Reaksi Pasar Modal Terhadap Peristiwa Virus Corona (Covid-19) Pada Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia

Abstract

The capital market is not only a funding facility for the companies but also means for investment activities. So many roles of the capital market in economic activities will have an impact on the sensitivity of the market reaction to events that occur. At the end of 2019, a new virus emerged in China, called the Corona Virus Disease 2019 or COVID-19. In Indonesia, the first case of COVID-19 was approved directly by President Joko Widodo on March 2020. The purpose of this research is to discover informations regarding the first reporting of COVID-19 in Indonesia, as well as abnormal return, frequency of trade, and market capitalization before and after the event. The observation began 30 days before the event and 30 days after the event. This study uses quantitative research in the comparative method. The sample uses judgment sampling with total of 22 food and beverage companies listed on the Indonesia Stock Exchange. The finding show did not contain information that caused the market to be disapproved. This is proven by the absence of significant results in daily tests on the indicators. The results were also not significant in the combined abnormal return test and the combined market capitalization test. The trade comparison test results show a significant difference which means there was a market-panic towards trading activities after the event that caused some frequency differences, before and after the event in terms of trade transactions.Keywords: Event Study, Abnormal Return, Trading Frequency, Market Capitalization

Does Trading Volume Activity React To The Announcement of Large-Scale Social Restrictions During The Covid-19 Pandemic?

“…It can be said that the announcement of the PSBB policy in DKI Jakarta is an event that has a large enough effect. The results of this study support the research conducted by Sambuari et al (2020), which proves that there is an influence during the Covid-19 virus event, which is indicated by a significant trading volume activity.…”

Market Reaction to the Announcement of Covid-19: Event Study in Indonesia

“…Previous research conducted by (Sambuari et al, 2020) found that this event did not contain information that caused the market to not react. This event did not contain information, so there was no reaction and did not have a major impact on market activities in the capital market, particularly in the food and beverage sub-sector.…”

Impact of Corona Virus On Total Share In All Company Sectors In Indonesia Stock Exchange

“…[10] research results show that there are significant differences in stock trading volumes before and during Covid-19 in manufacturing companies in the consumer goods industry sector, as well as the results of [7] research on hotel, restaurant, and tourism companies. [11] also stated the results of the same study that the announcement of the first case of the Corona Virus in food and beverage companies contained information that caused the capital market to react to the frequency of trading in terms of trading transaction activities.This research is motivated by previous research studies which showed the same results for different objects. The researcher sees that the total shares traded are the most important factor in the sustainability of the company's business as well as an indicator in determining the performance of a company so that this research is deemed necessary to be carried out.…”