Browse > Article
http://dx.doi.org/10.13106/jafeb.2021.vol8.no3.0039

The Influence of the COVID-19 Pandemic on Stock Market Returns in Indonesia Stock Exchange  

HERWANY, Aldrin (Department of Management, Faculty of Economics and Business, Universitas Padjadjaran)
FEBRIAN, Erie (Department of Management, Faculty of Economics and Business, Universitas Padjadjaran)
ANWAR, Mokhamad (Department of Management, Faculty of Economics and Business, Universitas Padjadjaran)
GUNARDI, Ardi (Department of Management, Faculty of Economics and Business, Universitas Padjadjaran)
Publication Information
The Journal of Asian Finance, Economics and Business / v.8, no.3, 2021 , pp. 39-47 More about this Journal
Abstract
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 negative sentiment. Overall, the stocks on the Indonesia Stock Exchange (IDX) were affected by the COVID-19 pandemic with a cumulative negative value of the average abnormal return sample. The results using OLS regression also strengthen the relationships between the COVID-19 pandemic, and negative and significant market returns.
Keywords
COVID-19; Stock Market Return; Event Studies; Market Model;
Citations & Related Records
연도 인용수 순위
  • Reference
1 Suganda, T. R. (2018). Event Study Teori dan Pembahasan Reaksi Pasar Modal Indonesia. Malang: CV. Seribu Bintang.
2 UNICEF. (2020). Coronavirus disease (COVID-19): What parents should know. UNICEF.
3 Wagner, A. F. (2020). What the stock market tells us about the post-COVID-19 world. Nature Human Behaviour. https://doi.org/10.1038/s41562-020-0869-y   DOI
4 Zoogah, D. B. (Ed.). (2014). Advancing Research Methodology in The African Context Techniques, Methods, and Designs. United Kingdom: Emerald Group Publishing Limited
5 Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock Market Response during COVID-19 Lockdown Period in India: An Event Study. The Journal of Asian Finance, Economics and Business, 7(7), 131-137. https://doi.org/10.13106/jafeb.2020. vol7.no7.131   DOI
6 Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326. https://doi.org/10.1016/j.jbef.2020.100326   DOI
7 Bank Indonesia Bank Sentral Republik Indonesia. (2020). Strengthening accommodative macroprudential policies to support economic financing. Kajian Stabilitas Keuangan.
8 Camba, A. L., & Camba Jr., A. C. (2020). The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel. The Journal of Asian Finance, Economics and Business, 7(10), 543-553. https://doi.org/10.13106/jafeb.2020.vol7.no10.543   DOI
9 Chen, N. -F., Roll, R., & Ross, S. A. (1986). Economic Forces and the Stock Market. The Journal of Business, 59, 383-403.   DOI
10 Das, S., & Chatterjee, S. (2012). Multicollinearity Problem - Root Cause, Diagnostics and Way Outs. SSRN Electronic Journal, 1-17. https://doi.org/10.2139/ssrn.1830043   DOI
11 Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2007). Modern Portfolio Theory and Investment Analysis (Seventh). United States of America: John Willey & Sons, Inc.
12 Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance Research Letters, 101512. https://doi.org/10.1016/j.frl.2020.101512   DOI
13 Hongsakulvasu, N., & Liammukda, A. (2020). The Risk-Return Relationship in Crude Oil Markets during COVID-19 Pandemic: Evidence from Time-Varying Coefficient GARCH-in-Mean Model. The Journal of Asian Finance, Economics and Business, 7(10), 63-71. https://doi.org/10.13106/jafeb.2020.vol7.no10.063   DOI
14 Ichev, R., & Marinc, M. (2018). Stock prices and geographic proximity of information: Evidence from the Ebola outbreak. International Review of Financial Analysis, 56, 153-166. https://doi.org/10.1016/j.irfa.2017.12.004   DOI
15 Khanthavit, A. (2020). Foreign Investors' Abnormal Trading Behavior in the Time of COVID-19. The Journal of Asian Finance, Economics and Business, 7(9), 63-74. https://doi.org/10.13106/jafeb.2020.vol7.no9.063   DOI
16 Lee, C. -F., Chen, H. -Y., & Lee, J. (2019). Financial Econometrics, Mathematics and Statistics. https://doi.org/10.1007/978-1-4939-9429-8   DOI
17 Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 Outbreak and Affected Countries Stock Markets Response. (Table 1), 1-19.
18 Panayides, P. M., & Gong, X. (2002). The Stock Market Reaction to Merger and Acquisition Announcements in Liner Shipping. International Journal of Maritime Economics, 4(1), 55-80. https://doi.org/10.1057/palgrave/ijme/9100030   DOI
19 Ramelli, S., & Wagner, A. F. (2020). Feverish Stock Price Reactions to COVID-19. CEPR Discussion Paper No. DP14511.
20 Samsul, M. (2006). Pasar Modal & Manajemen Portofolio. Jakarta: Erlangga.