Examining Indonesian Stock Price Movement Amid COVID-19 Pandemic: Which Sectors that Underperformed the Most?
Downloads
Abstract
The stock market is a financial market that is highly responsive to changes in economic conditions. Therefore, the stock market normally reflects the current economic conditions. This study discusses the effect of the COVID-19 pandemic on the Indonesian stock exchange in several industrial sectors. Using the event study method, this study utilized a time-series data over a five-month period starting from December 2019 to April 2020. To examine the short-run and long-run impact among the observed variables, this study also applied the ARDL (Autoregressive Distributed Lag). The findings showed that the COVID-19 pandemic affected stock performance, particularly in trade, service and investments, and agricultural sectors, all of which experienced a negative return on the day of the first announcement of the COVID-19 positive cases. In addition, the outbreak evidently influenced the cumulative abnormal return in the short run, but not in the long run.
Keywords:Stock Market, COVID-19 pandemic, Event Study, ADRL, Cumulative Abnormal Return
Alam, M. N., Alam, S., & Chavali, K. (2020). Stock Market Response during COVID-19 Lockdown Period in India : An Event Study. Journal of Asian Finance, Economics and Business, 7(7), 131–137. https://doi.org/10.13106/jafeb.2020.vol7.no7.131
Ashraf, B. N. (2020). Research in International Business and Finance Stock markets ' Reaction to COVID-19 : Cases or Fatalities ?. Research in International Business and Finance, 54(May), 101249. https://doi.org/10.1016/j.ribaf.2020.101249
Centre of Indonesian Statistics. (2021). Pertumbuhan Ekonomi Triwulan I 2021. Badan Pusat Statistik. https://www.bps.go.id/website/images/Pertumbuhan-Ekonomi-Triw-I-2021-ind.jpg
Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance,25(2), 383-417. doi:10.2307/2325486
He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID – 19 ' s Impact on Stock Prices Across Different Sectors "” An Event Study Based on the Chinese Stock Market. Emerging Markets Finance and Trade, 56(10), 2198–2212. https://doi.org/10.1080/1540496X.2020.1785865
IMF. (2020a). A Crisis Like No Other, An Uncertain Recovery. World Economic Outlook Update. June 2020. 1–20.
IMF. (2020b). World Economic Outlook, April 2020: The Great Lockdown. IMF. www.imf.org/en/Publications/WEO/Issues/2020/04/14/weo-april-2020
Kompas. (2020). Mengapa Kasus Covid-19 Terus Meningkat dan Kasus Kematian Menurun. Kompas. https://www.kompas.com/tren/read/2020/09/08/073500365/mengapa-kasus-covid-19-terus-meningkat-dan-kasus-kematian-menurun-?page=all
Kumar, P., Devpura, N., & Wang, H. (2020). Japanese Currency And Stock Market "” What Happened during the COVID-19 Pandemic ?. Economic Analysis and Policy, 68, 191–198. https://doi.org/10.1016/j.eap.2020.09.014
Kumar, P., Hoang, D., Phan, B., & Liu, G. (2020). COVID-19 Lockdowns , Stimulus Packages , Travel Bans , and Stock Returns. Finance Research Letters, (August), 101732. https://doi.org/10.1016/j.frl.2020.101732
Mazur, M., Dang, M., & Vega, M. (2020). COVID-19 and the March 2020 Stock Market Crash: Evidence from S&p 1500. Finance Research Letters, (May), 101690. https://doi.org/10.1016/j.frl.2020.101690
Mirza, N., Naqvi, B., Rahat, B., Kumail, Rizvi, SKA. (2020). Price Reaction , Volatility Timing and Funds' Performance during Covid-19. Finance Research Letters, 36(June), 101657. https://doi.org/10.1016/j.frl.2020.101657
Pesaran, M., & Shin, Y. (1999). An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis Econometrics and Economic Theory in the 20th century: The Ragnar Frish Centennial Symposium. Cambrigde: Cambridge University Press.
Pesaran, M., Shin, & Smith, R. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, Vol. 16(3), 289–326.
Salisu, A. A., & Vinh, X. (2020). International Review of Financial Analysis Predicting stock Returns in the Presence of COVID-19 Pandemic : The role of Health News. International Review of Financial Analysis, 71(June), 101546. https://doi.org/10.1016/j.irfa.2020.101546
Sambuari, I. B., Saerang, I. S., & Maramis, J. B. (2015). Reaksi Pasar Modal Terhadap Peristiwa Virus Corona (Covid-19) pada Perusahaan Makanan dan Minuman yang Terdaftar di Bursa Efek Indonesia. Jurnal Ilmiah Manajemen Bisnis Dan Inovasi Universitas Sam Ratulangi (Jmbi Unsrat), 7(9), 27–44. https://doi.org/10.35794/jmbi.v7i3.30668
Sherif, M. (2020). The impact of Coronavirus ( COVID-19 ) Outbreak on Faith-Based Investments : An Original Analysis. Journal of Behavioral and Experimental Finance, 28, 100403. https://doi.org/10.1016/j.jbef.2020.100403
Siswantoro. (2020). The Effect of the First Covid-19 Case Announcement on Stock Prices and Stock Trading Totals. Jurnal Akuntansi Keuangan Dan Manajemen, 1(3), 227–238.
Taylor, P., Dickey, D. A., Fuller, W. A., Dickey, D. A., & Fuller, W. A. (1981). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, (July 2015), 37–41. https://doi.org/10.1080/01621459.1979.10482531
