Growth or value investing? The performance of Japan’s stock market during Covid-19 pandemic

Er, Chun Yong and Kor, Kim Hong and Lim, Zhen Yan and Mah, Man Hou and Ng, Wei Cheng (2022) Growth or value investing? The performance of Japan’s stock market during Covid-19 pandemic. Final Year Project, UTAR.

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Abstract

This study examines the stock performance in Japan’s stock market in terms of value and growth stock using the Nikkei 225 index. Three phases had been classified for our observation period which is Phase 1 (The panic sell), Phase 2 (The rebound), Phase 3 (The dramatic surge). Also, we classified the value and growth stock with four ratio including P/E, P/B, D/E, D/Y. We construct the portfolio of value and growth stock from Nikkei 225’s companies daily stock return as 30 percent highest-ratio ranked company are classified as Growth stock, and the lowest 30 percent-ratio ranked company has been classified as Value stock, which will generate 24 portfolios in total. Also, this study has used Sharpe-ratio to adjust the return when considering the risk factor. 2-Independent T-test has been used in this study since the data are normally distributed, and two-tailed test has been conducted to examine whether the Value and Growth stock’s average return of respective phase are significantly different. First, the study found that overall growth stock outperformed value stock within these three phases which resulted as growth portfolio outperformed 8 out of 12 combinations of portfolios. Also, P/E, P/B, D/Y ratio is significant ratio for classification on value and growth stock since overall, the P-Value of respective phases showing significant result. However, D/E ratio seemed like not a good ratio for classification on Value and Growth stock since the 2-sample t test- P-value showing insignificant figure.

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