INDONESIAN CAPITAL MARKET INVESTORS’ REACTION TO THE EVENTS OF THE COVID-19 PANDEMIC

Ani Sumarmi (), Dyah Sawitri, Umi Muawanah () and Abdul Halim
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Ani Sumarmi: Universitas Gajayana Malang, Malang, Indonesia
Dyah Sawitri: Universitas Gajayana Malang, Malang, Indonesia
Umi Muawanah: Universitas Gajayana Malang, Malang, Indonesia
Abdul Halim: Universitas Gajayana Malang, Malang, Indonesia

Business Excellence and Management, 2021, vol. 11, issue 5, 138-157

Abstract: This study aims to analyze which sectors are affected by the announcement of the first Covid-19 patient and the announcement of the new normal in terms of abnormal returns, trading volume activity, market capitalization, and net foreign sell. The samples used were stocks included in the Kompas 100 index. Data were analyzed using an event study non-parametric statistical approach to Corrado rank test, Wilcoxon Sign Rank test, and statistically parametric paired sample t-test using Microsoft Excel and SPSS version 26 applications. The results of the study show that the announcement of the first Covid-19 patient did not have a significant impact on the average abnormal stock return in all business sectors. However, on the fifth day after the event, there was a significant negative abnormal return in all sectors other than the technology sector. The cyclical consumer sector and the non-cyclical consumer sector were the most affected with a negative average abnormal return. The non-cyclical consumer sector also experienced an increase in net foreign sell. Furthermore, these two sectors experienced a good recovery at the time of the announcement of the implementation of the new normal policy in terms of increasing the average transaction volume in the cyclical consumer sector, and in terms of increasing market capitalization in the noncyclical consumer sector. The technology sector was the only sector that was not significantly affected on the fifth day after the announcement of the first Covid-19 patient.

Keywords: event study; abnormal return; trading volume activity; market capitalization; net foreign sell (search for similar items in EconPapers)
Date: 2021
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