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

• 발행기관: 한국유통과학회
• 저자명: Aldrin HERWANY Erie FEBRIAN Mokhamad ANWAR Ardi GUNARDI
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 39~47쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

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.

목차

1. Introduction

2. Methods

3. Data and Empirical Test

4. Further Analysis

5. Conclusions

References

키워드

COVID-19 Stock Market Return Event Studies Market Model