The Effect of Market Return, Rupiah Exchange Rate, and COVID-19 Cases on Stock Returns of Pharmaceutical Companies Listed on IDX
Keywords:
Market Return, Rupiah Exchange, COVID-19 Cases, Stock Returns
Abstract
This study aims to determine the effect of Market Return, Rupiah Exchange Rate, and COVID-19 Cases on stock returns of Pharmaceutical sub-sector companies listed on the IDX. The population of this study amounted to 11 companies. The number of samples in this study was 9 companies which were determined based on the purposive sampling technique. This study uses quantitative research methods using secondary data. The data analysis technique used multiple linear regression. The results showed that simultaneously the return of the JCI, Rupiah Exchange, Daily Positive COVID-19 Cases, and Daily COVID-19 Death Cases had a significant effect on stock returns. While partially JCI returns have a significant effect to all pharmaceutical companies, the rupiah exchange rate only has a significant effect on stock returns for some issuers (DVLA, INAF, KLBF), positive COVID-19 cases only affect INAF returns, and daily COVID-19 death cases do not affect stock returns pharmacy.
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References
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Andes, P., Puspitaningtyas, Z., & Lukman, S. 2017. Pengaruh Inflasi, Kurs Rupiah, dan Suku Bunga terhadap Return Saham Perusahaan Manufaktur. Jurnal Akuntansi Keuangan dan Bisnis,10(2),8-16
Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249
Bank Indonesia. Accessed July 23, 2021 from www.bi.go.id
Benaković, D., & Posedel, P. (2010). Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market. Bsrj, 1(1–2), 39–46. https://doi.org/10.2478/v10305-012-0023-z
Brigham, Eugne F dan Houston. 2014. Dasar-Dasar Manajemen Keuangan. Jakarta: Salemba Empat.
Indonesia Stock Exchange. Accessed March 2, 2021 from www.idx.co.id
Chkili, W., & Nguyen, D. K. (2014). Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries. Research in International Business and Finance, 31, 46–56. https://doi.org/10.1016/j.ribaf.2013.11.007
Databoks: Data Center and Indonesian Economy. Accessed March 28, 2021 from https://databoks.katadata.co.id/
Elsayed, Abdullah dan Elhrim, Mansour Abd. 2020. The Effect of COVID-19 Spread On Eguptian Srock Market Sectors. SSRN
Ghozali, I. 2016. Aplikasi Analisis Multivariete Dengan Program IBM SPSS 23. Edisi 8. Semarang: Badan Penerbit Universitas Diponegoro.
Hartono, 2015. Teori Portofolio dan Analisis Investasi Edisi, Kesepuluh. Yogyakarta: BPFE
Husnan, Suad. 2015. Dasar-dasar Teori Portofolio & Analisis Sekuritas. Edisi Kelima. Yogyakarta: UPP STIM YKPN
Indriantoro, Nur dan Supomo, Bambang. 2018. Metodologi Penelitian Bisnis - untuk Akuntansi dan Manajemen (Edisi Pertama) Yogyakarta: ANDI, Yogyakarta: BPFE
Jogiyanto.2017. Teori Portofolio dan Analisis Investasi. Yogyakarta : BPFE
Kasman, S., Vardar, G., & Tunç, G. (2011). The impact of interest rate and exchange rate volatility on banks’ stock returns and volatility: Evidence from Turkey. Economic Modelling, 28(3), 1328–1334. https://doi.org/10.1016/j.econmod.2011.01.015
Kisman, Z., & Restiyanita, S. (2015). M. The Validity of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Predicting the Return of Stocks in Indonesia Stock Exchange. American Journal of Economics, Finance and Management, 1(3), 184–189.
Liew, V. K.-S., & Puah, C.-H. (2020). Chinese stock market sectoral indices performance in the time of novel coronavirus pandemic. May, 1–23. https://doi.org/10.21203/rs.3.rs-29363/v1
Mamduh M, Hanafi dan Halim, Abdul. 2007. Analisa Laporan Keuangan. Edisi Ketiga. Yogyakarta: UPP STIM YKPN
Mardina, S., Wardiningsih, suprihatmi sri, & Wibowo, E. (2019). PENGARUH INFLASI, NILAI TUKAR RUPIAH, SUKU BUNGA, DAN PROFITABILITAS TERHADAP RETURN SAHAM PERUSAHAAN CONSUMER GOODS INDUSTRY YANG TERDAFTAR DI BEI TAHUN 2013 – 2017 Suci. Jurnal Ekonomi Dan Kewirausahaan, 19(3), 294–305.
Ndlovu, B., Faisa, F., Resatoglu, N. G., & Türsoy, T. (2018). The impact macroeconomic variables on stock returns: A case of the Johannesburg stock exchange. Romanian Statistical Review, 2018(2), 87- 104
Paavola, M. (2006). Tests of the Arbitrage Pricing Theory Using Macroeconomic Variables in the Russian Equity Market. Lappeenraanta Oniversity of Techniology, 1–47. http://www.doria.fi/bitstream/handle/10024/30869/TMP.objres.246.pdf
Spyridis, T., Sevic, Z., & Theriou, N. (2012). Macroeconomic vs. statistical APT approach in the athens stock exchange. International Journal of Business, 17(1), 39–64.
Sugiyono. 2016. Metode Penelitian Kuantitatif, Kualitatif, dan R&D. Bandung: Alfabeta
U. Kibria, Y. Mehmood, M. Kamran, M. U. Arshad, R. Perveen, and M. Sajid, “The Impact of Macroeconomic Variables on Stock Market Returns : A Case of Pakistan,” Res. J. Manag. Sci., vol. 3, no. 8, pp. 1–7, 2014.
Utama, O. Y., & S. P. 2020. The Effect of BI Rate, USD to IDR Exchange Rates, and Gold Price on Stock Returns Listed in the SRI KEHATI Index. Jurnal Dinamika Manajemen, 11(1), 38-46
Wahyu Umaryadi, M. E., Hamdana, Saragih, D. A., & Burhan, H. (2021). Interest Rate, Inflation and Jakarta Composite Index on Digital Media Based Companies Stock Return in Indonesia. Journal of Physics: Conference Series, 1807(1). https://doi.org/10.1088/1742-6596/1807/1/012025
Wiradharma A, M., & Sudjarni, L. (2016). Pengaruh Tingkat Suku Bunga, Tingkat Inflasi, Nilai Kurs Rupiah Dan Produk Domestik Bruto Terhadap Return Saham. E-Jurnal Manajemen Universitas Udayana, 5(6), 254288.
Yahoo Finance. Accessed on July 23, 2021 from https://finance.yahoo.com
