The Impact of Covid-19 Pandemic Towards Stock Return in Indonesia

(Empirical Study On Companies Listed In IDX During Period Of 2019–2020)

Συγγραφείς

  • Meiliana Jaunanda Universitas Pelita Harapan
  • Gabrielle Angelica Beatrice Inzen Universitas Pelita Harapan

Λέξεις-κλειδιά:

Return on Asset, Market Capitalization, COVID-19 Pandemic, Stock Returns

Περίληψη

This research was conducted to analyze the impact of Return on Asset (ROA), Market Capitalization, COVID-19 Pandemic, and Stock Sector towards Stock Return in Indonesia. The independent variables used in this study are Return on Asset (ROA), Market Capitalization, Daily Increase of COVID-19 Total Confirmed Cases, and Stock Sector as a dummy variable. The control variables used in this study are Debt-to-Equity Ratio (DER) and Company Size. The dependent variable used in this study is Stock Return. The population of this study is the companies that are listed in Indonesia Stock Exchange (IDX) during 2019 and 2020. A total of 776 samples are collected based on the purposive sampling method used in this study. The results showed that: (1) Return on Asset (ROA) has a significant positive impact towards stock return; (2) Market Capitalization has a significant positive impact towards stock return; (3) Daily Increase of COVID-19 Total Confirmed Cases has a significant negative impact towards stock return; and (4) Stock Sector has an insignificant negative impact towards stock return.

Αναφορές

Acheampong, P., Agalega, E., & Shibu, A. K. (2014). The Effect of Financial Leverage and Market Size on Stock Returns on the Ghana Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector. International Journal of Financial Research, 5(1). https://doi.org/10.5430/IJFR.V5N1P125

AFM. (2020, June 3). Indonesia Economy – Tremendous progress over the last two decades. https://www.asiafundmanagers.com/int/indonesia-economy-outlook/

Anggraini, D. (2021). Dampak COVID-19 Terhadap Perubahan Harga Saham. JBEMK, 1(1), 1–13. https://ihsg-idx.com/

Anh, D. L. T., & Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies, 48(4), 836–851. https://doi.org/10.1108/JES-06-2020-0312

Badan Pusat Statistik. (2021). Pertumbuhan Ekonomi Indonesia Triwulan IV-2020. https://www.bps.go.id/pressrelease/2021/02/05/1811/ekonomi-indonesia-2020-turun-sebesar-2-07-persen--c-to-c-.html

Banerjee, A., & Chaudhury, S. (2010). Statistics without tears: Populations and samples. Industrial Psychiatry Journal, 19(1), 60. https://doi.org/10.4103/0972-6748.77642

Brooks, C. (2014). Introductory Econometrics for Finance (3rd ed.). MPG Printgroup Ltd. http://prof.iauba.ac.ir/images/Uploaded_files/Introductory%20Econometrics%20for%20Finance%20(2014)[3523178].PDF

Burns, A., Mensbrugghe, D. van der, & Timmer, H. (2006). Evaluating the Economic Consequences of Avian Influenza. Global Development Finance. http://www.worldbank.org/gdf2006.

Chen, M. H., Jang, S. C. (Shawn), & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management, 26(1), 200–212. https://doi.org/10.1016/j.ijhm.2005.11.004

Claessens, S., & Kose, M. A. (2013). Financial Crises: Explanations, Types and Implications. SSRN Electronic Journal. https://doi.org/10.2139/SSRN.2295201

Clauss, F. J. (2010). Corporate financial analysis with Microsoft Excel. McGraw Hill.

Connelly, B. L., Certo, S. T., Ireland, R. D., & Reutzel, C. R. (2011). Signaling theory: A review and assessment. In Journal of Management (Vol. 37, Issue 1, pp. 39–67). https://doi.org/10.1177/0149206310388419

Cousineau, D., & Chartier, S. (2010). Outliers detection and treatment: a review. International Journal of Psychological Research, 3(1), 58–67. https://doi.org/10.21500/20112084.844

Dang, C., & Li, Z. F. (2013). Measuring Firm Size in Empirical Corporate Finance. SSRN Electronic Journal. https://doi.org/10.2139/SSRN.2345506

Davis, C. P. (2021, March 29). Medical Definition of Pandemic. MedicineNet. https://www.medicinenet.com/pandemic/definition.htm

Dwi Putra R.A., & Rahmanti, W. (2013). Return dan Risiko Saham Pada Perusahaan Perata Laba dan Bukan Perata Laba. Jurnal Dinamika Akuntansi, 5(1), 55–66.

Etikan, I. (2016). Comparison of Convenience Sampling and Purposive Sampling. American Journal of Theoretical and Applied Statistics, 5(1), 1. https://doi.org/10.11648/J.AJTAS.20160501.11

Fernando, J., Boyle, M. J., & Rathburn, P. (2021, August 19). Market Capitalization. How to Value a Company. https://www.investopedia.com/terms/m/marketcapitalization.asp

Ghozali, I. (2006). Aplikasi analisis multivariate dengan program SPSS. Badan Penerbit Universitas Diponegoro.

Gordon, J. (2020, December 19). Capital Markets - Definition. The Business Professor. https://thebusinessprofessor.com/en_US/investments-trading-financial-markets/capital-markets-definition

Hasanuddin. (2015). Analisis Komparatif Abnormal Return Saham JII dan Non JII Sebelum dan Sesudah Libur Idul Fitri (Periode 2009-2013). Jurnal MIX, VI(2), 246–259. https://mix.mercubuana.ac.id/media/154222-analisis-komparatif-abnormal-return-saha-6599c6a7.pdf

Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1–3), 405–440.

IDX. (2016). Laporan Tahunan 2015. https://www.idx.co.id/media/1210/2015.pdf

IDX. (2021). IHSG Index Fact Sheet. IDX Stock Index Handbook, 1.2, 16. https://www.idx.co.id/media/9816/idx-stock-index-handbook-v12-_-januari-2021.pdf

Julianto, A. R., & Syafarudin, A. (2020). Stock Return Analysis and Implications in Company Value (Plastic and Packaging Companies Listed in IDX). International Journal of Engineering Technologies and Management Research, 6(7), 101–118. https://doi.org/10.29121/ijetmr.v6.i7.2019.420

Karim, M. R., & Saba, S. A. (2021). COVID-19 and Stock Return: Empirical Evidence from Developing Economy. International Journal of Management, Accounting and Economics, 8(6). www.ijmae.com

Madhav, N., Oppenheim, B., Gallivan, M., Mulembakani, P., Rubin, E., & Wolfe, N. (2017). Pandemics: Risks, Impacts, and Mitigation. Disease Control Priorities: Improving Health and Reducing Poverty (3rd Edition), 9, 315–345. https://doi.org/10.1596/978-1-4648-0527-1_CH17

Majid, M. S. Abd., & Benazir. (2015). An Indirect Impact of the Price to Book Value to the Stock Returns: An Empirical Evidence from the Property Companies in Indonesia. Jurnal Akuntansi Dan Keuangan, 17(2), 91–96. https://doi.org/10.9744/jak.17.2.91-96

Mangantar, A. A. A., Mangantar, M., & Baramuli, D. N. (2020). Pengaruh Return on Asset, Return on Equity dan Debt to Equity Ratio Terhadap Return Saham Pada Subsektor Food and Beverage di Bursa Efek Indonesia. Jurnal EMBA : Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 8(1), 272–281. https://doi.org/10.35794/EMBA.V8I1.27527

McLeod, S. A. (2019, August 1). What are Independent and Dependent Variables. Simply Psychology. https://www.simplypsychology.org/variables.html

Mogonta, K., & Pandowo, M. (2016). Analyzing The Effect of Return on Assets, Return on Equity and Earnings Per Share on Market Share Price: A Study of LQ-45 Mining Companies Listed on Indonesia Stock Exchange. 4(2), 703–713.

Mugiarni, A., & Wulandari, P. (2021). The Effect of Covid-19 Pandemic on Stock Returns: An Evidence of Indonesia Stock Exchange. Journal of International Conference Proceedings, 4(1), 28–37. https://doi.org/10.32535/jicp.v4i1.1122

Nugroho, B. Y. (2020). The Effect of Book to Market Ratio, Profitability, and Investment on Stock Return. SSRG International Journal of Economics and Management Studies (SSRG-IJEMS), 7(6), 102–107. www.internationaljournalssrg.org

Permatasari, N. D., Nurlaela, S., & Titisari, K. H. (2019). Return on Assets, Return on Equity, Earning Per Share Terhadap Harga Saham Perusahaan Sektor Jasa Di Bursa Efek Indonesia. Jurnal Ilmiah Edunomika, 3(01), 90–96. https://doi.org/10.29040/JIE.V3I01.412

Porta, M. (2014). A Dictionary of Epidemiology. In M. Porta (Ed.), A Dictionary of Epidemiology (DRAFT) (6th ed.). Oxford University Press. https://doi.org/10.1093/ACREF/9780199976720.001.0001

Qiu, W., Rutherford, S., Mao, A., & Chu, C. (2017). The Pandemic and its Impacts. Health, Culture and Society, 9(0), 1–11. https://doi.org/10.5195/hcs.2017.221

Santoso, Y. W. (2018). Penyebab Krisis Finansial Global tahun 2008: Kegagalan Financial Development dalam Mendorong Pertumbuhan dan Stabilitas Ekonomi. Jurnal Hubungan Internasional, 11(1), 155–169. https://doi.org/10.20473/JHI.V11I1.5853

Shleifer, A. (2003). Inefficient Markets: An Introduction to Behavioral Finance. Inefficient Markets. https://doi.org/10.1093/0198292279.001.0001

Skrivanek, S. (2009). The Use of Dummy Variables in Regression Analysis What is a Dummy variable? http://www.moresteam.com

Tahir, S. H., Sabir, H. M., Alam, T., & Ismail, A. (2013). Impact of Firm’s Characteristics on Stock Return: A Case of Non-Financial Listed Companies in Pakistan. Asian Economic and Financial Review, 3(1), 51–61. https://www.researchgate.net/publication/279930853_Impact_Of_Firm’s_Characteristics_On_Stock_Return_A_Case_Of_Non-Financial_Listed_Companies_In_Pakistan_Toheed_Alam

Tek, A., & Madai, B. (2021). Impact of COVID-19 Pandemic on Stock Market Returns. https://ssrn.com/abstract=3794199

Trisnowati, Y., & Muditomo, A. (2021). COVID-19 and Stock Market Reaction in Indonesia. Journal of Accounting and Investment, 22(1), 23–36. https://doi.org/10.18196/JAI.V22I1.8859

Violita, C. E. (2019). Stock Liquidity and Stock Return. Ekspektra : Jurnal Bisnis Dan Manajemen, 3(2), 111. https://doi.org/10.25139/EKT.V3I2.2047

Wahyudi, A. S., Beny, & Daniel. (2020). Analisis Pengaruh Kapitalisasi Pasar dan Rasio Keuangan Terhadap Return Saham. Media Bisnis, 12(1), 9–16. https://doi.org/10.34208/MB.V12I1.875

WHO. (2020). Listings of WHO’s response to COVID-19. World Health Organization. https://www.who.int/news/item/29-06-2020-covidtimeline

Wijaya, C. (2020, April 7). PSBB Jakarta mulai 10 April selama dua minggu, namun pakar menyebut hasil efektif satu bulan untuk tekan Covid-19 - BBC News Indonesia. BBC. https://www.bbc.com/indonesia/indonesia-52194441

World Bank. (n.d.). GDP growth (annual %) - Indonesia | Data. Retrieved September 15, 2021, from https://data.worldbank.org/indicator/NY.GDP.MKTP.KD.ZG?end=2020&locations=ID&start=1961&view=chart

World Bank. (2021). World Development Indicators.

Wu, Y. C., Chen, C. S., & Chan, Y. J. (2020). The outbreak of COVID-19: An overview. Journal of the Chinese Medical Association, 83(3), 217–220. https://doi.org/10.1097/JCMA.0000000000000270

Xu, L. (2021). Stock Return and the COVID-19 pandemic: Evidence from Canada and the US. Finance Research Letters, 38, 101872. https://doi.org/10.1016/J.FRL.2020.101872

Zach, T. (2003). Political Events and the Stock Market: Evidence from Israel. International Journal of Business, 8(3), 244–266. https://doi.org/10.2139/ssrn.420242

cover image of proceedings

Λήψεις

Δημοσιευμένα

2025-01-21

Τεύχος

Τόμ. 4 (2024): Proceedings of the 4th International Conference on Entrepreneurship (IConEnt)

Ενότητα

Articles

Άδεια

Creative Commons License

Αυτή η εργασία είναι αδειοδοτημένη υπό το CC Αναφορά Δημιουργού – Μη Εμπορική Χρήση – Παρόμοια Διανομή 4.0.