THE INFLUENCE OF COVID-19 EVENTS TO VACCINATION ON ABNORMAL RETURN AND TRADING VOLUME ACTIVITY IN IDX30 COMPANIES
Abstract
The purpose of this study was to analyze how the market reacted to the covid-19 event that occurred in Indonesia, namely the existence of PSBB Volume I, New Normal, PSBB Volume II, the entry of the sinovac vaccine phase 1 to Indonesia, and the injection of the first vaccine to President Jokowi using abnormal returns and trading volume activity as an indicator of investor reaction in the capital market. In this study, there were 30 samples of IDX30 companies for the January 2021 period. To test investor reactions, an event study was used to measure the difference in reactions before and after the event. This study also used paired sample t-test for normally distributed data and the Wilcoxon sign rank test for data that were not normally distributed. The results of this study in the PSBB Volume I and New Normal events there was no abnormal return either before or after the event, in the PSBB Volume II event there was a positive abnormal return, 2 days before PSBB Volume II and negative abnormal returns 3 days after, in the event of the entry of the sinovac vaccine phase 1 into Indonesia, there was a negative abnormal return 2 days before the event, and in the event of the first vaccine injection to President Jokowi, there was a negative abnormal return 2 days before the event. However, there is no significant difference between abnormal returns before and after all events. While trading volume activity in the PSBB Volume I, New Normal, the entry of the sinovac vaccine phase 1 to Indonesia, and the first vaccine injection to President Jokowi, there was no difference between the activities before and after the event. But in the PSBB Volume II, there were significant differences in trading volume activity before and after the event.
References
Beritasatu.com. 11 September (2020). PSBB Jilid II. https://www.beritasatu.com/tajuk/7315/psbb-jilid-ii#!, diakses 20 Februari 2021.
Bps.go.id. 5 Agustus (2020). Ekonomi Indonesia Triwulan II 2020 Turun 5,32 Persen.. https://www.bps.go.id/pressrelease/2020/08/05/1737/-ekonomi-indonesia-triwulan-ii-2020-turun-5-32-persen.html, diakses tanggal 01 Desember 2020.
Chandra, T. (2013). THE IMPACT OF FUEL PRICE INCREASE ON STOCK PRICE IN INDONESIA STOCK EXCHANGE. 16(3), 385–398.
Chandra, T., Renaldo, N., & Putra, L. C. (2018). Stock Market Reaction towards SPECT Events using CAPM Adjusted Return. Opción, Año 34(Especial No.15), 338–374.
Cnnindonesia.com. 20 Juli (2020). Pekerja Dirumahkan dan Kena PHK Akibat Corona Capai 3,05 Juta. https://www.cnnindonesia.com/ekonomi/20200720114203-92-526610/pekerja-dirumahkan-dan-kena-phk-akibat-corona-capai-305-juta, diakses tanggal 29 Agustus 2021.
Covid19.go.id. 14 Desember (2020). PMK No. 84 Th 2020 tentang Pelaksanaan Vaksinasi Dalam Rangka Penanggulangan Pandemi Corona Virus Disease 2019 (Covid-19), https://covid19.go.id/storage/app/media/Regulasi/2020/Desember/PMK No. 84 Th 2020 ttg Pelaksanaan Vaksinasi Dalam Rangka Penanggulangan COVID-19.pdf, diakses tanggal 09 Februari 2021.
Ghoniyah, N., Mutamimah, & Widayati, J. (2008). Reaksi Pasar Modal Indonesia Terhadap Pengumuman Penerbitan Obligasi Syariah. Reaksi Pasar Modal Indonesia Terhadap Pengumuman Penerbitan Obligasi Syariah, 23–24.
Halim, M., Chandra, T., & Sudarno. (2019). Analysis of Factors Affecting Capital Structure and Company Value of the Food and Beverage Sector Listed on the Indonesia Stock Exchange in 2012-2017. Procuratio: Jurnal Ilmiah Manajemen, 7(4), 420–437. Retrieved from http://www.ejournal.pelitaindonesia.ac.id/ojs32/index.php/PROCURATIO/index
Hartono, Jogiyanto 2017. Teori Portofolio dan Analisis Investasi. Edisi Kesebelas, Yogyakarta: BPFE.
Ismanto, J. (2020). Reaksi Pasar Modal Terhadap Pengumuman PSBB DKI Jakarta Jilid II (Event Study LQ-45 Terdaftar BEI). JURNAL Edueco, 16.
Kompas.com. 3 Maret (2020). Fakta Lengkap Kasus Pertama Virus Corona Di Indonesia, https://nasional.kompas.com/read/2020/03/03/06314981/fakta-lengkap-kasus-pertama-virus-corona-di-indonesia?page=all, diakses tanggal 05 November 2020.
Kompas.com. 10 Desember (2020). Vaksin Covid-19 Sinovac Masuk Indonesia Epidemiolog Tunggu Hasil Uji Klinik Fase 3. https://www.kompas.com/sains/read/2020/12/10/080500423/vaksin-covid-19-sinovac-masuk-indonesia-epidemiolog--tunggu-hasil-uji?page=all, diakses tanggal 15 Desember 2020.
Kompas.com. 13 Januari (2021). Jokowi Disuntik Vaksin Pertama Ini Cara Kerja Vaksin Sinovac Cegah Covid-19. https://www.kompas.com/tren/read/2021/01/13/134500065/jokowi-disuntik-vaksin-pertama-ini-cara-kerja-vaksin-sinovac-cegah-covid-19?page=all, diakses tanggal 20 Januari 2021.
Lasrya, E., Chandra, T., & Panjaitan, H. P. (2021). Determinants of Earnings Persistence with Capital Structure as Intervening Variable of Manufacturing Companies Listed on Indonesia Stock Exchange Period 2015-2019. Journal of Applied Business and Technology, 2(2), 98–108.
Nafisa, I. A. (2021). REAKSI PASAR MODAL INDONESIA TERHADAP PENGUMUMAN PSBB DKI JAKARTA JILID II (Doctoral dissertation, Universitas Muhammadiyah Malang).
Pom.go.id. 11 Januari (2021). Penerbitan Persetujuan penggunaan Dalam Kondisi Darurat Atau Emergency Use Authorization (EUA) Pertama Untuk Vaksin Covid-19. https://www.pom.go.id/new/view/more/pers/584/Penerbitan-Persetujuan-Penggunaan-Dalam-Kondisi-Darurat-Atau-Emergency-Use-Authorization--EUA--Pertama-Untuk-Vaksin-COVID-19.html, diakses tanggal 9 Februari 2021.
Presiden Republik Indonesia. (2018). Undang Undang Nomor 6 tahun 2018 tentang Kekarantinaan Wilayah. National Standardization Agency of Indonesia, 31–34. https://jdih.bsn.go.id/produk/detail/?id=730&jns=2, diakses tanggal 05 November 2020.
Renaldo, N., Sudarno, & Hutahuruk, M. B. (2020a). The Improvement of Generation Z Financial Well-being in Pekanbaru. Jurnal Manajemen Dan Kewirausahaan, 22(2), 142–151. https://doi.org/10.9744/jmk.22.2.142-151
Renaldo, N., Sudarno, S., & Hutahuruk, M. B. (2020b). Internal Control System Analysis on Accounts Receivable in SP Corporation. The Accounting Journal of Binaniaga, 5(2), 73. https://doi.org/10.33062/ajb.v5i2.382
Sari, Chandra, T., & Panjaitan, H. P. (2021). The Effect of Company Size and DER on ROA and Company Value in the Food and Beverage Sub Sector on the Indonesia Stock Exchange (IDX). Journal of Applied Business and Technology, 2(2), 134–141.
https://scholar.google.co.id (Diakses tanggal 05 November 2020)
www.finance.yahoo.com(Diakses tanggal 05 November 2020)
www.idx.co.id (Diakses tanggal 20 November 2020)
Copyright (c) 2021 Journal of Applied Business and Technology
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
