The effect of market risk on returns: Case of banking in Indonesia

Abstract

The banking industries are a sector that play important role to support national development and national economy. During Covid-19 pandemic, most of market in the world include Indonesia has urgent circumstances. The objective of this study is to examine whether the Covid-19 pandemic has bad impact on returns of banking industries. The results of regression over January 3, 2020, to December 30, 2021 show that there is positive relationship for risk-return of BBNI and BBRI. Those results imply that Covid-19 pandemic does not have significant effect on returns for those banks. It also means that most investors feel safe for those banks financial performance.

The CPO's returns and multi-events in Indonesia

“…positive relationship with MR so Ha is accepted. On those findings, this study is consistent with the findings of Budiarso andPontoh (2019), Suwito (2020), Azhari et al (2020), Rahmi (2022), Modeong et al (2022), andMallisa et al (2022). The final procedure is to check whether there is a difference between the event periods of R and β.…”

“…Rahmi (2022) finds that in the period 2015 to 2019, systematic risk has a significant positive impact on returns of the most firms. Consistently, Modeong et al (2022) find that there is positive relationship for risk-return especially for owned-state bank during COVID-19 pandemic. Mallisa et al ( 2022) also find similar result especially in case of nongovernment-owned banks in Indonesia.…”

The “Christmas Effect” on defensive accelerated stocks

“…Juliana et al (2023) find that stock movements in Indonesia tend to be more efficient in the period from 2017 to 2020. H1: The stock returns is efficient Holiday effect and risk-return Consistent with Niar (2015), the findings of Mallisa et al (2022), and Modeong et al (2022) also show that risk has a positive impact on returns. These findings imply that an increase in risk will have an impact on an increase in returns so that the higher the risk, the higher the return.…”

Fenomena likuidasi perbankan AS pada harga saham perbankan di Indonesia

“…Pada awal tahun 2023, informasi likuidasi beberapa perbankan besar di Amerika Serikat merebak masuk ke pasar modal Indonesia dan diduga cukup mempengaruhi kinerja saham sektor perbankan. Secara empiris, Mallisa et al (2022), dan Modeong et al (2022) menemukan bahwa pergerakan saham sektor perbankan sangat ditentukan oleh risiko sistematis akibat informasi dari sebuah kejadian ekonomi. Tujuan studi ini adalah untuk menganalisis rentang kewajaran pergerakan harga saham sektor perbankan dalam isu likuidasi perbankan di Amerika Serikat.…”