ANALISIS REAKSI PASAR SAHAM ATAS PERISTIWA COVID-19 DI INDONESIA
Abstract
This article analyzes the Indonesian market reaction to the covid-19 pandemic. This research was conducted through an event study method to calculate the difference in AR and CAR in the 10 trading days before and after the first announcement of covid-9 in Indonesian. The population of this research was subsector companies of the hotel, tourism, restaurant, pharmaceutical, communications, and food beverage subsectors. The sample was.taken using a purposive.sampling obtained from 53 companies sample from 75 companies. It was found that there were significant differences in AR before.and after the first announcement of covid-19 in Indonesia. Also, there was a significant negative difference in CAR of the hotel, tourism, and restaurant subsector but, there were no differences in pharmaceutical, telecommunication, and food beverage subsectors before.and.after the first announcement of covid 19 in Indonesia.
References
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Zhang, D., Hu, M. and Ji, Q. (2020) ‘Financial markets under the global pandemic of COVID-19’, Finance Research Letters. Elsevier, 36, p. 101528. doi: 10.1016/j.frl.2020.101528.
Zulkarnaen, W., et al. (2020). Comparative Study of Tax Policy Related to COVID-19 in ASEAN Countries. International Journal of TEST Engineering & Management. 83(2),6519-6528. https://testmagzine.biz/index.php/testmagzine/article/view/8548
Al-Awadhi, A. M. et al. (2020) ‘Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns’, Journal of Behavioral and Experimental Finance. Elsevier, 27, p. 100326. doi: 10.1016/j.jbef.2020.100326.
Ashraf, B. N. (2020) ‘Stock markets’ reaction to COVID-19: Cases or fatalities?’, Research in International Business and Finance. Elsevier, 54, p. 101249. doi: 10.1016/j.ribaf.2020.101249.
Bai, Y. (2014) ‘Cross-border sentiment: an empirical analysis on EU stock markets’, Applied Financial Economics. Taylor & Francis, 24(4), pp. 259–290. doi: 10.1080/09603107.2013.864035.
Baker, S. R., Bloom, N. and Terry, S. J. (2020) Using Disasters to Estimate the Impact of Uncertainty. National Bureau of Economic Research.
Ball, R. D. P. Brown, (1968). ‘An Empirical Evaluationof Accounting Numbers’, Journal of Accounting Research. pp. 159–178.
Barber, B. M. and Odean, T. (2008) ‘All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors’, Review of Financial Studies. Oxford University Press, 21(2), pp. 785–818. doi: 10.1093/rfs/hhm079.
Chen, M.-H., Jang, S. S. and Kim, W. G. (2007) ‘The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach’, International Journal of Hospitality Management. Elsevier, 26(1), pp. 200–212. doi: 10.1016/j.ijhm.2005.11.004.
Cheng, X. et al. (2019) ‘An Investigation on Factors Affecting Stock Valuation Using Text Mining for Automated Trading’, Sustainability. Multidisciplinary Digital Publishing Institute, 11(7), p. 1938. doi: 10.3390/su11071938.
Dunford, M. and Qi, B. (2020) ‘Global reset: COVID-19, systemic rivalry and the global order’, Research in Globalization. Elsevier, 2, p. 100021. doi: 10.1016/j.resglo.2020.100021.
Engelberg, J. E. and Parsons, C. A. (2011) ‘The Causal Impact of Media in Financial Markets’, The Journal of Finance. Wiley Online Library, 66(1), pp. 67–97. doi: 10.1111/j.1540-6261.2010.01626.x.
Fama, E. F. et al. (1969) ‘The adjustment of stock prices to new information’, International economic review. JSTOR, 10(1), pp. 1–21.
Ghozali, I. (2018) ‘Aplikasi Analisis Multivariate dengan Program IBM SPSS 25’, in Badan Penerbit Universitas Diponegoro. Semarang.
Del Giudice, A. and Paltrinieri, A. (2017) ‘The impact of the Arab Spring and the Ebola outbreak on African equity mutual fund investor decisions’, Research in International Business and Finance. Elsevier, 41, pp. 600–612. doi: 10.1016/j.ribaf.2017.05.004.
Hartono, J. (2016) Teori Portofolio dan Analisis Investasi. sepuluh. Yogyakarta.
Hong, H. (2016) ‘Information Cascade and Share Market Volatility: A Chinese Perspective’, The Journal of Asian Finance, Economics and Business, 3(4), pp. 17–24. doi: 10.13106/jafeb.2016.vol3.no4.17.
Huang, C. et al. (2020) ‘Clinical features of patients infected with 2019 novel coronavirus in Wuhan, China’, The Lancet. Elsevier, 395(10223), pp. 497–506. doi: 10.1016/S0140-6736(20)30183-5.
Ichev, R. and Marinč, M. (2018) ‘Stock prices and geographic proximity of information: Evidence from the Ebola outbreak’, International Review of Financial Analysis. Elsevier, 56, pp. 153–166. doi: 10.1016/j.irfa.2017.12.004.
Kaplanski, G. and Levy, H. (2010) ‘Sentiment and stock prices: The case of aviation disasters’, Journal of Financial Economics. Elsevier, 95(2), pp. 174–201. doi: 10.1016/j.jfineco.2009.10.002.
Liu, Haiyue et al. (2020) ‘Short term response of Chinese stock markets to the outbreak of COVID-19’. doi: 10.1080/00036846.2020.1776837.
Liu, HaiYue et al. (2020) ‘The COVID-19 Outbreak and Affected Countries Stock Markets Response’, International Journal of Environmental Research and Public Health. Multidisciplinary Digital Publishing Institute, 17(8), p. 2800. doi: 10.3390/ijerph17082800.
Nurmasari, I. (2020) ‘Dampak Covid - 19 Terhadap Perubahan Harga Saham dan’, Jurnal sekuritas, 3(1), pp. 230–236.
Rahmawati, I. Y. and Pandansari, T. (2016) ‘Reaksi Pasar Modal Dari Dampak Peristiwa Bom Plaza Sarinah Terhadap Abnormal Return Perusahaan LQ45 Yang Terdaftar Di Bei.’, Riset Akuntansi dan Keuangan Indonesia, 1(2), pp. 126–133. doi: 10.23917/reaksi.v1i2.2728.
Ruan, Y. et al. (2003) ‘Comparative full-length genome sequence analysis of 14 SARS coronavirus isolates and common mutations associated with putative origins of infection’, The Lancet. Elsevier, 361(9371), pp. 1779–1785. doi: 10.1016/S0140-6736(03)13414-9.
Sambuari, I. B., Saerang, I. S. and Maramis, J. B. (2020) ‘Reaksi Pasar Modal Terhadap Peristiwa Virus Corona (Covid-19) Pada Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia’, JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi)., 7(3). doi: https://doi.org/10.35794/jmbi.v7i3.30668.
Smith, R. D. (2006) ‘Responding to global infectious disease outbreaks: Lessons from SARS on the role of risk perception, communication and management’, Social Science & Medicine. Elsevier, 63(12), pp. 3113–3123. doi: 10.1016/j.socscimed.2006.08.004.
Subrata, I. K. and Werastuti, D. N. S. (2020) ‘Analisis Reaksi Pasar Pada Penetapan Status Darurat Global Ke Level Tertinggi Terkait Virus Corona Oleh WHO ( World Health Organization ) Pada Bursa Efek Indonesia’, JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi) Universitas Pendidikan Ganesha, 11(2), pp. 169–177. doi: https://dx.doi.org/10.23887/jimat.v11i2.25161.
WHO (2020) ‘). WHO Director-General’s remarks at the media briefing on 2019-nCov on 11 February 2020’. Available at: https://www.who.int/dg/speeches/detail/who-director-generals- remarks-at-the-media-briefing-on-2019-ncov-on-11-february- 2020.
Zhang, D., Hu, M. and Ji, Q. (2020) ‘Financial markets under the global pandemic of COVID-19’, Finance Research Letters. Elsevier, 36, p. 101528. doi: 10.1016/j.frl.2020.101528.
Zulkarnaen, W., et al. (2020). Comparative Study of Tax Policy Related to COVID-19 in ASEAN Countries. International Journal of TEST Engineering & Management. 83(2),6519-6528. https://testmagzine.biz/index.php/testmagzine/article/view/8548
Published
2020-11-24
How to Cite
Hindayani, N. (2020). ANALISIS REAKSI PASAR SAHAM ATAS PERISTIWA COVID-19 DI INDONESIA. Jurnal Ilmiah Manajemen, Ekonomi, & Akuntansi (MEA), 4(3), 1645-1661. https://doi.org/10.31955/mea.v4i3.647
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