Effect of Fundamental Factor Analysis on Blue Chip Stock Return In Malaysia After The Outbreak of Covid-19 Pandemic

This study examines the effects of fundamental factors on the returns of Malaysian blue-chip stocks following the outbreak of the COVID-19 pandemic. Using secondary data from 2020 to 2022, this research analyzes key financial ratios, including return on equity (ROE), price-to-book ratio (P/B), debt-to-equity ratio (D/E), price-to-earnings ratio (P/E), dividend payout ratio (DPR), and net profit margin (NPM), to determine their influence on stock returns. The dataset comprises panel data of 30 blue-chip companies, resulting in 90 observations. The analysis, conducted using EViews 12, reveals that ROE has a significant negative relationship with stock returns, while P/B and D/E have positive and significant relationships. In contrast, P/E, DPR, and NPM exhibit negative but insignificant relationships. The findings suggest that P/B and D/E are critical factors for investors when evaluating blue-chip stocks, while ROE warrants cautious interpretation due to its inverse relationship with returns. However, the study is limited by its focus on fundamental analysis, excluding technical analysis, and its short time frame of three years. These limitations indicate the need for further research with broader datasets and alternative analytical approaches. The results have practical implications for investors, portfolio managers, and policymakers. Investors are encouraged to prioritize fundamental factors such as P/B and D/E when making investment decisions, while policymakers can leverage these insights to enhance regulatory frameworks supporting informed decision making in Malaysia's capital markets. This study contributes to the understanding of stock performance during a period of significant economic disruption and offers a foundation for future research in post-pandemic financial analysis.