COVID-19 OUTBREAK AND CAPITAL MARKET REACTION: AN EVIDENCE FROM THE JAKARTA ISLAMIC INDEX 70

Siti Amaroh

Abstract


The COVID-19 outbreak has become a global problem affecting human life entirely. This paper provides evidence of the market reaction to Jokowi’s announcement regarding the first patient of COVID-19 in Indonesia on March 2, 2020. This research is an event study that looks at whether or not there is a difference in average abnormal returns of 'go public' companies registered on The Jakarta Islamic Index (JII) 70 both before and after the announcement. The observations were made 9 days before the announcement and 9 days after the announcement. Based on descriptive data, the average stock returns of JII 70 fluctuated which increased on the first day after the announcement but decreased sharply after the fifth day of the announcement. The test showed that the average abnormal returns are negative both before and after the announcement. The paired sample t-test provided evidence that there is a difference in the average abnormal return during the testing period between before and after the announcement. The market reacted negatively to the announcement indicated by negative average abnormal return and support a semi-strong market hypothesis.

========================================================================================================

Wabah Covid-19 dan Reaksi Pasar Modal: Bukti dari Jakarta Islamic Index 70. Wabah COVID-19 telah menjadi masalah global yang mempengaruhi kehidupan manusia sepenuhnya. Paper ini memberikan bukti reaksi pasar terhadap pengumuman Presiden Jokowi mengenai pasien perta COVID-19 di Indonesia pada 2 Maret 2020. Penelitian ini merupakan studi peristiwa yang melihat apakah terdapat perbedaan rata-rata abnormal return perusahaan go public yang terdaftar di Jakarta Islamic Index (JII) 70 baik sebelum maupun sesudah pengumuman. Pengamatan dilakukan 9 hari sebelum pengumuman dan 9 hari sesudah pengumuman. Berdasarkan data deskriptif, rata-rata return saham JII 70 mengalami fluktuasi yang meningkat pada hari pertama setelah pengumuman namun menurun tajam pada hari kelima setelah pengumuman. Hasil pengujian menunjukkan bahwa rata-rata abnormal return bernilai negatif baik sebelum maupun sesudah pengumuman. Uji-t sampel berpasangan memberikan bukti bahwa terdapat perbedaan rata-rata abnormal return selama periode pengujian antara sebelum dan sesudah pengumuman. Pasar bereaksi negatif terhadap pengumuman yang ditunjukkan oleh rata-rata abnormal return negatif dan mendukung hipotesis pasar semi-kuat.


Keywords


Market Reaction, Event Study, Market Efficiency, COVID-19, Jakarta Islamic Index

Full Text:

PDF

References


Al-Awadhia, A. M., Alsaifia, K., Al-Awadhib, 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, 1-5.

Ashraf, B. N. (2020). Economic Impact of Government Interventions During The COVID-19 Pandemic: International Evidence From Financial Markets. Journal of Behavioral and Experimental Finance 27, 1-9.

Beik, I. S., & Fatmawati1, S. W. (2014). Pengaruh Indeks Harga Saham Syariah Internasional dan Variabel Makro Ekonomi Terhadap Jakarta Islamic Index. Al-Iqtishad 6(2), 155-178.

Brandon-Jones, E., Dutordoir, M., Neto, J. Q., & Squire, B. (2017). The Impact of Reshoring Decisions on Shareholder Wealth. Journal of Operations Management Volumes 49–51, 31-36. https://doi.org/10.1016/j.jom.2016.12.002.

Chen, C.-D., Chen, C.-C., Tang, W.-W., & Huang, B.-Y. (2009). The Positive and Negative Impacts of the Sars Outbreak: A Case of the Taiwan Industries. The Journal of Developing Areas 43(1), 281-293.

Chena, M.-P., Lee, C.-C., Lin, Y.-H., & Chen, W.-Y. (2018). Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth time-varying cointegration analysis. Economic Research-Ekonomska Istraživanja 31(1), 908-926. https://doi.org/10.1080/1331677X.2018.1456354.

Choi, E., Du, W., & Malcolm, M. (2019). The Cost of the Travel Ban to High-Tech Firms: An Event Study. Economics Bulletin 39(1), 64-72.

Erdem, O. (2020). Freedom and Stock Market Performance During Covid-19 Outbreak. Finance Reserach Letters 36, 1-6.

Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance 25(2), 383-417.

Ibrahim, A. (2015). The Influence of Islamic Work Ethics on Organizational Performance at the Islamic Banking Institutions in Aceh. (Ph.D. Thesis), University of Malaya, Kuala Lumpur.

Ibrahim, A., & Kamri, N. A. (2013). Measuring the Islamic Work Ethics: An Alternative Approach. In N. A. Kamri, A. Madun, & S. Sarif (Eds.), Islamic Perspective on Management: Contemporary Issues (pp. 135-163). Kuala Lumpur, Malaysia: YaPEIM Management Academy & Dept. of Shariah and Management, Acad. of Islamic Studies, University of Malaya.

Ibrahim, A., & Kamri, N. A. (2017). The Ethical Practices of Islamic Banking: An Analysis from Customer Satisfaction Perspective. MIQOT: Jurnal Ilmu-ilmu Keislaman, 41(1).

Jamil, N. S., Hassan, H., & Bujang, I. (2020). The Effect of Shari’ah Compliance Announcements on Stock Returns in Malaysia. International Journal of Business and Society 21(1), 217-233.

Jogiyanto, H. M. (2009). Teori Portofolio dan Analisis Investasi Edisi Keenam. Yogyakarta: BPFE.

Jogiyanto, H. M. (2010). Teori Portofolio dan Analisis Investasi. Edisi Ketujuh. Yogyakarta: BPFE.

Kamri, N. A., Ramlan, S. F., & Ibrahim, A. (2014). Qur'anic Work Ethics. Journal of Usuluddin, 40(July-December), 135-172.

Khajar, I. (2012). Efisiensi Pasar Modal Syariah Indonesia Sebelum dan Sesudah Krisis Finansial Global 2008. Jurnal Keuangan dan Perbankan 16(1), 66–76 .

Koca, Y. D., Celik, S., & Celikkol, H. (2019). The Stock Price Behavior of Participation Index Firms: The Event Study on Borsa Istanbul. Business and Economics Research Journal 10(4), 845-853. doi: 10.20409/berj.2019.205.

Lee, C.-C., & Chen, C.-J. (2011). The reaction of elderly Asian tourists to avian influenza and SARS. Tourism Management 32, 1421-1422.

Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 Outbreak and Affected Countries Stock Markets Response. International Journal of Environmental Research and Public Health 17, 2800, 1-19.

Mohamed, M., Yahya, N. C., & Ishak, N. A. (2017). Market Reactions Towards the Announcement of Sukuk Issuance: Evidence from Malaysian Market (Reaksi Pasaran ke Arah Pengumuman Berkaitan Pengeluaran Sukuk: Keterangan dari Pasaran Malaysia). Jurnal Pengurusan 49, 89 – 102. https://doi.org/10.17576/pengurusan-2017-49-08 .

Rosario, S., & Chavali, K. (2016). Market Reaction on Dividend Announcement in Oman: An Event Study Methodology. International Journal of Economics and Financial Issues 6(1), 103-108.

Sachdeva, T., Sinha, N., & Kaushik, K. (2015). Impact of Merger and Acquisition Announcement on Shareholders' Wealth an Empirical Study Using Event Study Methodology. Delhi Business Review 16(2), 19-36.

Soemitra, A. (2015). Bank dan Lembaga Keuangan Syariah. Jakarta: Prenadamedia Group.

Sutarni, N., & Dermawan, R. (2004). Efek Penurunan Dividen Kas Final Terhadap Pengembalian Saham Event Study Saham di Bursa Efek fakarta. Manajerial 2(4), 94-108.

Syed, A. M., & Bajwa, I. A. (2018). Earnings Announcements,Stock Price Reaction and Market Efficiency – The Case of Saudi Arabia . International Journal of Islamic and Middle Eastern Finance and Management 11(3), 416-431.DOI 10.1108/IMEFM-02-2017-0044.

Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio. Yogyakarta: BPFE.

Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi. Edisi Pertama. Yogyakarta: Kanisius.

Tanveer, Z., & Jamil, M. (2019). The Impact of Dividend Announcement on Stock Returns Among the Ten Top Companies In Pakistan. Malaysian Management Journal 23, 47-64.

Teschner, N., & Paul, H. (2020). The Impact of Divestitures on Shareholder Wealth – The DACH Case. European Journal of Management and Business Economics, DOI 10.1108/EJMBE-08-2019-0133.

Wardiyah, M. L. (2017). Manajemen Pasar Uang dan Pasar Modal. Bandung: Pustaka Setia.

Zhang, D., Hu, M., & Ji, Q. (2020). Financial Markets Under the Global Pandemic of COVID-19. Finance Research Letters 36, 1-6.




DOI: http://dx.doi.org/10.22373/share.v9i2.7887

Copyright (c) 2020 Share: Jurnal Ekonomi dan Keuangan Islam

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Welcome to SHARE Jurnal Ekonomi dan Keuangan Islam Open Journal System. Thank you very much for Visiting.

 

View My Stats