Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock Market Response during Covid-19 Lockdown Periode 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
Ardiansari, A., & Saputra, A. (2015). Capital Market’s Reaction Towards 2014 Working Cabinet Announcement (Indonesian Case Study). Jurnal Dinamika Manajemen (S2), 6(1), 62–72.
Cahyo, M. D., & Ardiansari, A. (2021). Market Reaction to Cabinet Reshuffle: The Indonesian Evidence. Management Analysis Journal, 7(5), 183–188. https://ideas.repec.org/a/eco/journ1/2017-05-22.html
Chandra, I. W. A., & Suardana, K. A. (2021). Market Reaction Before and After Coronavirus Disease-2019 Announcement in Indonesia on Pharmaceutical Sub Sector Companies. American Journal of Humanities and Social Sciences Research (AJHSSR), 5(6), 419–424.
Dewi, C. K., & Masithoh, R. (2020). Jkse and Trading Activities Before After Covid-19. Research Journal of Accounting and Business Management, 4(1), 1–6.
Fama, E. F. (1970). Efficient Capital Markets : A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417.
Harjoto, M. A., & Rossi, F. (2021). Market Reaction to the Covid-19 Pandemic : Evidence from Emerging Markets. International Journal of Emerging Markets. https://doi.org/10.1108/IJOEM-05-2020-0545
Hartono, J. (2010). Studi Peristiwa : Menguji Reaksi pasar Modal Akibat Suatu Peristiwa (Edisi 1). BPFE-YOGYAKARTA.
Hartono, J. (2016). Teori Portofolio dan Analisis Investasi (11th ed.). BPFE-YOGYAKARTA.
Hendrawaty, E., & Huzaimah, R. A. F. (2019). Testing of January Effect, the Day of the Week Effect, and Size Effect: a Study of LQ45 Stocks in Indonesia Stock Exchange. Jurnal Dinamika Manajemen, 10(2), 173–184. https://doi.org/10.15294/jdm.v10i2.20620
Hutami, R. N., & Ardiyanto, M. D. (2015). Abnormal Return Dan Trading Volume Activity Sebelum Dan Setelah Pemilihan Presiden Secara. Jurnal Akuntansi, 4(2), 1–10.
Irmayani, N. W. D. (2021). Dampak Pandemic Covid 19 Terhadap Reaksi Pasar Pada Sektor Consumer Goods Industry Di Bursa Efek Indonesia. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 12, 1127–1240. https://doi.org/10.24843/eeb.2020.v09.i12.p05
Ismanto, J. (2020). Reaksi Pasar Modal Terhadap Pengumuman PSBB DKI Jakarta Jilid II ( Event Study LQ-45 Terdaftar BEI ). Journal of Education Economy, 3(2), 51–66. https://doi.org/https://doi.org/10.36277/edueco.v3i2.60
Junizar, M. L., & Septiani, A. (2016). Pengaruh Pengumuman Kembali Saham (Buy Back) Terhadap Respon Pasar: Studi Pada Perusahaan yang Terdaftar di Bursa Efek Indonesia (BEI). Diponegoro Journal of Accounting, 2(3), 1–11. http://ejournal-s1.undip.ac.id/index.php/accounting
Kayyisu, M. Al, & Cahyaningdyah, D. (2020). Capital Market Reaction of Inauguration Jokowi-Ma’ruf. Management Analysis Journal, 1–10.
Khoiruddin, M., & Faizati, E. R. (2014). Reaksi Pasar Terhadap Dividend Announcement Perusahaan Yang Sahamnya Masuk Daftar Efek Syariah. Jurnal Dinamika Manajemen, 5(2), 209–219. https://doi.org/10.15294/jdm.v5i2.3662
Machmuddah, Z., Utomo, S. D., Suhartono, E., & Ali, S. (2020). Stock Market Reaction to COVID-19 : Evidence in Customer Goods Sector with the Implication for Open Innovation. Journal of Open Innovation Technology, Market, and Complexity, 6(99), 1–13.
Mardhiah, D. V., & Yunita, I. (2021). Capital Market Reaction on the Announcement of the First Covid-19 Case in Indonesia By the President of The Republic Indonesia : Case Study of Telecommunication Sub Sectors Listed on the IDX. International Journal of Advance Research in Economics and Finance, 3(1), 32–38.
Nguyen, Q. T. T., Anh, D. L. T., & Gan, C. (2021). Epidemics and Chinese firms ’ stock returns : is COVID-19 different ? China Finance Review International, 11(3), 302–321. https://doi.org/10.1108/CFRI-03-2021-0053
Purwaningsih, & Khoiruddin, M. (2016). Reaksi Pasar terhadap Pengumuman Penerbitan Sukuk Mudharabah dan Obligasi Konvensional. Management Analysis Journal, 5(4), 299–313.
Rahayu, C. W. E. (2017). The Influence of Information Framing towards Investors Reaction in Bullish and Bearish Market Condition: an Experiment. Jurnal Dinamika Manajemen, 8(2), 199–207. https://doi.org/10.15294/jdm.v8i2.12760
Sambuari, I. B., Saerang, I. S., & Maramis, J. B. (2020). 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, 7(3), 407–415.
Satryo, A. A., & Wijayanto, A. (2019). Capital Market Reaction of Trade Wars (Event Study on the South Korean and Indonesia Stock Exchanges). Management Analysis Journal, 3(6), 17–20. https://doi.org/10.2469/faj.v50.n6.17
Soejono, F. (2017). Market Reaction to Indonesia Golden Ring Award. Jurnal Dinamika Manajemen, 8(2), 233–244. https://doi.org/10.15294/jdm.v8i2.12763
Tastaftiani, M., & Khoiruddin, M. (2015). Analisis Pengaruh Pengumuman Dividen Tunai Terhadap Abnormal Return Dan Variabilitas Tingkat Keuntungan Saham. Management Analysis Journal, 4(4), 333–340.
Waryati, S. Y., Widiyanti, N., Suwarni, M. G., & Nandhya, A. N. (2021). The Impact of the Covid-19 Pandemic on Share Prices and Trade Volume of Shares in Indonesia Stock Exchange. Proceedings of the 3rd International Conference on Banking, Accounting, Management and Economics (ICOBAME 2020), 169(April 2020), 107–111. https://doi.org/10.2991/aebmr.k.210311.021
Wolor, C. W., Aminah, H., Rahmi, & Martono, S. (2020). The effectiveness of virtual work to keep achieving optimal performance amid the Covid-19 virus outbreak. International Journal of Criminology and Sociology, 9(August), 310–314. https://doi.org/10.6000/1929-4409.2020.09.29
Yousfi, M., Ben, Y., Ben, N., & Bouzgarrou, H. (2021). Effects of the COVID-19 Pandemic on the US Stock Market and Uncertainty : A Comparative Assessment between the First and Second Waves. Technological Forecasting & Social Change, 167(October 2020), 1–12. https://doi.org/10.1016/j.techfore.2021.120710
- Abstract viewed - 228 times
- PDF downloaded - 152 times
Affiliations
Milhah Alfionita
Universitas Negeri Semarang
Dwi Cahyaningdyah
Affiliation not stated
How to Cite
Covid-19 Outbreak and New Normal Policy to The Reaction of The Indonesian Capital Market: An Event Study Analysis
Vol 11 No 4 (2022): Management Analysis Journal
Submitted: Jul 19, 2022
Published: Jan 8, 2023
Abstract
This study aims to determine whether there is a difference in the average abnormal return on shares of the tourism, hotel, restaurant, transportation, and pharmaceutical sub-sectors before and after the outbreak of the Covid-19 pandemic and the implementation of the new normal policies in Indonesia. This research is quantitative research with an event study approach using a purposive sampling method to determine the number of samples. The study period was limited to 5 days before the event (t-5) and 5 days after the event (t+5). The test tool used in this research is the Wilcoxon signed rank test. The results of this study showed that during the announcement of the Covid-19 pandemic in Indonesia, there was a significant difference in the average abnormal return and no significant difference in the average trading volume activity in the shares of tourism, hotel, restaurant, and the pharmaceutical sub-sector. In addition, there was no significant difference in the average abnormal return and average trading volume activity in the transportation sub-sector shares. Meanwhile, the announcement of the new normal policies showed that there was no significant difference between the average abnormal return and average trading volume activity in the shares of tourism, hotel, restaurant sub-sector, and transportation sub-sector. Moreover, there was a significant difference between the average abnormal return and average trading volume activity in shares of the pharmaceutical sub-sector.