The Response of Banking Sectors to the Covid-19 Pandemic in Indonesia Stock Exchange
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Apr 28, 2022
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Abstract
The COVID-19 pandemic that hit Indonesia in early March 2020 had an impact on the capital market, especially on the banking sector. This study aimed to find out the effect of the Daily Growth in Total Confirmed Cases and Daily Growth in Total Death Cases, Recovery Cases, and Social Restrictions on the stock return of the banking sector on the Indonesia Stock Exchange. This study will contribute in two ways. First, we engaged with a particular sector, namely the banking sector which is relatively scarce in the pertaining literature. Second, we involve the role of government intervention, on which, The Large-Scale Social Restrictions (PSBB) as one of the independent variables. The data were collected from companies engaged in the banking sector as many as 46 companies between March 1, 2020, and July 31, 2021. Through Panel Regression with EVIEWS software, the finding revealed that Daily Growth in Total Death Cases and Recovery Cases had a significant effect on stock return. While the Daily Growth in Total Confirmed Cases and PSBB appears to have an insignificant effect on Stock Market Return. This study contributes to investors and investment managers in making decisions in the stock market by paying attention to information related to the Covid-19 cases in Indonesia.
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References
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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. https://doi.org/10.1108/JES-06-2020-0312
Akhtar, M., Begum, H., & Sohag, A. (2020). Impact of FII on Stock Market in India. Journal of Economics and Finance, 11(4), 765–770. https://doi.org/10.9790/5933-1104063033
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, 100326. https://doi.org/10.1016/j.jbef.2020.100326
Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock market response during COVID-19 lockdown period 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
Albulescu, C. T. (2020). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, July, 101699. https://doi.org/10.1016/j.frl.2020.101699
Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) — An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. https://doi.org/10.1016/j.jbef.2020.100341
Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54(May), 101249. https://doi.org/10.1016/j.ribaf.2020.101249
Baek, S., Mohanty, S. K., & Mina, G. (2020). COVID-19 and Stock Market Volatility: An Industry Level Analysis. Finance Research Letters, 101748. https://doi.org/10.1016/j.frl.2020.101748
Baig, A. S., Anjum, H., Haroon, O., Aun, S., & Rizvi, R. (2020). Deaths, panic, lockdowns and US equity markets : The case of COVID-19 pandemic. Finance Research Letters, July, 101701. https://doi.org/10.1016/j.frl.2020.101701
Basuki, Agus T., & Prawoto, Nano. (2017). Analisis Regresi Dalam Penelitian Ekonomi & Bisnis: Dilengkapi Aplikasi SPSS & EVIEWS. Depok: PT Rajagrafindo Persada.
Cao, K. H., Li, Q., Liu, Y., & Woo, C. K. (2020). Covid-19’s adverse effects on a stock market index. Applied Economics Letters, 00(00), 1–5. https://doi.org/10.1080/13504851.2020.1803481
Chia, R. C. J., Liew, V. K. Sen, & Rowland, R. (2020). Daily new COVID-19 cases, the movement control order, and the Malaysian stock market. International Journal of Business and Society, 21(2), 553–568.
Elena, M. (2020). Tiga Risiko Ini Bayangi Sektor Perbankan di Masa Pandemi. Finansial.Bisnis.Com.
Erdem, O. (2020). Freedom and stock market performance during Covid-19 outbreak. Finance Research Letters, 36, 101671. https://doi.org/10.1016/j.frl.2020.101671
Fama, E. (1970). The Theory of Efficient Market. Journal of Finance, pp383-417
Yahoo Finance. (2021). Historical Data IHSG. Yahoo.Finance.
Gherghina, Ștefan C., Armeanu, D. Ștefan, & Joldeș, C. C. (2020). Stock market reactions to COVID-19 pandemic outbreak: Quantitative evidence from ARDL bounds tests and Granger causality analysis. International Journal of Environmental Research and Public Health, 17(18), 1–35. https://doi.org/10.3390/ijerph17186729
Giriwijoyo, S. (2017). Fisiologi Kerja dan Olahraga. Rajawali Pers.
Gitman, L. J., & Zutter, C. J. (2015). Principles of Managerial Finance (Donna Battista (ed.); Fourteenth). Pearson Education Limited.
Hadinata, H. (2020). IHSG turun dalam akibat corona, MAMI yakin harga akan naik lagi. Investasi.Kontan.Co.Id.
He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market. Emerging Markets Finance and Trade, 56(10), 2198–2212. https://doi.org/10.1080/1540496X.2020.1785865
Helfert, E. A. (2018). Analisis Laporan Keuangan, Edisi Bahasa Indonesia. Erlangga.
Heyden, K. J., & Heyden, T. (2020). Market reactions to the arrival and containment of COVID-19: An event study. Finance Research Letters, 101745. https://doi.org/10.1016/j.frl.2020.101745
Idx.co.id. (2020). Indeks Saham. Idx.Co.Id.
Kemenkopmk.go.id. (2020). Pembatasan Sosial Berskala Besar. Kemenkopmk.Go.Id.
Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H., & Jahanger, A. (2020). The impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. Journal of Asian Finance, Economics, and Business, 7(7), 463–474. https://doi.org/10.13106/jafeb.2020.vol7.no7.463
Kumar, P., Hoang, D., Phan, B., & Liu, G. (2020). COVID-19 lockdown, stimulus packages, travel bans, and stock returns. Finance Research Letters, July, 101732. https://doi.org/10.1016/j.frl.2020.101732
Liu, H. Y., Wang, Y., He, D., & Wang, C. (2020). Short-term response of Chinese stock markets to the outbreak of COVID-19. Applied Economics, 52(53), 5859–5872. https://doi.org/10.1080/00036846.2020.1776837
Narayan, P.K., Hoang, D., Phan, B., & Liu, G. (2020). COVID-19 lockdown, stimulus packages, travel bans, and stock returns. Finance Research Letters, (July), 101732. https://doi.org/10.1016/j.frl.2020.101732
News.detik.com. (2020). Definisi Recoveries Cases. News.Detik.Com.
Okorie, D. I., & Lin, B. (2020). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, 101640. https://doi.org/10.1016/j.frl.2020.101640
Pareek, S. K., & Singh, K. B. (2020). COVID-19 and its initial signaling effects on the stock market in India. International Journal of Advanced Science and Technology, 29(6), 1591–1595.
Petropoulos, F., & Makridakis, S. (2020). Forecasting the novel coronavirus COVID-19. PLoS ONE, 15(3), 1–8. https://doi.org/10.1371/journal.pone.0231236
Rath, R. S., Dixit, A. M., Koparkar, A. R., Kharya, P., & Joshi, H. S. (2020). COVID-19 pandemic in India: A Comparison of pandemic pattern in the Selected States. Nepal Journal of Epidemiology, 10(2), 856–864. https://doi.org/10.3126/nje.v10i2.28960
Sakti, N. W. (2020). Perekonomian Indonesia Pasca-Pandemi Covid-19. Kompas.Com.
Salisu, A. A., & Vo, X. V. (2020). Predicting stock returns in the presence of COVID-19 pandemic: The role of health news. International Review of Financial Analysis, 71, 101546. https://doi.org/10.1016/j.irfa.2020.101546
Shehzad, K., Xiaoxing, L., Arif, M., Rehman, K. U., & Ilyas, M. (2020). Investigating the Psychology of Financial Markets During COVID-19 Era: A Case Study of the US and European Markets. Frontiers in Psychology, 11(1924), 1–13. https://doi.org/10.3389/fpsyg.2020.01924
Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries. Global Business Review, 1–26. https://doi.org/10.1177/0972150920957274
Who.int. (2020). Cause of Death COVID-19. https://www.who.int/classifications/icd/Guidelines_Cause_of_Death_COVID-19.pdf?ua=1
Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. https://doi.org/10.1016/j.frl.2020.101528