Dampak COVID-19 Pada Saham Perusahaan Farmasi di Bursa Efek Indonesia: Analisis Pasar Modal Indonesia
Keywords:
Stock Investment, COVID-19 Pandemic, Pharmaceutical Sub-Sector, Indonesia Stock Exchange, Event Study
Abstract
The pharmaceutical industry has demonstrated resilience and potential for growth within the ongoing COVID-19 pandemic. Hence, pharmaceutical sub-sector stocks in Indonesia Stock Exchange emerge as a viable stock investment option for investors within the ongoing epidemic. The objective of this study is to establish empirical evidence regarding the notable market response from pharmaceutical stocks following the announcement of the first COVID-19 case in Indonesia. The research methodology employed in this study is an event study. The findings indicated a negative market reaction in one day before the first COVID-19 case was announced. On the day of the first COVID-19 case announcement, a statistically significant and favourable market response was found. Nonetheless, a negative reaction also found in H+7 after the first COVID-19 announcement. The present investigation also identified a positive cumulative abnormal return throughout the time period from H+1 to H+3, followed by a subsequent shift to a negative cumulative abnormal return from H+4 to H+7. The mixed market reaction was attributed on the market uncertainty in the beginning of COVID-19 pandemic.
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Xie, L., Wang, M., & Huynh, T. L. D. (2022). Trust and the stock market reaction to lockdown and reopening announcements: A cross-country evidence. Finance Research Letters, 46, 102361. https://doi.org/10.1016/j.frl.2021.102361
Yunus Kasim, M., Muslimin, & Dwijaya, I. K. B. (2022). Market reaction to the Covid-19 pandemic: Events study at stocks listed on LQ45 index. Cogent Business & Management, 9(1). https://doi.org/10.1080/23311975.2021.2024979
Ando, M., & Hayakawa, K. (2022). Impact of COVID-19 on trade in services. Japan and the World Economy, 62, 101131. https://doi.org/10.1016/j.japwor.2022.101131
Anh, D. L. T., & Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies, 48(4), 836–851. https://doi.org/10.1108/JES-06-2020-0312
Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J. (2020). COVID-Induced Economic Uncertainty. www.worlduncertaintyindex.com,
Behera, C., & Rath, B. N. (2021). THE COVID-19 PANDEMIC AND INDIAN PHARMACEUTICAL COMPANIES: AN EVENT STUDY ANALYSIS. Buletin Ekonomi Moneter Dan Perbankan, 24, 1–14. https://doi.org/10.21098/bemp.v24i0.1483
Chen, Z., Lei, Z., & Xia, C. (2022). Precautionary versus Signalling Motive of Share Repurchases: Evidence from Policy Uncertainty and the COVID‐19 Crisis. British Journal of Management. https://doi.org/10.1111/1467-8551.12668
De Bondt, W. F. M., & Thaler, R. H. (1987). Further Evidence On Investor Overreaction and Stock Market Seasonality. The Journal of Finance, 42(3), 557–581. https://doi.org/10.1111/j.1540-6261.1987.tb04569.x
Deng, T., Xu, T., & Lee, Y. J. (2022). Policy responses to COVID-19 and stock market reactions - An international evidence. Journal of Economics and Business, 119, 106043. https://doi.org/10.1016/j.jeconbus.2021.106043
Dilla, S., Sari, L. K., & Achsani, N. A. (2020a). ESTIMATING THE EFFECT OF THE COVID-19 OUTBREAK EVENTS ON THE INDONESIA SECTORAL STOCK RETURN. Jurnal Aplikasi Bisnis Dan Manajemen. https://doi.org/10.17358/jabm.6.3.662
Dilla, S., Sari, L. K., & Achsani, N. A. (2020b). ESTIMATING THE EFFECT OF THE COVID-19 OUTBREAK EVENTS ON THE INDONESIA SECTORAL STOCK RETURN. Jurnal Aplikasi Bisnis Dan Manajemen. https://doi.org/10.17358/jabm.6.3.662
Endri, E., Aipama, W., Razak, A., Sari, L., & Septiano, R. (2021). Stock price volatility during the COVID-19 pandemic: The GARCH model. Investment Management and Financial Innovations, 18(4), 12–20. https://doi.org/10.21511/imfi.18(4).2021.02
Engelhardt, N., Krause, M., Neukirchen, D., & Posch, P. N. (2021). Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters, 38, 101873. https://doi.org/10.1016/j.frl.2020.101873
Fama et al, E. F. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10(1), 1–21. https://EconPapers.repec.org/RePEc:ier:iecrev:v:10:y:1969:i:1:p:1-21
Giese, E. C. (2022). Strategic minerals: Global challenges post-COVID-19. The Extractive Industries and Society, 12, 101113. https://doi.org/10.1016/j.exis.2022.101113
Kusno & Hartanto. (2018). Dampak Pengumuman Pembagian Dividen Kas Terhadap Abnormal Return Pada Indeks LQ-45. Jurnal Riset Akuntansi dan Keuangan Program Studi Akuntansi Fakultas Pendidikan Ekonomi Dan Bisnis Universitas Pendidikan Indonesia, 6(3), 441-452. Retrieved from http://ejournal.upi.edu/index.php/JRAK/article/view/4670
Laing, A. G., Lorenc, A., del Molino del Barrio, I., Das, A., Fish, M., Monin, L., Muñoz-Ruiz, M., McKenzie, D. R., Hayday, T. S., Francos-Quijorna, I., Kamdar, S., Joseph, M., Davies, D., Davis, R., Jennings, A., Zlatareva, I., Vantourout, P., Wu, Y., Sofra, V., … Hayday, A. C. (2020). A dynamic COVID-19 immune signature includes associations with poor prognosis. Nature Medicine, 26(10), 1623–1635. https://doi.org/10.1038/s41591-020-1038-6
Limbong, G. (2022). ANALYSIS OF THE COMPANY’S FINANCIAL PERFORMANCE BEFORE AND DURING THE COVID-19 PANDEMIC (2019-2020) IN PHARMACEUTICAL SECTOR COMPANIES LISTED ON THE IDX. In Jurnal Manajemen (Vol. 10, Issue 2).
Liu, F., Kong, D., Xiao, Z., Zhang, X., Zhou, A., & Qi, J. (2022). Effect of economic policies on the stock and bond market under the impact of COVID-19. Journal of Safety Science and Resilience, 3(1), 24–38. https://doi.org/10.1016/j.jnlssr.2021.10.006
Novita, & Suryani, A. W. (2022). COVID-19 and Stock Abnormal Return of Pharmaceutical Industry. Jurnal Penelitian Teori Dan Terapan Akuntansi (PETA), 7(2), 190–207. https://doi.org/10.51289/peta.v7i2.577
Ouyang, Z., Chen, S., Lai, Y., & Yang, X. (2022). The correlations among COVID-19, the effect of public opinion, and the systemic risks of China’s financial industries. Physica A, 600, 127518. https://doi.org/10.1016/j.physa.2022.127518
Pan, R., Tang, X., Tan, Y., & Zhu, Q. (2014). The Chinese Stock Dividend Puzzle. Emerging Markets Finance and Trade, 50(3), 178–195. https://doi.org/10.2753/REE1540-496X500310
Scherf, M., Matschke, X., & Rieger, M. O. (2022). Stock market reactions to COVID-19 lockdown: A global analysis. Finance Research Letters, 45, 102245. https://doi.org/10.1016/j.frl.2021.102245
Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries. Global Business Review, 097215092095727. https://doi.org/10.1177/0972150920957274
Suryatimur, K. P., & Khabibah, N. A. (2021). REAKSI PASAR SAHAM PERUSAHAAN FARMASI SEBELUM DAN SESUDAH COVID-19 DI INDONESIA. Jurnal Aplikasi Akuntansi, 6(1), 67–79. https://doi.org/10.29303/jaa.v6i1.112
Trisnowati, Y., & Muditomo, A. (2021a). COVID-19 and Stock Market Reaction in Indonesia. Journal of Accounting and Investment, 22(1), 23–36. https://doi.org/10.18196/jai.v22i1.8859
Trisnowati, Y., & Muditomo, A. (2021b). COVID-19 and Stock Market Reaction in Indonesia. Journal of Accounting and Investment, 22(1), 23–36. https://doi.org/10.18196/jai.v22i1.8859
Xie, L., Wang, M., & Huynh, T. L. D. (2022). Trust and the stock market reaction to lockdown and reopening announcements: A cross-country evidence. Finance Research Letters, 46, 102361. https://doi.org/10.1016/j.frl.2021.102361
Yunus Kasim, M., Muslimin, & Dwijaya, I. K. B. (2022). Market reaction to the Covid-19 pandemic: Events study at stocks listed on LQ45 index. Cogent Business & Management, 9(1). https://doi.org/10.1080/23311975.2021.2024979
Published
2024-12-30
How to Cite
Hartanto, F. T., & Kusno, J. I. (2024). Dampak COVID-19 Pada Saham Perusahaan Farmasi di Bursa Efek Indonesia: Analisis Pasar Modal Indonesia. Akuntansi Dan Manajemen, 19(2), 111-127. https://doi.org/10.30630/jam.v19i2.289
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Articles
