Shaz Foo Kim

The Announcement of COVID-19 Pandemic and Performance of Indonesian Stock Market: An Event Study Analysis

Agung Masyad Fawzi1, Sunarti,1 2.Andhyka Tyaz Nugraha

Vol-

784

-Issue-

December 21, 2020

Abstract

The spread of corona virus worldwide has brought major effects on Indonesian capital market since the first time the pandemic entered the country in March, 2020. Thus, this study is written in the purpose to analyse and evaluate the impact of COVID-19 outbreak on Indonesia Stock Exchange (IDX) performance before, during, and after the official announcement day. The five observed sectors of industry are consumer, manufacture, mining, property, and agriculture sector. The event study analysis method is used in this research to value short-term influence of the announcement day on the selected stock market performance. The empirical outcomes of study showed that manufacture sector had positive result of its abnormal return on day 0. After the announcement day, it showed that consumer and manufacture sector had better stock performance with positive result of their abnormal return, unlike the property and agriculture sector that showed the opposite result of their stock performance. The stock performance in mining sector remained stable even after the announcement day. The companies’ management, as well as the government of Indonesia, should pay more attention towards the aggrieved industries like property and agriculture sector due to negative effect of existence of the outbreak. This study is expected to provide valuable information to the investors, companies, and Indonesia governments for coping with future epidemic outbreak.

Keywords: COVID-19, Pandemic, Event Study, Abnormal Return, Stock Performance, Indonesia Stock Exchange (IDX).