COVID-19 Pandemic and Performance of Indonesian Stock Market: An Event Study Analysis (original) (raw)
Related papers
The Influence of the COVID-19 Pandemic on Stock Market Returns in Indonesia Stock Exchange
Journal of Asian Finance, Economics and Business, 2021
This research aims to confirm if the COVID-19 pandemic has had an impact on existing sectors, and how that affects the Indonesian Stock Exchange (IDX) market returns The research method used is an event study employing market models in nine sectors of the Exchange with purposive sampling technique, and supported by Ordinary Least Square (OLS) regression Based on the calculation of abnormal returns in the period of 30 days before up to 30 days after, the financial property, real estate, and construction sector results show a decreased abnormal return value The infrastructure, utilities, and transportation sectors also show an abnormal return value that tends to be constant, while the abnormal return value increases in other sectors Judging from the cumulative value of abnormal returns, the most affected sector is financials, followed by the trade, service, and investment sectors The consumer goods and mining industry sectors are still optimistic, while other sectors show temporary ne...
Impact of Covid-19 on Share Prices in Various Sectoral Industry in Indonesia Stock Exchange
This research was conducted due to the lack of research on the impact of Covid-19 on stock prices and stock trading volume activities in each sector in the sectoral industry of the Indonesian Stock Exchange. The benchmarks used in this study are abnormal returns and trading volume activity. Research related to event study which still has research gaps is also the reason why this research was conducted. The research period was chosen for 161 days which was divided into two periods, namely the estimation period of 140 days and a 21 day window period including 10 days before the event and 10 days after the event, and 1 day was chosen as the event date on March 2, 2020 when the government announced the first case. The results of the statistical tests carried out show that there is no difference in the average abnormal return of the entire sector before and after Covid-19, while the different results are found in the variables of average trading volume activity of the whole sector, average abnormal return and average trading volume activity which are significant in each sector. shows that the three variables have differences before and after the announcement of Covid-19. The results of the analysis in measuring abnormal returns and trading volume activity using the event study method, that the findings based on each sector are better because they describe the results of each sector in the IDX sectoral index.
Indonesia Stock Market Reaction Before and After The Announcemnet of First COVID-19 Case
AFEBI accounting review, 2022
This study aims to analyze the effect of COVID-19, which announced on March 2nd, 2020 in Indonesia on abnormal return, volatility, trading volume and market capitalization of companies 10 days before and after the announcement. This type of research is an event study. The populations are 70 firms listed on the JII70 and 12 firms on SRI-Kehati on the Indonesian Stock Exchange and take all firms in the issuer under study as samples. Hypothesis testing will use the paired sample t-test for abnormal return and volatility variables then wilcoxon signed-rank test for trading volume and market capitalization variables. The results of the study show that there is no difference in abnormal return but there is a difference in volatility, trading volume and market capitalization before and after the announcement of COVID-19 in Indonesia.
Estimating the Effect of the COVID-19 Outbreak Events on the Indonesia Sectoral Stock Return
Jurnal Aplikasi Bisnis dan Manajemen, 2020
COVID-19 has become a global issue that bought a simultaneous effect all over the world. This outbreak has caused a significant impact on the economic stability including the stock market performance. This research used event study methodology to evaluate the Indonesia's sectoral stock market performance which is represented by companies with the biggest market capitalization in Indonesia. Estimating the COVID-19 outbreak events, the sample of the study consisted of daily sectoral indices stock data from 1 December 2017 to 14 April 2020. The market model is used to predict expected stock returns and simple regression to get the parameters of the equation. By using a t-test, it can be concluded whether the virus outbreak caused an abnormal return on the sectoral indices. The finding showed that the abnormal returns were found in the Basic Industry and Chemicals sector, Infrastructure, Utilities and Transportation sector, Agricultural sector and Mining sector. Furthermore, Basic Industry and Chemical sector, which is represented by Barito Pasific Ltd., give the greatest reaction to the stock market performance in Indonesia due to COVID-19.
Capital Market Reaction to Covid-19 Pandemic on LQ45 Shares at Indonesia Stock Exchange (IDX
Information contained in a non-economic event and not directly related to the capital market can influence investors in making investment decisions. Outbreaks of infectious diseases can cause serious economic disruption. The purpose of this study is to test whether the announcement of the first case of COVID-19 in Indonesia contains information that can make the market react marked by an abnormal return in the observation period. This research was conducted on issuers that are members of the LQ45 Index with a sample size of 40 companies through non-probability sampling, namely purposive sampling technique. This study uses the event study method with an event window period of five months before (t-5) to five months after (t + 5) including the day of the event announcement, the estimated return in this study uses the market adjusted model. The data analysis technique of this research is the paired sample t test parametric statistical test. The results show that the announcement of the first case of COVID-19 in Indonesia had a negative impact on the Indonesia Stock Exchange but it was not significant, as evidenced by the absence of differences in abnormal returns before and after the announcement of the first case of COVID-19 in Indonesia.
Impact of government interventions on the stock market during COVID-19: a case study in Indonesia
SN Business & Economics
This paper aims to examine the short-term impact of government interventions on 11 industrial sectors in the Indonesian Stock Exchange (IDX) during the COVID-19 pandemic. Whereas earlier studies have widely investigated the impact of government interventions on the financial markets during the pandemic, there is lack of research on analysing the financial impacts of various interventions in different industrial sectors, particularly in Indonesia. In this research, five key types of government interventions are selected amid the pandemic from March 2020 to July 2021, including economic stimulus packages, jobs creation law, Jakarta lockdowns, Ramadan travel restrictions, and free vaccination campaign. Based on an event study methodology, the research reveals that the first economic stimulus package was critical in reviving most sectors following the announcement of the first COVID-19 case in Indonesia. Jakarta lockdowns impacted stock returns negatively in most sectors, but the impact...
COVID-19 and Stock Market Reaction in Indonesia
Journal of Accounting and Investment
Research aims: COVID-19 Pandemic happens all over the world. Pandemic impact hits almost all elements of life, one of the affected real sectors is finance especially the stock market. This research is aimed to present the reaction of the equity market in Indonesia towards the COVID-19 pandemicDesign/Methodology/Approach: The research method that is used is the study to examine market reaction towards the pandemic and abnormal return around the occurrence by using two methods; mean-adjusted abnormal return and market model.Research findings: From the research conducted over the 10 indicators of the stock market index in Indonesia, it is concluded that 8 industrial sectors that have tenacious reaction toward the COVID-19 pandemic hit in Indonesia, where it is also found that the agriculture sector; basic and chemical industry; miscellaneous, consumer goods; property and real estate; transport and infrastructure; finance; trade, service, and investment, give stronger reactions compar...
Media Ekonomi dan Manajemen, 2021
This research was conducted to determine the impact of Covid-19 on the Company’s stock returns and trading volume activity. The covid-19 pandemic event is important for research because it includes investor’s assessment of the information generated in the capital market. This study was conducted to test the following hypotheses: before and after the Covid-19 pandemic was declared a national non-natural disaster, (1) there was a significant average change in the average abnormal return; (2) it is a significant average change in average trading volume activity. This research was conducted using event research methods. The sample for this study comes from 45 companies in the JII index. The analysis tool used is a regression with the SPSS. The descriptive statistic can be confirmed by calculating the standard deviation value. The result shows that the standard deviation range is 0.0002 to 0.03, so the research tool could be described as data obtained is suitable to the measurement varia...
Event Study Analysis Before and After COVID-19 in Indonesia
Academy of Accounting and Financial Studies Journal, 2021
This study aims to determine whether there are significant differences in abnormal returns, trading volume activity, and bid-ask spread before and after announcement of Covid-19 in Indonesia. This study uses a case study method using secondary data in form of closing index prices, number of shares circulated, number of shares outstanding, bid and ask prices. The population in this study were companies included in SRI-KEHATI index. The sampling technique used saturated sampling technique, namely as many as 25 companies. The results of the test using the Wilcoxon signed-rank test, shows that there is no significant difference in abnormal returns, trading volume activity, and bid-ask spread before and after announcement of Covid-19 in Indonesia.
Analysis of Indonesian Capital Market Reaction to the Covid-19
Proceedings of The International Conference on Environmental and Technology of Law, Business and Education on Post Covid 19, ICETLAWBE 2020, 26 September 2020, Bandar Lampung, Indonesia, 2020
This study analyzes the reaction of the Indonesian capital market to the Covid-19 incident by using the Liquid-45 market index (LQ-45). The method used to analyze abnormal returns is the event study method. The research period used is 111 stock exchange days consisting of an estimation period and a window period. The results showed that during the Covid-19 pandemic, the Indonesian capital market was said to be efficient in a half-strong form both in information and decisions. Information efficiency means that the market responds quickly and efficiently in a decision meaning that the market responds appropriately. The negative and significant Average Abnormal Return also reflects the Covid-19 Pandemic has had a negative impact on the Indonesian capital market.