THE EFFECT OF COVID-19 ON STOCK MARKET RETURN IN CONSUMER GOODS SECTOR IN INDONESIA
Keywords:
COVID-19; Trading Volume, Return (t-1); IHSG, Exchange Rate; Stock Market Return.
Abstract
When 2019 is about to end, a new virus began to emerge called the coronavirus which is a very dangerous infectious virus because this virus can cause exposed humans to experience respiratory problems, lung infections, and can cause death. This coronavirus has caused many negative impacts on countries that have been exposed to this virus. Not only the health impact experienced by the exposed country but also from the aspect of the country's economy which has decreased drastically due to this virus. This study aims to see is there any effect of growth in confirmed cases, growth in deaths, trading volume, return (t-1), IHSG, and exchange rates on stock market returns in Indonesia consumer goods sector. The purposive sampling method was chosen by the researchers to take samples, namely secondary data with predetermined criteria based on the aims and objectives of the research, namely consumer good companies that have been registered on the IDX from 2 March 2020 until now. Researchers used Eviews 10 software to process data using the panel regression method with the selection of the best model, namely REM or Random Effect Model. The results concluded from the research analysis are that growth in confirmed cases and growth in deaths does not have significant impact on stock market returns in the consumer goods sector in Indonesia. Meanwhile, trading volume, return (t-1), IHSG, and exchange rate does have a positive significance on stock market returns in consumer goods sector in Indonesia. This research can help investors in making investment decisions, especially in Indonesia consumer goods sector.
References
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Kaur, P., Stoltzfus, J., & Yellapu, V. (2018). Descriptive statistics. International Journal of Academic Medicine, 4(1), 60–63. https://doi.org/10.4103/IJAM.IJAM
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Kotishwar A. (2020). Impact of Covid-19 Pandemic on Stock Market with Reference to Select Countries-A Study. Academy of Accounting and Financial Studies Journal, 24(4), 1–9.
Kusnandar, D. L., & Bintari, V. I. (2020). Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19. Jurnal Pasar Modal Dan Bisnis, 2(2), 195–202. https://doi.org/10.37194/jpmb.v2i2.49
Maknun, L. (2010). Analisis Pengaruh Frekuensi Perdagangan, Volume perdagangan, kapitalisasi Pasar dan Trading Day Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar di BEI Periode Tahun 2006-2008. Diponegoro University Institutional Repository, 51–56.
Olivia Nellawati, S., & Isbanah, Y. (2019). Analisis Pengaruh Faktor Internal Dan Faktor Eksternal Terhadap Pergerakan Indeks Harga Saham Gabungan (Ihsg) Di Bursa Efek Indonesia Periode 2012 – 2016. Jurnal Ilmu Manajemen (JIM), 7(1), 113–123.
Rahmadeni, & Wulandari, N. (2017). Analisis Faktor-Faktor yang Mempengaruhi Inflasi pada Kota Metropolitan di Indonesia dengan Menggunakan Analisis Data Panel. Jurnal Sains Matematika Dan Statistika, 3(2), 34–42.
Rahmawati, A. (2017). Kinerja Keuangan dan Tingkat Pengembalian Saham: Studi Pada Perusahaan Asuransi di Bursa Efek Indonesia. Esensi, 7(1), 1–14. https://doi.org/10.15408/ess.v7i1.4724
Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries. Global Business Review. https://doi.org/10.1177/0972150920957274
Sunengsih, N., & Jaya, I. G. N. M. (2009). Kajian analisis regresi dengan data panel. Prodising Seminar Nasional Penelitian, Pendidikan, Dan Penerapan MIPA, 51–58.
Surya, K. (2016). Pengaruh Harga Saham, Volume Perdagangan, Market Value dan Varian Return terhadap Bid Ask Spread (Studi Empiris pada Perusahaan yang Terdaftar di Daftar Efek Syariah). E-Jurnal Universitas Muhammadiyah Yogyakarta, 1(1), 1–15. http://repository.umy.ac.id/handle/123456789/6390
Syofia Yandra, I. (2019). Influence of fundamental factors on stock return listed in Jakarta Islamic Index. Economica, 8(1), 51–59. https://doi.org/10.22202/economica.2019.v8.i1.3618
Yosani, C. (2006). Teknik Analisis Kuantitatif. Makalah Teknik Analisis II, 1–7. http://staffnew.uny.ac.id/upload/132232818/pendidikan/Analisis+Kuantitatif.pdf
Zaremba, A., Kizys, R., Aharon, D. Y., & Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe. Finance Research Letters, 35, 101597. https://doi.org/10.1016/j.frl.2020.101597.
Zulkarnaen, W., Amin, N. N. (2018). Pengaruh Strategi Penetapan Harga Terhadap Kepuasan Konsumen. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi), 2(1), 106-128.
Ameici, A., Rama Putra Barusman, A., Amna Suciati, L., & Riswan. (2021). Visionist Visionist. 3.
Amin, M. Z. (2012). Pengaruh Tingkat Inflasi, Suku Bunga SBI, Nilai Kurs Dollar (USD/IDR), Dan Indeks Dow Jones (DJIA) Terhadap Pergerakan Indeks Harga Saham Gabungan Di Bursa Efek Indonesia (BEI) (Periode 2008-2011). Jurnal Skripsi FEB UB, 1(1), 1–17.
Anh, D. L. T., & Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies. https://doi.org/10.1108/JES-06-2020-0312
Apergis, N., & Apergis, E. (2020). The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model. Asia-Pacific Journal of Accounting and Economics, 00(00), 1–9. https://doi.org/10.1080/16081625.2020.1816185
Arista, D., & Astohar. (2013). Analisis Faktor-Faktor yang Mempengaruhi Return Saham (Kasus pada Perusahaan Manufaktur yang Go Public di BEI periode tahun 2005 - 2009). The Winners, 14(1), 29. Return On Asset, Debt To Equity Ratio, Earning Per Share, Price To Book Value and Stock Return
Ashraf, B. N. (2020). Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets. Journal of Behavioral and Experimental Finance, 27, 100371. https://doi.org/10.1016/j.jbef.2020.100371
Camba L., A., & Camba C., A. (2020). The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel. Journal of Asian Finance, Economics and Business, 7(10), 543–554. https://doi.org/10.13106/jafeb.2020.vol7.no10.543
Chia, R. C. J., Liew, V. K. Sen, & Rowland, R. (2020). Daily new COVID-19 cases, the movement control order, and Malaysian stock market. International Journal of Business and Society, 21(2), 553–568.
Coleman, B. D., & Fuoss, R. M. (1955). Quaternization Kinetics. I. Some Pyridine Derivatives in Tetramethylene Sulfone. Journal of the American Chemical Society, 77(21), 5472–5476. https://doi.org/10.1021/ja01626a006
Gherghina, Ștefan C., Armeanu, D. Ștefan, & Joldeș, C. C. (2020). Stock market reactions to COVID-19 pandemic outbreak: Quantitative evidence from ARDL bounds tests and granger causality analysis. International Journal of Environmental Research and Public Health, 17(18), 1–35. https://doi.org/10.3390/ijerph17186729
Husnul, H. M., Hidayat, R. R., & Sulasmiyati, S. (2017). Analisis pengaruh inflasi, kurs (IDR/USD), Produk Domestik Bruto dan harga emas dunia terhadap Indeks Harga Saham Gabungan. Jurnal Administrasi Bisnis, 53(1), 66–74. http://administrasibisnis.studentjournal.ub.ac.id/index.php/jab/article/view/2183
Indonesia: WHO Coronavirus Disease (COVID-19) Dashboard With Vaccination Data | WHO Coronavirus (COVID-19) Dashboard With Vaccination Data. (n.d.). Retrieved May 5, 2021, from https://covid19.who.int/region/searo/country/id
Indrastuti, D. K. (2021). Judul Karya Ilmiah (Artikel) : Impact of Confirmed, Death, and Recovered Cases of COVID-19 Toward Stock Exchange Composite Index. Trisakti School of Management, 10(1), 1–10.
Jelilov, G., Iorember, P. T., Usman, O., & Yua, P. M. (2020). Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID-19 pandemic matter? Journal of Public Affairs, 20(4). https://doi.org/10.1002/pa.2289
Kaur, P., Stoltzfus, J., & Yellapu, V. (2018). Descriptive statistics. International Journal of Academic Medicine, 4(1), 60–63. https://doi.org/10.4103/IJAM.IJAM
Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H., & Jahanger, A. (2020). The impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. Journal of Asian Finance, Economics and Business, 7(7), 463–474. https://doi.org/10.13106/jafeb.2020.vol7.no7.463
Kilic, S. (2013). Linear regression analysis. Journal of Mood Disorders, 3(2), 90. https://doi.org/10.5455/jmood.20130624120840
Kotishwar A. (2020). Impact of Covid-19 Pandemic on Stock Market with Reference to Select Countries-A Study. Academy of Accounting and Financial Studies Journal, 24(4), 1–9.
Kusnandar, D. L., & Bintari, V. I. (2020). Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19. Jurnal Pasar Modal Dan Bisnis, 2(2), 195–202. https://doi.org/10.37194/jpmb.v2i2.49
Maknun, L. (2010). Analisis Pengaruh Frekuensi Perdagangan, Volume perdagangan, kapitalisasi Pasar dan Trading Day Terhadap Return Saham Pada Perusahaan Manufaktur Yang Terdaftar di BEI Periode Tahun 2006-2008. Diponegoro University Institutional Repository, 51–56.
Olivia Nellawati, S., & Isbanah, Y. (2019). Analisis Pengaruh Faktor Internal Dan Faktor Eksternal Terhadap Pergerakan Indeks Harga Saham Gabungan (Ihsg) Di Bursa Efek Indonesia Periode 2012 – 2016. Jurnal Ilmu Manajemen (JIM), 7(1), 113–123.
Rahmadeni, & Wulandari, N. (2017). Analisis Faktor-Faktor yang Mempengaruhi Inflasi pada Kota Metropolitan di Indonesia dengan Menggunakan Analisis Data Panel. Jurnal Sains Matematika Dan Statistika, 3(2), 34–42.
Rahmawati, A. (2017). Kinerja Keuangan dan Tingkat Pengembalian Saham: Studi Pada Perusahaan Asuransi di Bursa Efek Indonesia. Esensi, 7(1), 1–14. https://doi.org/10.15408/ess.v7i1.4724
Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries. Global Business Review. https://doi.org/10.1177/0972150920957274
Sunengsih, N., & Jaya, I. G. N. M. (2009). Kajian analisis regresi dengan data panel. Prodising Seminar Nasional Penelitian, Pendidikan, Dan Penerapan MIPA, 51–58.
Surya, K. (2016). Pengaruh Harga Saham, Volume Perdagangan, Market Value dan Varian Return terhadap Bid Ask Spread (Studi Empiris pada Perusahaan yang Terdaftar di Daftar Efek Syariah). E-Jurnal Universitas Muhammadiyah Yogyakarta, 1(1), 1–15. http://repository.umy.ac.id/handle/123456789/6390
Syofia Yandra, I. (2019). Influence of fundamental factors on stock return listed in Jakarta Islamic Index. Economica, 8(1), 51–59. https://doi.org/10.22202/economica.2019.v8.i1.3618
Yosani, C. (2006). Teknik Analisis Kuantitatif. Makalah Teknik Analisis II, 1–7. http://staffnew.uny.ac.id/upload/132232818/pendidikan/Analisis+Kuantitatif.pdf
Zaremba, A., Kizys, R., Aharon, D. Y., & Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe. Finance Research Letters, 35, 101597. https://doi.org/10.1016/j.frl.2020.101597.
Zulkarnaen, W., Amin, N. N. (2018). Pengaruh Strategi Penetapan Harga Terhadap Kepuasan Konsumen. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi), 2(1), 106-128.
Published
2021-10-22
How to Cite
Ong, M., & Marheni, D. K. (2021). THE EFFECT OF COVID-19 ON STOCK MARKET RETURN IN CONSUMER GOODS SECTOR IN INDONESIA. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 5(3), 1779-1793. https://doi.org/10.31955/mea.v5i3.1641
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