The Impact of the Covid-19 Pandemic on Stock Prices and Stock Price Volatility in Agricultural Companies on the Indonesia Stock Exchange

Abstract

The Covid-19 pandemic has had a tremendous impact on various aspects of life, including the fields of health, economy, industry, and agriculture in Indonesia. This study aims to analyze the impact of the Covid-19 pandemic on stock prices and stock price volatility in agricultural companies in Indonesia. The data used in this study is daily stock price data of agricultural companies listed on the Indonesian stock exchange from December 2019 to May 2020. To answer the research objectives, a paired sample t-test was conducted on stock prices and daily stock price volatility of agricultural companies before the Covid-19 pandemic (data from December 5, 2019 to March 1, 2020) compared to stock prices and daily stock price volatility of agricultural companies after the Indonesian government announced cases of Covid-19 (March 2, 2020 to May 31, 2020). The volatility of stock prices of agricultural companies is measured by following the approach taken by Parkinson (1980). The results of the analysis show that the Covid-19 pandemic has a negative and significant impact on stock prices of agricultural companies in Indonesia that is the average stock price of agricultural companies decreased by 34.01%. Furthermore, the results of the study also show that the Covid-19 pandemic has caused the dynamics of stock prices of agricultural companies in Indonesia to become more volatile. This provides an understanding that the COVID-19 pandemic has resulted in increased business risk for agricultural companies in Indonesia along with the dynamics of stock price movements.