Reaksi Pasar terhadap Penerapan Pembatasan Sosial Berskala Besar pada Masa Pandemi Covid-19
Abstract
On April 6, 2020, the government approved the implementation of the first Large-Scale Social Restrictions (PSBB) in Indonesia in the context of accelerating the handling of the Covid-19 pandemic. This study uses this event as an event under study to observe the market reaction before and after it, with a window period of 11 days. The average abnormal return and the average trading volume activity of stocks are used as indicators of market reaction. The study was conducted on 152 trading, service and investment sector companies listed on the Indonesia Stock Exchange (IDX), which were determined using a non-probability sampling method with a purposive sampling technique. Data were analyzed by using paired sample t-test and Wilcoxon signed rank test. The results showed that there was no difference between the average abnormal return and the average trading volume activity before and after the first PSBB was approved in Indonesia. The absence of market reaction is assumed because the level of market efficiency in Indonesia is still weak.
Keywords : Covid-19; Social Distancing Policy; Market Reaction; Abnormal Return; Trading Volume Activity.
Downloads
Download data is not yet available.
References
Ady, S. U. (2017). Eksplorasi Tingkat Efisiensi Pasar Modal Indonesia Studi Kasus di Bursa Efek Indonesia. Ekspektra : Jurnal Bisnis Dan Manajemen, 1(2), 103. https://doi.org/10.25139/ekt.v0i0.184
Bahrini, R., & Filfilan, A. (2020). Impact of the novel coronavirus on stock market returns: evidence from GCC countries. Quantitative Finance and Economics, 4(4), 640–652. https://doi.org/10.3934/QFE.2020029
Brigham, E. F., & Houston, J. F. (2012). Dasar-dasar Manajemen Keuangan (2nd ed.). Jakarta: Salemba Empat.
Danylchuk, K., Stegink, J., & Lebel, K. (2016). Doping scandals in professional cycling: impact on primary team sponsor’s stock return. International Journal of Sports Marketing and Sponsorship, 17(1), 37–55. https://doi.org/10.1108/IJSMS-02-2016-003
De Souza, H. E., Barbedo, C. H. D. S., & Araújo, G. S. (2018). Does investor attention affect trading volume in the Brazilian stock market? Research in International Business and Finance, 44, 480–487. https://doi.org/10.1016/j.ribaf.2017.07.118
Dias, R., Heliodoro, P., & Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis. Mednarodno Inovativno Poslovanje = Journal of Innovative Business and Management, 12(2), 13–19. https://doi.org/10.32015/JIBM.2020.12.2.13-19
Egger, P. H., & Zhu, J. (2021). The US–Chinese trade war: an event study of stock-market responses. Economic Policy, 35(103), 519–559. https://doi.org/10.1093/epolic/eiaa016
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. https://doi.org/10.2307/2325486
Hachenberg, B., Kiesel, F., Kolaric, S., & Schiereck, D. (2017). The impact of expected regulatory changes: The case of banks following the 2016 U.S. election. Finance Research Letters, 22, 268–273. https://doi.org/10.1016/j.frl.2016.12.021
Hadiwardoyo, W. (2020). Kerugian Ekonomi Nasional Akibat Pandemi Covid-19. Baskara: Journal of Business and Entrepreneurship, 2(2), 83–92. https://doi.org/10.24853/baskara.2.2.83-92
Huo, X., & Qiu, Z. (2020). How does China’s stock market react to the announcement of the COVID-19 pandemic lockdown? Economic and Political Studies, 8(4), 436–461. https://doi.org/10.1080/20954816.2020.1780695
Irmayani, N. W. D. (2021). Dampak Pandemic Covid 19 Terhadap Reaksi Pasar Pada Sektor Consumer Goods Industry di Bursa Efek Indonesia. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 12, 1127. https://doi.org/10.24843/EEB.2020.v09.i12.p05
Junaedi, D., & Salistia, F. (2020). Dampak Pandemi Covid-19 terhadap Pasar Modal di Indonesia: Studi Kasus Indeks Saham Komposit (ISHG). Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, 2(2), 109–138. https://doi.org/10.47467/alkharaj.v2i2.112
Makino, R. (2016). Stock market responses to chemical accidents in Japan: An event study. Journal of Loss Prevention in the Process Industries, 44, 453–458. https://doi.org/10.1016/j.jlp.2016.10.019
Pameswari, I. A. N., & Wirakusuma, M. G. (2018). Analisis Reaksi Pasar Modal Pada Peristiwa Pemilihan Gubernur Dki Jakarta Tahun 2017. E-Jurnal Akuntansi, 22(2), 944. https://doi.org/10.24843/EJA.2018.v22.i02.p05
Purba, T. (2017). Analisis Komparasi Abnormal Return Dan Volume Perdagangan Saham Atas Pemberlakuan Peraturan Pemerintah Nomor 1 Tahun 2014 Terkelin. JURNAL RISET BISNIS DAN MANAJEMEN Fakutas Ekonomi Dan Bisnis Universitas Sam Ratulangi, 5(1), 55–72.
Repousis, S. (2016). Abnormal stock returns in Greece during the Cypriot banking crisis. Journal of Money Laundering Control, 19(2), 122–129. https://doi.org/10.1108/JMLC-04-2015-0015
Rosati, P., Cummins, M., Deeney, P., Gogolin, F., van der Werff, L., & Lynn, T. (2017). The effect of data breach announcements beyond the stock price: Empirical evidence on market activity. International Review of Financial
Analysis, 49, 146–154. https://doi.org/10.1016/j.irfa.2017.01.001
Saputra, I. (2016). Analisis Perbedaan Rata-Rata Trading Volume Activity Saham Sebelum dan Sesudah Pemilu Presiden dan Wakil Presiden Tahun 2014 (Event Study Pada Saham LQ-45 Di Bursa Efek Indonesia Periode 29 Juni -19 Juli 2014). Jurnal Ekonomi Dan Bisnis, 9(1), 76–86.
Setiawan, K. (2020, April 1). 4 Sektor yang Paling Tertekan Akibat Corona Menurut Sri Mulyani. TEMPO.CO, p. 1. Retrieved from https://bisnis.tempo.co/read/1326504/4-sektor-yang-paling-tertekan-akibat-corona-menurut-sri-mulyani/full&view=ok
Sihombing, E., & Sukmadilaga, C. (2018). Analisis Efisiensi Bentuk Lemah Dalam Pasar Modal Developed, Emerging, Dan Frontier Analysis of Weak Efficiency in Developed, Emerging and Frontier Capital Markets. Jurnal Ekonomi Dan Bisnis Terapan, 14(1), 102–121. Retrieved from http://journal.feb.unpad.ac.id/index.php/jebt/article/download/477/130
Suganda, T. R. (2018). Event Study, Teori dan Pembahasan Reaksi Pasar Modal Indonesia (S. R. Wicaksono, ed.). https://doi.org/10.31227/osf.io/zbqm7
Suhaedading, L. I. (2020). Pembatasan Sosial Berskala Besar (PSSB) saat Pandemi Covid-19 dan Dampaknya bagi Pasar Modal Indonesia. Abiwara : Jurnal Vokasi Administrasi Bisnis, 2(1), 33–37. https://doi.org/10.31334/abiwara.v2i1.1053
Verma, D., & Sinha, P. K. (2020). Has COVID 19 Infected Indian Stock Market Volatility? Evidence from NSE. AAYAM : AKGIM Journal of Management, 10(1), 25–35. Retrieved from https://www.proquest.com/docview/2438621854?accountid=26724 http://sfx.library.cdc.gov/cdc/?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&genre=article&sid=ProQ:ProQ%3Aabiglobal&atitle=Has+COVID+19+Infected+Indian+Stock+Market+Volatility%3F
Wibowo, A. (2017). Reaksi Investor Pasar Modal Indonesia Terhadap Paket Kebijakan Ekonomi Tahap I Jokowi – JK (Studi pada Saham LQ 45 Periode Agustus 2015 – Pebruari 2016 ). Media Ekonomi Dan Manajemen, 32(1), 58–70. https://doi.org/10.24856/mem.v32i1.452
Yuniati, T. (2017). Analisis Abnormal Return dan Trading Volume Activity Saham LQ45 pada Seputar Peristiwa Pengumuman Kebijakan Pengampunan Pajak (Tax Amnesty) (Universitas Lampung). Universitas Lampung. Retrieved from https://www.oecd.org/dac/accountable-effective-institutions/Governance Notebook 2.6 Smoke.pdf
Yuwono, A. (2013). Reaksi Pasar Modal di Bursa Efek Indonesia terhadap Pengumuman Peristiwa Bencana Banjir yang Melanda Daerah Khusus Ibu Kota Jakarta Tahun 2013. Nominal, Barometer Riset Akuntansi Dan Manajemen, 2(2). https://doi.org/10.21831/nominal.v2i2.1668
Bahrini, R., & Filfilan, A. (2020). Impact of the novel coronavirus on stock market returns: evidence from GCC countries. Quantitative Finance and Economics, 4(4), 640–652. https://doi.org/10.3934/QFE.2020029
Brigham, E. F., & Houston, J. F. (2012). Dasar-dasar Manajemen Keuangan (2nd ed.). Jakarta: Salemba Empat.
Danylchuk, K., Stegink, J., & Lebel, K. (2016). Doping scandals in professional cycling: impact on primary team sponsor’s stock return. International Journal of Sports Marketing and Sponsorship, 17(1), 37–55. https://doi.org/10.1108/IJSMS-02-2016-003
De Souza, H. E., Barbedo, C. H. D. S., & Araújo, G. S. (2018). Does investor attention affect trading volume in the Brazilian stock market? Research in International Business and Finance, 44, 480–487. https://doi.org/10.1016/j.ribaf.2017.07.118
Dias, R., Heliodoro, P., & Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended Fluctuation Analysis. Mednarodno Inovativno Poslovanje = Journal of Innovative Business and Management, 12(2), 13–19. https://doi.org/10.32015/JIBM.2020.12.2.13-19
Egger, P. H., & Zhu, J. (2021). The US–Chinese trade war: an event study of stock-market responses. Economic Policy, 35(103), 519–559. https://doi.org/10.1093/epolic/eiaa016
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. https://doi.org/10.2307/2325486
Hachenberg, B., Kiesel, F., Kolaric, S., & Schiereck, D. (2017). The impact of expected regulatory changes: The case of banks following the 2016 U.S. election. Finance Research Letters, 22, 268–273. https://doi.org/10.1016/j.frl.2016.12.021
Hadiwardoyo, W. (2020). Kerugian Ekonomi Nasional Akibat Pandemi Covid-19. Baskara: Journal of Business and Entrepreneurship, 2(2), 83–92. https://doi.org/10.24853/baskara.2.2.83-92
Huo, X., & Qiu, Z. (2020). How does China’s stock market react to the announcement of the COVID-19 pandemic lockdown? Economic and Political Studies, 8(4), 436–461. https://doi.org/10.1080/20954816.2020.1780695
Irmayani, N. W. D. (2021). Dampak Pandemic Covid 19 Terhadap Reaksi Pasar Pada Sektor Consumer Goods Industry di Bursa Efek Indonesia. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 12, 1127. https://doi.org/10.24843/EEB.2020.v09.i12.p05
Junaedi, D., & Salistia, F. (2020). Dampak Pandemi Covid-19 terhadap Pasar Modal di Indonesia: Studi Kasus Indeks Saham Komposit (ISHG). Al-Kharaj : Jurnal Ekonomi, Keuangan & Bisnis Syariah, 2(2), 109–138. https://doi.org/10.47467/alkharaj.v2i2.112
Makino, R. (2016). Stock market responses to chemical accidents in Japan: An event study. Journal of Loss Prevention in the Process Industries, 44, 453–458. https://doi.org/10.1016/j.jlp.2016.10.019
Pameswari, I. A. N., & Wirakusuma, M. G. (2018). Analisis Reaksi Pasar Modal Pada Peristiwa Pemilihan Gubernur Dki Jakarta Tahun 2017. E-Jurnal Akuntansi, 22(2), 944. https://doi.org/10.24843/EJA.2018.v22.i02.p05
Purba, T. (2017). Analisis Komparasi Abnormal Return Dan Volume Perdagangan Saham Atas Pemberlakuan Peraturan Pemerintah Nomor 1 Tahun 2014 Terkelin. JURNAL RISET BISNIS DAN MANAJEMEN Fakutas Ekonomi Dan Bisnis Universitas Sam Ratulangi, 5(1), 55–72.
Repousis, S. (2016). Abnormal stock returns in Greece during the Cypriot banking crisis. Journal of Money Laundering Control, 19(2), 122–129. https://doi.org/10.1108/JMLC-04-2015-0015
Rosati, P., Cummins, M., Deeney, P., Gogolin, F., van der Werff, L., & Lynn, T. (2017). The effect of data breach announcements beyond the stock price: Empirical evidence on market activity. International Review of Financial
Analysis, 49, 146–154. https://doi.org/10.1016/j.irfa.2017.01.001
Saputra, I. (2016). Analisis Perbedaan Rata-Rata Trading Volume Activity Saham Sebelum dan Sesudah Pemilu Presiden dan Wakil Presiden Tahun 2014 (Event Study Pada Saham LQ-45 Di Bursa Efek Indonesia Periode 29 Juni -19 Juli 2014). Jurnal Ekonomi Dan Bisnis, 9(1), 76–86.
Setiawan, K. (2020, April 1). 4 Sektor yang Paling Tertekan Akibat Corona Menurut Sri Mulyani. TEMPO.CO, p. 1. Retrieved from https://bisnis.tempo.co/read/1326504/4-sektor-yang-paling-tertekan-akibat-corona-menurut-sri-mulyani/full&view=ok
Sihombing, E., & Sukmadilaga, C. (2018). Analisis Efisiensi Bentuk Lemah Dalam Pasar Modal Developed, Emerging, Dan Frontier Analysis of Weak Efficiency in Developed, Emerging and Frontier Capital Markets. Jurnal Ekonomi Dan Bisnis Terapan, 14(1), 102–121. Retrieved from http://journal.feb.unpad.ac.id/index.php/jebt/article/download/477/130
Suganda, T. R. (2018). Event Study, Teori dan Pembahasan Reaksi Pasar Modal Indonesia (S. R. Wicaksono, ed.). https://doi.org/10.31227/osf.io/zbqm7
Suhaedading, L. I. (2020). Pembatasan Sosial Berskala Besar (PSSB) saat Pandemi Covid-19 dan Dampaknya bagi Pasar Modal Indonesia. Abiwara : Jurnal Vokasi Administrasi Bisnis, 2(1), 33–37. https://doi.org/10.31334/abiwara.v2i1.1053
Verma, D., & Sinha, P. K. (2020). Has COVID 19 Infected Indian Stock Market Volatility? Evidence from NSE. AAYAM : AKGIM Journal of Management, 10(1), 25–35. Retrieved from https://www.proquest.com/docview/2438621854?accountid=26724 http://sfx.library.cdc.gov/cdc/?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&genre=article&sid=ProQ:ProQ%3Aabiglobal&atitle=Has+COVID+19+Infected+Indian+Stock+Market+Volatility%3F
Wibowo, A. (2017). Reaksi Investor Pasar Modal Indonesia Terhadap Paket Kebijakan Ekonomi Tahap I Jokowi – JK (Studi pada Saham LQ 45 Periode Agustus 2015 – Pebruari 2016 ). Media Ekonomi Dan Manajemen, 32(1), 58–70. https://doi.org/10.24856/mem.v32i1.452
Yuniati, T. (2017). Analisis Abnormal Return dan Trading Volume Activity Saham LQ45 pada Seputar Peristiwa Pengumuman Kebijakan Pengampunan Pajak (Tax Amnesty) (Universitas Lampung). Universitas Lampung. Retrieved from https://www.oecd.org/dac/accountable-effective-institutions/Governance Notebook 2.6 Smoke.pdf
Yuwono, A. (2013). Reaksi Pasar Modal di Bursa Efek Indonesia terhadap Pengumuman Peristiwa Bencana Banjir yang Melanda Daerah Khusus Ibu Kota Jakarta Tahun 2013. Nominal, Barometer Riset Akuntansi Dan Manajemen, 2(2). https://doi.org/10.21831/nominal.v2i2.1668
Published
2021-12-17
How to Cite
PURNAYASA, I Wayan Agus; SISDYANI, Eka Ardhani.
Reaksi Pasar terhadap Penerapan Pembatasan Sosial Berskala Besar pada Masa Pandemi Covid-19.
E-Jurnal Akuntansi, [S.l.], v. 31, n. 12, p. 3133-3147, dec. 2021.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/77202>. Date accessed: 19 apr. 2024.
doi: https://doi.org/10.24843/EJA.2021.v31.i12.p08.
Issue
Section
Artikel
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
