Evaluation of the impact of Covid-19 on abnormal return of the socially responsible stocks and the most liquid stocks listed on IDX
Keywords:
Abnormal Return, SRI-Kehati, LQ45, COVID-19 Global Pandemic
Abstract
The COVID-19 pandemic has impacted the investment climate in the Indonesian capital market, thus impacting investors' decisions in choosing resilient stocks during the pandemic. Socially responsible stocks are considred to be more reliable during crisis compared to other stocks. This study aims to determine the difference between abnormal returns before and after the announcement of COVID-19 as a global pandemic by the World Health Organization on March 11, 2020, against the SRI-Kehati and LQ45 indexes. Sample selection using purposive sampling technique with a sample of 17 companies SRI-Kehati and 21 companies LQ45. The data analysis used were one-sample t-test, one-sample Wilcoxon signed-rank test, Paired sample t-test, and Independent sample t-test. The results of this study indicate that there are significant abnormal returns and significant differences in average abnormal returns for the two indices. There is no significant difference in average abnormal return SRI-Kehati with average abnormal return LQ45. So, the results show that SRI-Kehati shares are more attractive to investors during the pandemic.
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References
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Nur Indriantoro, B. S. (2016). Metodologi Penelitian Bisnis untuk Akuntansi dan Manajemen. Yogyakarta : BPFE.
Nuryadi, Astuti, D.T, Utami, E. . & B. M. (2017). Dasar-Dasar Statistik Penelitian. Sibuku Media.
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Samsul, M. (2006). Pasar Modal dan Manajemen Portofolio. Jakarta : Erlangga.
Suad Husnan. (2005). Dasar-Dasar Teori Postofolio dan Analisis Sekuritas. Yogyakarta: UPP AMP YKPN.
Sugiyono. (2010). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Bandung : Alfabeta.
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi. Yogyakarta : Kanisius.
Wagner, A. F. (2020). What the stock market tells us about the post-COVID-19 world. Nature Human Behaviour, 4(5), 440. https://doi.org/10.1038/s41562-020-0869-y
Widiyanto. (2013). Statistika Terapan, Konsep dan Aplikasi SPSS/Lisrel dalam Penelitian Pendidikan, Psikologi dan Ilmu Sosial Lainnya. PT. Elex Media Komputindo.
Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36(March), 101528. https://doi.org/10.1016/j.frl.2020.101528
www.idx.co.id
www.finance.yahoo.com
www.investing.com
AlAli, M. S. (2020). The Effect of WHO COVID-19 Announcement on Asian Stock Markets Returns: An Event Study Analysis. Journal of Economics and Business, 3(3), 1051–1054. https://doi.org/10.31014/aior.1992.03.03.261
Albuquerque, R. A., Koskinen, Y. J., Yang, S., & Zhang, C. (2020). Love in the Time of COVID-19: The Resiliency of Environmental and Social Stocks. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3583611
Ashraf, B. N. (2020). Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID- 19 . The COVID-19 resource centre is hosted on Elsevier Connect , the company ’ s public news and information . January.
Baker, S. R., Bloom, N., & Terry, S. J. (2020). Using Disasters to Estimate the Impact of Uncertainty. Ssrn. https://doi.org/10.3386/W27167
Bora, D., & Basistha, D. (2021). The outbreak of COVID-19 pandemic and its impact on stock market volatility: Evidence from a worst-affected economy. Journal of Public Affairs, November 2020. https://doi.org/10.1002/pa.2623
Cameron-blake, E. (2021). Variation in government responses to COVID-19__webpage and tool. https://covidtracker.bsg.ox.ac.uk/stringency-scatter
Cannin, D. E. B. dan D. (2000). The health (and wealth) of nations. Lancet, 359(9311), 993–994. https://doi.org/10.1016/S0140-6736(02)08064-9
Fahmi, I. (2012). Analisis Laporan Keuangan. Bandung : Alfabeta.
Febriyanti, G. A. (2020). Dampak pandemi Covid-19 terhadap harga saham dan aktivitas volume perdagangan (Studi kasus saham LQ-45 di Bursa Efek Indonesia). Indonesia Accounting Journal, 2(2), 204. https://doi.org/10.32400/iaj.30579
Folger-Laronde, Z., Pashang, S., Feor, L., & ElAlfy, A. (2020). ESG ratings and financial performance of exchange-traded funds during the COVID-19 pandemic. Journal of Sustainable Finance and Investment, 0(0), 1–7. https://doi.org/10.1080/20430795.2020.1782814
G, E. F. S., PULUNGAN, N. A. F., & SUBIYANTO, B. (2021). The Relationships between Abnormal Return, Trading Volume Activity and Trading Frequency Activity during the COVID-19 in Indonesia. Journal of Asian Finance, Economics and Business, 8(2), 737–745. https://doi.org/10.13106/jafeb.2021.vol8.no2.0737
Ghozali, I. (2016). Aplikasi Analisis Multivariate dengan Program IBM SPSS 23 (8th ed.). Semarang: Universitas Diponegoro.
Global Sustainable Investment Alliance. (2019). ‘2018 Global Sustainable Investment Review. http://www.gsi-alliance.org/wp-content/uploads/2019/06/GSIR_Review2018F.pdf
Halim, A. (2018). Analisis Investasi dan Aplikasinya. Jakarta: Salemba Empat.
Jogiyanto, H. (2016). Teori Portofolio dan Analisis Investasi. Yogyakarta : BPFE.
Khoiriah, M., Amin, M., & Kartikasari, A. F. (2020). Pengaruh Sebelum Dan Saat Adanya Pandemi Covid-19 Terhadap Saham Lq-45 Di Bursa Efek Indonesia Tahun 2020. E-Jra, 09(02), 117–126. http://www.riset.unisma.ac.id/index.php/jra/article/view/8538
Kusnandar, D. L., & Bintari, V. I. (2020). Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19. Jurnal Pasar Modal Dan Bisnis, 2(2), 195–202. https://doi.org/10.37194/jpmb.v2i2.49
Lee, M. E., & Setiawati, L. (2021). Analisa Dampak Pengumuman Corona Virus di Indonesia Tahun 2020 Terhadap Abnormal Return dan Trading Volume Activity Event Study pada Perusahaan yang Terdaftar pada LQ45 di Bursa Efek Indonesia. Jurnal Indonesia Sosial Teknologi, 2(1), 92–103.
Lins, K. V., Servaes, H., & Tamayo, A. (2017). Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis. Journal of Finance, 72(4), 1785–1824. https://doi.org/10.1111/jofi.12505
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(8), 1–19. https://doi.org/10.3390/ijerph17082800
Meer, J., Miller, D. L., & Rosen, H. S. (2003). Exploring the health-wealth nexus. Journal of Health Economics, 22(5), 713–730. https://doi.org/10.1016/S0167-6296(03)00059-6
Morningstar. (2020). ‘Global Sustainable Fund Flows.’ https://www.morningstar.com/content/dam/marketing/shared/pdfs/Research/Global_ESG_Q1_Flow_Report.pdf
Nur Indriantoro, B. S. (2016). Metodologi Penelitian Bisnis untuk Akuntansi dan Manajemen. Yogyakarta : BPFE.
Nuryadi, Astuti, D.T, Utami, E. . & B. M. (2017). Dasar-Dasar Statistik Penelitian. Sibuku Media.
Robiyanto, R. (2018). Performance Evaluation of Stock Price Indexes in the Indonesia Stock Exchange. International Research Journal of Business Studies, 10(3), 173–182. https://doi.org/10.21632/irjbs.10.3.173-182
Sambuari, I. B., Saerang, I. S., & Maramis, J. B. (2020). Reaksi Pasar Modal Terhadap Peristiwa Virus Corona (Covid-19) Pada Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia. JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis Dan Inovasi Universitas Sam Ratulangi)., 7(2), 407–415. https://doi.org/10.35794/jmbi.v7i3.30668
Samsul, M. (2006). Pasar Modal dan Manajemen Portofolio. Jakarta : Erlangga.
Suad Husnan. (2005). Dasar-Dasar Teori Postofolio dan Analisis Sekuritas. Yogyakarta: UPP AMP YKPN.
Sugiyono. (2010). Metode Penelitian Kuantitatif, Kualitatif dan R&D. Bandung : Alfabeta.
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi. Yogyakarta : Kanisius.
Wagner, A. F. (2020). What the stock market tells us about the post-COVID-19 world. Nature Human Behaviour, 4(5), 440. https://doi.org/10.1038/s41562-020-0869-y
Widiyanto. (2013). Statistika Terapan, Konsep dan Aplikasi SPSS/Lisrel dalam Penelitian Pendidikan, Psikologi dan Ilmu Sosial Lainnya. PT. Elex Media Komputindo.
Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36(March), 101528. https://doi.org/10.1016/j.frl.2020.101528
www.idx.co.id
www.finance.yahoo.com
www.investing.com
