Map of Return of Shares and Volume Activity Trading of Companies in Indonesia on The Pandemic Time of Covid-19

Hersugondo Hersugondo; Abdul Karim; Abdul Rouf

doi:10.24856/mem.v36i2.1892

Map of Return of Shares and Volume Activity Trading of Companies in Indonesia on The Pandemic Time of Covid-19

Hersugondo Hersugondo, Abdul Karim, Abdul Rouf

Abstract

This research was conducted to determine the impact of Covid-19 on the Company’s stock returns and trading volume activity. The covid-19 pandemic event is important for research because it includes investor’s assessment of the information generated in the capital market. This study was conducted to test the following hypotheses: before and after the Covid-19 pandemic was declared a national non-natural disaster, (1) there was a significant average change in the average abnormal return; (2) it is a significant average change in average trading volume activity. This research was conducted using event research methods. The sample for this study comes from 45 companies in the JII index. The analysis tool used is a regression with the SPSS. The descriptive statistic can be confirmed by calculating the standard deviation value. The result shows that the standard deviation range is 0.0002 to 0.03, so the research tool could be described as data obtained is suitable to the measurement variable. The conclusions explain that the events before and after the declaration of the Covid-19 outbreak as a national non-natural disaster have positive and a significant impact on the average abnormal return rate of stock activity and changes in trading volume activity.

Keywords

abnormal return; trading volume activity; Covid-19 pandemic; National Non-Natural Disaster.

Full Text:

PDF

References

Abraham, M. F. (1991). Modernisasi di Dunia Ketiga Suatu Teori Umum Pembangunan. PT. Tiara Wacana Yogya.

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(1), 1–5. https://doi.org/10.1016/j.jbef.2020.100326

Aziz, T. & V. A. (2017). Are Extreme Negative Return Priced in the Indian Stock Market? Journal Borsa Istanbul Review, 18(1), 1–15.

Bai, Y. (2014). Cross-border Sentiment: An Empirical Analysis on EU Stock Markets. Journal Applicant Financial Economies, 24, 259–290.

Baker, M.; Wirgler, J.; & Yuan, Y. (2012). Global, Local, and Contagious Investor Sentiment. Journal Applicant Financial Economies, 104, 272–287.

Bash, A. & K. A. (2019). Fear From Uncertainty: An Event Study of Khashoggi and Stock Market Returns. Journal of Behavioral and Experimental Finance, 23, 54–58.

Bernanke, B. (2010). Study Guide for Macroeconomics. Addison Wesley.

Burns, W. J. . P. & S. (2011). Risk Perception and the Economic Crisis: A Longitudinal Study of the Trajectory of Perceived Risk. Journal Risk Analiysis, 32, 659–677.

Chen, M. H.; Jang, S. S.; & Kim, W. G. (2017). The Impact of SARS Outbreak on Taiwanese Hotel Stock Performance: An Event-Study Approach. Journal of Hospitality Management, 26, 200–212.

Chen, M.-P. et al. (2018). Did The SARS Epidemic Weaken the Integration of Asian Stock Markets? Evidence from Smooth Time-Varying Cointegratio Analysis. Journal Economic Research, 31(1), 08–926. https://doi.org/https://doi.org/10.1080/1331677X.2018.1456354

Chen, M., Shawn, S., & Gon, W. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance : An event-study approach. 26(November 2002), 200–212. https://doi.org/10.1016/j.ijhm.2005.11.004

Chen, X. & T. C. C. (2020). Empirical Investigation of Changes in Policy Uncertainty on Stock Returns-Evidence from China’s Market. Journal Research in International Business and FInance, 53(1), 12–15.

Chiang; Bang Nam Jeon; & Humin Li T. C. (2007). Dynamic Correlation Analysis of Financial Contagion: Evidence from Asia Markets. Journal Industrial Monitoring Finance, 26, 1206–1228.

Del Guidice, A. . & P. (2017). The Impact of The Arab Saudi Spring and the Ebola Outbreak on African Equity Mutual Fund Investor Decisions. Journal International Business Finance, 41, 600–612.

Delisle, J. (2014). SARS: Greater China and the Patologies of Globalization and Transition. Journal Orbis, 47, 587–604.

Donadelli, M. . & P. G. (2016). Labor Market Dynamics, Endogenous Growth, and Assets Prices. Journla Economics Letters, 143, 32–37.

Engelberg, J.; & Parsons, C. (2011). The Causal Impact of Media in Financial Markets. Journal Finance, 66, 67–97.

Field, A. (2013). Discovering Statistics Using IBM SPSS Statistics (4th ed.). SAGE Publications.

Gatot, S. (2014). Transaksi Bisnis Saham dan Penyelesaian Sengketa Melalui Pengadilan. Kencana.

Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance Research Letters, 35, 1–5. https://doi.org/10.1016/j.frl.2020.101512

Gorton, G. (2009). The Panic of 2007. Yale School of Management and NBER.

Hartono, J. (2015). Teori Portofolio dan Analisis Investasi (Kesembilan). BPFE.

Hendriswari, I. (2017). Pengaruh Wabah Virus Flu Burung Terhadap Return Saham Perusahaan Peternakan Ayam di Bursa Efek Jakarta. Universitas Sanata Dharma.

Ichev, R.; & Marinic, M. (2017). Stock Prices and Geographic Proximity of Information: Evidence from the Ebola Outbreak. Journal International Review of Financial Analysis, 56, 153–166.

Kowalski, O. & P. S. (2018). Stock Market Response to Potash Mine Disasters. Journal of Comodity Markets.

Laing, T. (2020). The economic impact of the Coronavirus 2019 (Covid-2019): Implications for the mining industry. The Extractive Industries and Society, 7(2), 580–582. https://doi.org/10.1016/j.exis.2020.04.003

Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 Outbreak and A ff ected Countries Stock Markets Response. International Journal of Environmental Research and Public Health, 17(8), 1–19.

Liu, H. Y. (2020). The Importance of Trust Distance on Stock Market Correlation: Evidence From Emerging Economics. Journal Borsa Istanbul Review, 20, 37–47.

Lu, X. F. & L. K. K. (2012). Relationship Between Stock Indices and Inventors Sentiment Index in Chinese Financial Market. Journal System Engineering Theory Practice, 32, 621–629.

Lucia, M. & B. A.-O. (2012). The Current Global Finance Crisis: Do An Asian Stock Markets Show Contagion Or Independence Effects? Journal of Asian Economic, 23, 616–628.

Macciocchi, D. (2016). Short-term Economic Impact of the Zika Virus Outbreak. Journal New Microbiologica, 39, 287–289.

Mengmeng, G. (2019). Stock Market Response to Envirometal Policies: Evidence From Heavily Polluting Firms in China. Journal Economic Modelling, 86(C), 306–316.

Mo, X. Z. S. & L. Y. (2019). Can The Skewness of Oil Returns Affect Stock Returns? Evidence from China’s A-Share Markets. North American Journal of Economics and Finance, 50, 101042.

Mokni, K. (2020). Time-Varying Effect of Oil Price Shocks on The Stock Market Returns: Evidence from Oil-Importing and Oil-Exporting Countries. Journal Energy Reports, 6, 605–619.

Nicola, M., Alsafi, Z., Sohrabi, C., Kerwan, A., & Al-jabir, A. (2020). Title : The Socio-Economic Implications of the Coronavirus and COVID-. In International Journal of Surgery. IJS Publishing Group Ltd. https://doi.org/10.1016/j.ijsu.2020.04.018

Nippani, S. & K. M. W. (2006). SARS: A Non-Event for Affected Countries Stock Markets? Journal Applied Financial Economics, 14(15), 1105–1110.

Rusdin. (2016). Pasar Modal: Teori, Masalah, dan Kebijakan Dalam Praktik. Alfabeta.

Shanaev, S. & B. G. (2017). Is All Politics Local? Regional Political Risk in Rusia and The Panel of Stock Returns. Journal Behavioral and Experimental Finance, 174, 70–82.

Shu, H. C. (2010). Investor Mood and Financial Markets. Journal Economic Behavioral Organization, 76, 267–282.

Tachibana, M. (2018). Relationship Between Stock and Currency Markets Conditional on the US Stock Returns: A Vine Copula Approach. Journal of Multifinance Management, 46, 75–106.

Taleb, N. N. (2007). The Black Swan: The impact of the high improbable. Random House.

Tjiptono, D. dan H. M. F. (2011). Pasar Modal di Indonesia (3rd ed.). Salemba Empat.

Wang, Y. H. Y. F. J. & C. L. J. (2013). An Inventor’s Perspecitve on Infectious Diseases and Their Influence on Market Behaviour. Journal Business Economic Management, 14, 112–127.

Yoon, D. X. & S.-M. (2018). What Global Economic Factors Drive Emerging Asian Stock Market Return? Evidence From a Dinamic Model Averaging Approach. Journal Economic Modelling, 77(1), 204–215.

Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 1–6. https://doi.org/10.1016/j.frl.2020.101528

Zouaoui, M. (2011). How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data. Journal The Financial Review, 46(4), 723–747.

DOI: http://dx.doi.org/10.24856/mem.v36i2.1892