
(P! − P!"# ) + D! is the closing stock price at the
Stock Return = period (i.e. period t) and Dt is
P!"# dividend paid at the period t.
(Puspitaningtyas, 2017; Naibaho
and Sembel, 2018)
% Government Government Share Portion of share that owned by the
=
Share Total Share state
% Government CDEFG HDIJKLMJLE NKDOJPE Percentage of Government Projects
= held by company
Projects CDEFG NKDOJPE QL RDMSFLT
Source: Author, 2021
3.4 Different Test

Question (1) objective is to compare the financial performance position of state owned enterprises in
infrastructure sector, versus the competitors and industry. Financial performance be represent by: Debt to
Asset Ratios, Current Ratio, Total Asset Turnover, and ROCE. If the data follow a normal distribution,
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hypothesis testing is done by using the analysis of the Independent Sample T-test in the SPSS program, the
decision is made by comparing the t value with a table. If |t count| < t table, then H0 is not rejected and HA
is not supported. If |t count| > t table, then H0 is rejected and Ha is supported. In addition, decision making
can also be seen from the significant level p (Sig (2-tailed)). If p> 0.05 then H0 is accepted and if p <0.05
then H0 is rejected (Triton, 2006). If the data don’t follow a normal distribution, hypothesis testing is done
by Wilcoxon test. Wilcoxon test is used to analyse the results of paired observations from two data whether
they are different or not. The Wilcoxon signed Rank test is used only for interval or ratio type data, but the
data does not follow a normal distribution. (Arya, 2018) Decision making can also be seen from the
significant level p (Sig (2-tailed)). If p> 0.05 then H0 is accepted and if p <0.05 then H0 is rejected.
3.5 Panel Data Analysis

Panel data regression is a regression that uses panel data or data collected from multiple objects over time.
Panel data is a combination of time series and cross section data (Suliyanto, 2011). The classical
assumptions used in this study are the normality test and multicollinearity test. Autocorrelation test and
heteroscedasticity test will not be carried out because this research uses generalized least squares as the
estimation method. For question (2), (3), (4) and (5), the regression model of the research to answer those
questions, would be as shown as below:
c. The first regression equation model to test factors that affect profitability of State-owned
enterprises in the infrastructure sector to be estimated is as follow:
ROCEit = βo + β1 DARit + β2 CRit + β3 TATit + β4 GSit + β5 GPit +

(Equation 1)
β6DC + ɛit
d. The second regression equation model to test factors that affect stock return of State-owned
enterprises in the infrastructure sector to be estimated is as follow:
SRit = ɤo + ɤ1 DARit + ɤ2 CRit + ɤ3 TATit + ɤ4 GSit + ɤ5 GPit + ɤ6

(Equation 2)
MRit + ɤ7 ROCEit + ɤ8DC + ɛit
With detail of the variables as below:
SR : Stock Return, as a dependent variable for the first regression equation
DAR : Debt to Asset Ratios, as independent variable
CR : Current Ratios, as independent variable
TAT : Total Asset Turnover, as independent variable
GS : Government Share, as independent variable (%)
GP : Government Projects, as independent variable (%)
MR : Market Return, as independent variable (JSE stock return)
DC : Dummy Covid-19, as dummy variable (0 for non covid period, 1 for covid period)
ROCE : Return on Capital Employed, stand as an independent variable for first regression equation, but
also act as a dependent variable for second regression equation
This study uses generalized least squares as an estimation method (GLS).
3.5.1 Regression Analysis Method

In panel data, there are 3 approaches used in the panel data regression analysis method, the three models
are: common effect, fixed effect, and random effect (Arifianto, 2012)
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a. Common Effect
Common effect is an estimation model that combines time series data and cross section data using
the ordinary least square approach to estimate its parameters (Nachrowi, 2006; Putri, 2016). In this
approach, it does not pay attention to the individual dimension or time so behavior of data between
companies is assumed to be the same in various time periods.
b. Fixed Effect Model
Fixed Effect Model is a technique to estimate panel data using use dummy variables to capture
differences in the intercept. Definition of Fixed Effect This model is based on the difference in
intercept between companies, but the intercept is the same over time. This model assumes a
constant regression coefficient between companies and over time. Fixed Effect Model with least
square dummy variable (LSDV) technique. LSDV is the ordinary least regression square (OLS)
with dummy variables with the intercept assumed to be different between company units. This
dummy variable is very useful in describing the effects of investment companies (Putri, 2016).
c. Random Effect Model
The random effect model is a panel regression estimation model assuming a continuous slope
coefficient and different interceptions between individuals and over time (Random effect model).
This model will estimate panel data where the disturbance variables may be interrelated over time
and between individuals. The right model Random effect is used to estimate the generalized least
square (GLS) as an estimator, because it can increase the efficiency of the least square (Putri,
2016).
3.5.2 Selection of Estimation Model

Panel data regression analysis which has 3 approaches must be chosen which is best used to determine
which model will be used to predict the regression model from the research conducted. The following is a
test to get the best approach in panel data regression analysis.
a. Restricted F Test (Chow Test)
Chow test is used to choose between common effect and fixed effect methods, by making the
hypothesis H0 as common effect and H1 as fixed effect. If the p-value of the cross section of chi
square <α = 5% or the probability (pvalue) of F test <α = 5%, then H0 is rejected, so the method
that must be used is the fixed effect method. If the p-value of the cross section of chi square ≥ α =
5% or the probability (p-value) of F test ≥ α = 5% then H0 is accepted so that the method used is
the common effect method.
b. Hausman Test
The Hausman test is a statistical test developed by Hausman to select whether a fixed effect or
random effect model is more appropriate for panel data regression. This idea is based on the fact
that GLS is efficient and OLS is inefficient, on the other hand OLS is efficient and GLS is
inefficient. Therefore, the null hypothesis test is that the estimation results of the two are not
different so that the Hausman test can be carried out based on differences in these estimates. The
testing hypothesis is as follows:
H0: random effect model

H1: fixed effect model
c. Lagrange Multiplier (LM) test
The LM test is used to select whether to use the random effect or the common effect. This test was
developed by Bruesch-pagan (1980). This test is based on the residual value of the common effect
method. LM formula:
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n = number of individuals;
T = number of time periods;
e = residual common effect method
the null hypothesis is the same intercept and slope (common effect). The LM test is based on the
chi square distribution with a degree of freedom equal to the number of independent variables. If
the value of the LM statistic is greater than the critical value of the chi square statistic, then we
reject the null hypothesis, meaning that a more precise estimate of the panel data regression is the
random effect model. Conversely, if the value of the LM statistic is smaller than the critical value
of the chi square statistic, then we accept the null hypothesis, which means that the common effect
model is better used.
3.5.3 Hypothesis Testing

The hypothesis is a provisional guess made by the researcher. Because it is an assumption that has no
certainty, then the hypothesis must be tested first to determine the accuracy of the allegations. Hypothesis
test used is partial t-test, simultaneous F-test, and Determination Coefficient Test.
a. F-test
Simultaneous hypothesis testing (f-test) according to Ghozali (2011) f-test is used to test the
regression coefficients partially from the independent variables. The procedure used to perform
the f-test is the hypothesis is accepted if the probability (F-statistic) <0.05. The hypothesis is
rejected if the probability (F-statistic)> 0.05.
b. t-test
Partial hypothesis testing (t-test) according to Ghozali (2011) t-test used to test the regression
coefficient partially from the variable independently. The procedure used to perform the t-test is.
The hypothesis is accepted if the probability is <0.05. The hypothesis is rejected if the probability
is> 0.05.
c. Coefficient of Determination
The coefficient of determination (R2) test is used to explain how much the proportion of the
variation in the dependent variable can be explained by the independent variable (Widarjono,
2009). This test basically measures how far the independent variable explains the variation in the
dependent variable. According to Kuncoro (2011) the coefficient of determination (R2) ranges
between zero and one (0 <R2 <1). The value of R2 which is small or close to zero means that the
ability of the independent variable to explain the dependent variable is very limited. R2 value that
is large or close to one means that the independent variable is able to provide almost all the
information needed to explain changes in the dependent variable.
4. RESULT AND DISCUSSION
4.1 Comparison Between SOE and Non-SOE

Table 4 shows the average value of the ratio compared between SOE and Non-SoE. SOE DAR is 73.91%,
while Non-SOE DAR is 49.07%. The CR for SOE is 1.19 times, while for Non-SOE it is 2.42 times. The
ratio of TAT to SOE is 0.64 times, while Non-SOE is 0.65 times. The ROCE value for SOE is 16.63%,
while the ROCE for Non-SOE is 12.09%.
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Table 4 Group Statistics
Kategori N Mean
DAR SOE 40 .739151
Non-SOE 40 .490732
CR SOE 40 1.186966
Non-SOE 40 2.424392
TAT SOE 40 .636266
Non-SOE 40 .653244
ROCE SOE 40 .166355
Non-SOE 40 .120911
Based on the normality test, it was found that the DAR data was normally distributed, so it would be tested
using the t-test method. While the CR, TAT, and ROCE data are not normally distributed, so they will be
tested with the Wilcoxon difference test.
Table 5 DAR Variable Difference Test with t-Test Method
Levene's Test for t-test for Equality of Means

Equality of
Variances
F Sig. t df Sig. (2-tailed)
DAR Equal variances assumed 3.431 .068 48.458 78 .000
Equal variances not assumed 48.458 72.261 .000
The results of the different test for the DAR variable between SOE and Non-SOE showed a sig. value
0.068 in Levene’s Test for equality of Variances. Because it is higher than 0.05 then we choose result in
line that equal variances assumed. The result shows sig. (2-tailed) value of 0.000. Because the sig. value is
lower than 0.05, Ha is accepted, meaning that there is a difference in DAR between the SOE and Non-SOE
groups.
Table 6 Differential Test of CR, TAT and ROCE Variables Using Wilcoxon Method
CR_NON_SOE - TAT_NON_SOE ROCE_NON_SO

CR_SOE - TAT_SOE E - ROCE_SOE
Z -5.511c -1.667c -4.060b
Asymp. Sig. (2-tailed) .000 .096 .000
The results of the above analysis indicate that there is a difference between the variables in DAR, CR and
ROCE between SOE and non-SOE, while in the TAT variable there is no difference between SOE and non-
SOE. When analysed on an average, during 2011 – 2020 the average DAR from SOE was 73.91%, higher
than the DAR for non-SOE which averaged 49.07%. Basically this indicates that the level of leverage risk
faced by SOE is greater, because the higher the debt of a company, the greater the risk of default. This risk
also tends to be greater, especially in the short-term leverage risk, given that the average CR of SOE is 1.19
times, smaller than the average CR of non-SOE which is 2.42 times. However, in ROCE the average ROCE
of SOE is 16.63%, higher than the ROCE of non-SOE which is 12.09%, which indicates that SOE is more
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profitable than non-SOE. With SOE DAR higher than non-SOE, it can be said that SOE in the
infrastructure sector is better able to optimize its leverage to generate a higher level of profitability than
non-SOE in the infrastructure sector.
4.2 Test Effect on ROCE of SOE in Infrastructure Sector

Since the mentioned regression is refers to a multiple regression, hence, initially Data Panel Analysis eith
GLS method has been performed. Then Considering the panel structure of the data under consideration and
considerable normality & multicolleniarity in the residuals have been checked. The choice among common,
fixed and random effects models has been made following the necessary tests as explained in the next
section. For analytical purpose ROCE of SOE in infrastructure sector will be the dependent variable. While
for independent variables will be DAR, CR, TAT, GS, GP, and Dummy Covid-19. The author allocated
forty quarters (period 2011-2020) of financial information of SOE in infrastrcture sector. The analysis
intends to estimate regression equations as specified through panel data analysis and if any statistically
significant association is found between the dependent and the independent variables as specified. The first
proposed regression model to test factors that affect profitability using ROCE of SOE in infrastructure
sector to be estimated is given in equation 1.
In the process, the number of observed data was reduced to 152 from the initial 200 samples. This is due to
the presence of some empty data. Then based on the results of the initial normality test, it can be seen that
the data is not normally distributed. To overcome this problem, a multivariate outlier test was carried out
first. By looking at the RSstudent value obtained, if the value is lower than -2 or greater than +2, it means
that the data is an outlier. After removing the outliers, we can finally get data that is normally distributed
with the number of observations being 145. On the same data, multicollinearity tests were conducted by
looking at the correlation value between variables using the VIF method, which shows that there is no
Panel data regression can be done with three models, namely common, fixed effect, and random effect. The
choice of the model depends on the assumptions used by the researcher and the fulfillment of the correct
statistical data processing requirements so that they can be accounted for statistically. Therefore, the first
step that must be done is to choose a model from the three available with Chow test, Hausman test, and LM
test. Based on the model specification test using tests above, it shows the best choice using the Fixed Effect
Model research model.
4.2.1 Simultaneous Variable Significance Test (F Test)

The F test is used to determine how much influence the independent variables have overall in influencing
the dependent variable. In making decisions in the F test is to compare the overall probability of
independent variables between independent variables on the dependent variable with alpha or the degree of
confidence used, which is 0.05. Here are the results of the F test:
Table 7 F-statistic Test

The estimation results obtained that the probability value of the F-statistic is 0.000000, significant at 5%
with the calculated F value of 156.6169. That is, overall the independent variables DAR, CR, TAT, GS,
GP, and DC have an effect on the dependent variable ROCE.
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4.2.2 Individual Parameter Significance Test (t Test)
The t-test was conducted to determine how much influence the individual independent variables had in
explaining their effect on the dependent variable by assuming the other independent variables were
constant.
Table 8 T-statistic Test
Dependent Variable Standard

Coefficient t-Statistic Probability
=ROCE Error
Β0 1,835726 0,434596 4,223982 0,0000
β1 (DAR) 0,007824 0,071804 0,108957 0,9134
β2 (CR) -0,066494 0,023917 -2,780140 ***0,0062
β3 (TAT) 0,310727 0,011607 26,77178 ***0,0000
β4 (GS) -3,103367 0,754192 -4,114825 ***0,0001
β5 (GP) 0,011775 0,020723 0,568211 0,5708
β6 (DC) -0,005446 0,012232 -0,445259 0,6568
The equation formed from the estimation above can be described by the equation below:
ROCE = 1,835726 + 0,007824 DAR - 0,066494 CR + 0,310727 TAT - 3,103367 GS + 0,011775

GP - 0,005446 DC
The results above show that from several variables that were tested for their effect on ROCE, the results
showed that CR, TAT, and GS had a high significant effect on ROCE, while DAR, GP, and DC had no
significant effect on ROCE. The regression equation shows that increasing CR by 1% will decrease ROCE
by 0.07%, increasing TAT by 1% will increase ROCE by 0.3%, and increasing GS by 1% will decrease
ROCE by 3.1%. So in this study ROCE from SOE infrastructure sector is indicated to be very sensitive to
changes in government shares, with negative effects. This result may indicate that the share of government
ownership in infrastructure companies is already in a maximum position in the company structure in order
to maximize company profitability.
Furthermore, the results of the study also show that government projects that have no significant
effect on ROCE indicate that the level of government projects is not much different from the level of non-
government projects in terms of profit contribution. And the Covid-19 pandemic in 2020 which had no
effect on ROCE indicated the SOE's ability in the infrastructure sector to maintain profitability levels not
much different from the level before the Covid-19 pandemic.

Here are the results of the coefficient of determination test:
Table 9 Coefficient of Determination

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Based on the table above, the coefficient of determination obtained is 0.912596, meaning that the
dependent variable ROCE is influenced by variables DAR, CR, TAT, GS, GP, and DC by 91.25% while
the rest is the influence of other variables not examined in this study.
4.1 Test Effect on Stock Return of SOE in Infrastructure Sector

The second regression equation model to test factors that affect stock return of SOE in infrastructure sector
to be estimated is as given in equation 2. So the dependent variable will be ROCE, while for independent
variables will be DAR, CR, TAT, GS, GP, MR, ROCE and DC. The author allocated forty quarters (period
2011-2020) of financial information of SOE in infrastrcture sector.
In the process, the number of observed data was reduced to 151 from the initial 200 samples. This is due to
the presence of some empty data. Then based on the results of the initial normality test, it can be seen that
the data is not normally distributed. To overcome this problem, a multivariate outlier test was carried out
first. By looking at the RSstudent value obtained, if the value is lower than -2 or greater than +2, it means
that the data is an outlier. After removing the outliers, we can finally get data that is normally distributed
with the number of observations being 145. On the same data, multicollinearity tests were conducted by
looking at the correlation value between variables using the VIF method, which shows that there is no
Panel data regression can be done with three models, namely common, fixed effect, and random effect. The
choice of the model depends on the assumptions used by the researcher and the fulfillment of the correct
statistical data processing requirements so that they can be accounted for statistically. Therefore, the first
step that must be done is to choose a model from the three available with Chow test, Hausman test, and LM
test. Based on the model specification test using tests above, it shows the best choice using the Common
Effect Model research model. In the use of the common effects model, no F-test is carried out because in
the common model there is no F value.
4.1.1 Individual Parameter Significance Test (t-Test)

Below is a table showing the results of data estimation using the Common Effect Model :
Table 10 Common Effect Model Resume
Dependent Standard
Constant t-Statistic Probability
Variable =SR Error
ɤ1 (DAR) 0,132849 0,195138 0,680795 0,4972
ɤ2 (CR) -0,017963 0,081682 -0,219912 0,8263
ɤ3 (TAT) -0,049111 0,111121 -0,441965 0,6592
ɤ4 (GS) 0,024961 0,174849 0,142758 0,8867
ɤ5 (GP) -0,202025 0,107994 -1,870696 *0,0635
ɤ6 (MR) 2,620220 0,204876 12,78927 ***0,0000
ɤ7 (ROCE) 0,377634 0,326852 1,155366 0,2500
ɤ8 (DC) 0,214610 0,066479 3,228227 ***0,0016
The equation formed from the estimation above can be described by the equation below:
Y = 0.132849 DAR - 0.017963 CR - 0.049111 TAT +0.024961 GS - 0.2202025 GP +

2.620220 MR + 0.377634 ROCE + 0.213432 DC
The results above show that of the variables tested for their effect on SR, only GP has a marginally
significant , MR and DC have a high significant effect on ROCE, while DAR, CR, TAT, GS, GP, and
ROCE have no significant effect on SR. The regression equation shows that an increase in MR of 1% will
increase SR by 2.62%, and an increase in DC of 1% will increase ROCE by 0.2%. So in this study, stock
returns from SOE in the infrastructure sector are indicated to be sensitive to changes in market returns,
which have a dominant effect on stock returns from this sector. These results can strengthen the theory of
120
Capital Asset Pricing Model which states that the expected return on certain securities is a positive linear
function of the sensitivity of the security to changes in the return of its market portfolio.
Furthermore, the results of the study also show that the Covid-19 pandemic which has a positive effect on
stock returns indicates that it seems that market players, in addition to using market returns as the main
benchmark, also tend to hold on to optimism over the performance of SOE in infrastructure sector in the
future, taking into account the government's determination to continue to develop in the infrastructure
sector.

The value of the coefficient of determination shows how much the dependent variable can be influenced by
the independent variable. The greater the value of the coefficient of determination, the greater the influence
of the independent variable on the dependent variable. Here are the results of the coefficient of
determination test:
Table 11 Coefficient of determination

Based on the table above, the coefficient of determination obtained is 0.566706, meaning that the
dependent variable SR is influenced by the DAR, CR, TAT, GS, GP, MR, ROCE, and DC variables by
56.7% while the rest is the influence of other variables not investigated in this study.
5 CONCLUSIONS & RECOMMENDATIONS
5.1 Conclusions
Base on the result of the research and discussion in analysis findings, and aligned with the formulation of
the problem described at the beginning of the discussion chapter, it can be concluded that:
1. Based on the difference test between State Owned Enterprise in the infrastructure sector and non-
State Owned Enterprise in the infrastructure sector listed on the Indonesia Stock Exchange during
2011 - 2020, it can be seen that there are differences in leverage (in this case Debt to Asset
Ratios), liquidity (Current Ratios), and Return On Capital Employed (ROCE) between State
Owned Enterprise and non-State Owned Enterprise, while in turnover (Total Asset Turnover)
there is no difference between State Owned Enterprise and non-State Owned Enterprise. During
2011 – 2020 the average DAR from SOE was 73.91%, higher than the DAR for non-SOE which
averaged 49.07%. Basically this indicates that the level of leverage risk faced by SOE is greater,
because the higher the debt of a company, the greater the risk of default. This risk also tends to be
greater, especially in the short-term leverage risk, given that the average CR of SOE is 1.19 times,
smaller than the average CR of non-SOE which is 2.42 times. However, in ROCE the average
ROCE of SOE is 16.63%, higher than the ROCE of non-SOE which is 12.09%, which indicates
that SOE is more profitable than non-SOE. With SOE DAR higher than non-SOE, it can be said
that SOE in the infrastructure sector is more capable to optimize its leverage to generate a higher
level of profitability than non-SOE in the infrastructure sector.
2. In term of analyzing factors that affect ROCE (profitability) of State Owned Enterprise in
infrastructure sector listed on the Indonesia Stock Exchange during 2011 - 2020, the coefficient of
determination (R2) obtained is 0.912596, meaning that the dependent variable ROCE of the
company is influenced by variables Debt to Asset Ratios, Current Ratios, Total Asset Turnover,
Government Share, Government Project, and Dummy Covid-19 by 91.3% while the rest is the
121
influence of other variables not examined in this study. Based on the t-test at a significance level
of 0.05, it can be seen that Current Ratios, Total Asset Turnover, Government Share have a high
significant effect on ROCE as profitability factor. Meanwhile, Debt to Asset Ratios, and
Government Project have no significant effect on ROCE as profitability factor. The regression
equation shows that increasing GS by 1% will decrease ROCE by 3.1%. So in this study ROCE
from SOE infrastructure sector is indicated to be very sensitive to changes in government shares,
with negative effects. This result may indicate that the share of government ownership in
infrastructure companies is already in a maximum position in the company structure in order to
maximize company profitability. The results of this study also show that government projects that
have no significant effect on ROCE indicate that the level of government projects is not much
different from the level of non-government projects in terms of profit contribution.
3. In term of analyzing factors that affect Stock Return of State Owned Enterprise in infrastructure
sector listed on the Indonesia Stock Exchange during 2011 - 2020, the coefficient of determination
(R2) obtained is 0.566706, meaning that the dependent variable Stock Return of is influenced by
the Debt to Asset Ratios , Current Ratios, Total Asset Turnover, Government Shares, Government
Project, Market Return, ROCE, and Dummy Covid-19 variables by 56.7% while the rest is the
influence of other variables not investigated in this study. Based on the t-test at a significance level
of 0.05, it can be seen that GP has a marginally significant , and Market Return has a high
significant effect on Stock Return of State Owned Enterprise in infrastructure sector. Meanwhile,
Debt to Asset Ratios, Current Ratios, Total Asset Turnover, Government Share, Government
Project, and ROCE have no significant effect on Stock Return of State Owned Enterprise in
infrastructure sector. These results can strengthen the theory of Capital Asset Pricing Model which
states that the expected return on certain securities is a positive linear function of the sensitivity of
the security to changes in the return of its market portfolio.
4. In term of analyzing factor of Covid-19 pandemic that affect ROCE of State Owned Enterprise in
infrastructure sector listed on the Indonesia Stock Exchange during 2020, based on the t-test at a
significance level of 0.05, it can be seen that Covid-19 pandemic have no significant effect on
ROCE as profitability factor. This is indicated the ability of SOE in the infrastructure sector to
maintain profitability levels not much different from the level before the Covid-19 pandemic.
5. In term of analyzing factor of Covid-19 pandemic that affect Stock Return of State Owned
Enterprise in infrastructure sector listed on the Indonesia Stock Exchange during 2020, based on
the t-test at a significance level of 0.05, it can be seen that Covid-19 pandemic has high significant
effect on Stock Return. The regression equation shows that increasing DC by 1% will increase SR
by 0,2%. This result show that the Covid-19 pandemic which has a positive effect on stock returns
indicates that it seems that market players, in addition to using market returns as the main
benchmark, also tend to hold on to optimism over the performance of SOE in infrastructure sector
in the future, taking into account the government's determination to continue to develop in the
infrastructure sector.
5.2 Recommendations
Base on the result gathered from analysis, below recommendations that author consider can be proposed:
1. For further studies in examining the difference test between State Owned Enterprise in
infrastructure sector and non-State Owned Enterprise in infrastructure sector, it is recommended to
examine other financial ratio variables besides Debt to Asset Ratios, Current Ratios, Total Asset
Turnover, and ROCE which also represent leverage, liquidity, turnover, and profitability ratios.
2. To conduct a broader research on the factors that affect Stock Returns, because from this research,
it can be seen from the selected variables only Market Returns and the Covid-19 dummy which
have a significant influence on Stock Returns of state owned enterprise in the infrastructure sector.
And based on the results of this study, there are still around 43.3% of variables whose influence on
state owned enterprise in the infrastructure sector has not been detected.
3. The results show that government ownership of infrastructure companies has a negative effect on
company profitability, where the results show that every 1% increase in government shares will
reduce ROCE to 3.1%. From these results, it is suggested that more extensive research should be
conducted on whether State Owned Enterprise in other sectors have the same trend as State
Owned Enterprise in infrastructure sector.
122
4. The results of the analysis of the effect on stock returns show the dominance of the influence of
market returns. These results indicate that the company's financial performance factors are don’t
have addequate attention by stock stakeholders. This can be an input for investors to consider
being more proportional in trading SOE shares in the infrastructure sector by deepening the
financial performance of the company before deciding to trade shares.
5. The results of the study show that on average the levels of DAR and CR of SOE in infrastructure
sector are higher than non-SOE, which indicates a higher future financial risk faced by SOE
related to the potential risk of default on the company's debt. For this reason, it is hoped that the
results of this study can be an input and challenge for SOE management to adjust the leverage and
liquidity factors of the company in a fairly safe position without reducing the company's ability to
generate profits.
5.3 Theoretical Implications

The study contributes insight to the existing knowledge concerning a financial performance analysis impact
in its positions in market. This paper is representing a theoretical implication of the factors that affecting
stock return and profitability of stated owner company in infrastructure sector. Numerous of studies has
revealed that some factors i.e. leverage, liquidity, turnover, government share, covid-19 pandemic could
negatively or positively effect the profitability of a company. However, this study has found that only
liquidity, turnover, and government share have effects on profitability. Other of studies has revealed that
some factors i.e. leverage, liquidity, government share, covid-19 pandemic could negatively or positively
effect on stock return.. This study shown that only stock market and covid-19 pandemic have significantly
effect on stock return. This study also revealed that government project has no significanly effect on
profitability either stock return od stated owner company in infrastructure sector.
5.4 Practical Implications

The study findings have established valuable lessons to various stakeholders in the respect of combining
knowledge management and research result which encouraged management or government to confront the
long-term implications of decisions and to give thought to the potential business impact of discernible
current trends, well before the effects are visible in financial performance. Based on the results of research
on government ownership and government projects, it can be seen that the portion of government
ownership has a negative effect on profitability and does not significantly affect stock returns, while
government projects have no significant effect on both profitability and stock returns. this can be an input
to the government in managing its ownership in a state-owned company.
123
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Websites:
http://id.citramarga.com
www.adhi.co.id
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www.jasakonstruksi.com
www.jasamarga.com
www.nusakonstruksi.com
www.nusantarainfrastructure.com
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www.suryainternusa.com
www.totalbp.com
www.waskita.co.id
www.wika.co.id
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Comprehensive Research on Financial and Stocks Performance of SOE

in Infrastructure Sector in Indonesia and Their Comparison to Non-SOE in

MASTER OF BUSINESS ADMINISTRATION

Jakarta, September 06, 2021

CERTIFICATE OF APPROVAL ................................................................................................... ii

NON-PLAGIARISM DECLARATION FORM ........................................................................... iii

1.3 Background of Study ........................................................................................................ 1

1.4 Problem Statement ............................................................................................................ 7

1.5 Research Questions ........................................................................................................... 7

1.6 Research Objectives.......................................................................................................... 8

1.7 Scope of the Study ............................................................................................................ 9

1.8 Significance of the Study .................................................................................................. 9

1.9 Thesis Structure ................................................................................................................ 9

LITERATURE REVIEW ............................................................................................................. 11

2.1.1 Grand Theory (Agency Theory) ............................................................................. 11

2.1.2 Middle Theory ........................................................................................................ 11

2.2 Financial Statement and Financial Ratios....................................................................... 14

2.3 Ratio Analysis ................................................................................................................. 16

2.5 Stock Return ................................................................................................................... 17

2.6 Return On Capital Employed (ROCE) ........................................................................... 18

2.7 Research Hypotheses ...................................................................................................... 19

3.2 Data Collection ............................................................................................................... 27

3.3 Population and Sample ................................................................................................... 28

3.4 Variables of Study .......................................................................................................... 31

3.5 Classical Assumption Test .............................................................................................. 32

3.5.1 Normality Test ........................................................................................................ 32

3.5.2 Multicollinearity Test.............................................................................................. 32

3.6 Different Test .................................................................................................................. 32

3.7 Panel Data Analysis ........................................................................................................ 34

3.7.1 Regression Models .................................................................................................. 34

3.7.2 Regression Estimation Method ............................................................................... 38

3.7.3 Regression Analysis Method .................................................................................. 39

3.7.4 Selection of Estimation Model................................................................................ 41

3.7.5 Hypothesis Testing.................................................................................................. 42

3.8 Research Flow ................................................................................................................ 43

3.9 Research Method Summary ............................................................................................ 44

FINDINGS, ANALYSIS AND DISCUSSION ............................................................................ 50

4.2.1 Normality test.......................................................................................................... 51

4.2.2 Differential Test ...................................................................................................... 52

4.3 Test Effect on ROCE ...................................................................................................... 54

4.3.1 Descriptive Analysis ............................................................................................... 54

4.3.2 Classical Assumption Test ...................................................................................... 55

4.3.3 Best Model Selection .............................................................................................. 58

4.3.4 Simultaneous Variable Significance Test (F Test) ................................................. 60

4.3.5 Individual Parameter Significance Test (t Test) ..................................................... 60

4.3.6 Coefficient of Determination .................................................................................. 63

4.4 Test Effect on SR ............................................................................................................ 64

4.4.1 Descriptive Analysis ............................................................................................... 64

4.4.2 Classical Assumption Test ...................................................................................... 65

4.4.3 Best model selection ............................................................................................... 68

4.4.4 Individual Parameter Significance Test (t-Test) ..................................................... 70

4.4.5 Coefficient of Determination .................................................................................. 73

CONCLUSIONS AND RECOMMENDATIONS ....................................................................... 74

5.3 Theoretical Implications ................................................................................................. 77

5.4 Practical Implications ..................................................................................................... 78

STATEMENT LETTER ............................................................................................................. 103

JOURNAL PAPER ..................................................................................................................... 105

REFERENCES ........................................................................................................................... 124

Table 1 PSN Funding Sources ........................................................................................................ 3

Figure 1 PSN Spreading National Wide ......................................................................................... 2

Appendix 1 Raw Data ................................................................................................................... 83

1.3 Background of Study

One of the business sectors that is interesting to observe, especially in Indonesia,