Comparative analysis of Abnormal Return and Trading Volume Activity Before and After the Announcement of the Covid 19 Pandemic-In financial companies listed on the Indonesia Stock Exchange (IDX)

Nur Sandi Marsuni; Anastasia D'Ornay; Nersiyanti Nersiyanti; Hamid Habbe; Nadhirah Nagu

doi:10.26618/inv.v5i1.10532

Comparative analysis of Abnormal Return and Trading Volume Activity Before and After the Announcement of the Covid 19 Pandemic-In financial companies listed on the Indonesia Stock Exchange (IDX)

Nur Sandi Marsuni, Anastasia D'Ornay, Nersiyanti Nersiyanti, Hamid Habbe, Nadhirah Nagu

Abstract

The purpose of this study was to analyze the reaction of the Indonesian capital market to the first case of Covid-19 by using Abnormal Return (AR), and Trading Volume Activity (TVA) before and after the Covid announcement period in Indonesia. Observations began seven days before and seven days after the event. The population for this study uses financial sector data registered in February and March 2020 on the IDX. The sampling technique used was purposive sampling with a total of 30 financial companies that met the criteria. This study uses quantitative research and comparative research testing methods with the Wilcoxon Signes Rank Test. The results of this study show significant differences in AR before and after the announcement of the Covid-19 pandemic, where these differences are indicated by an increase in Abnormal Returns after the announcement, investors trust companies more before the announcement which already provides returns or profits rather than having to predict profits. what you get in the future. The results of the wilxocon signed rank test showed that there was a significant difference in Trading Volume Activity before and after the announcement of covid .

Full Text:

PDF

References

Adil, M. (2022). Accountability and Transparency in the Public and Private Sector. International Journal Of Humanities Education and Social Sciences (IJHESS), 1(6).

Adiningrat, A. A., Ruhayu, Y., Rustan, R., Wahyuni, S., & Fitrianti, A. N. (2022). The Effect of Financial Literature and Islamic Work Motivation on the Performance of Food Micro, Small and Business Enterprises (MSMEs) in Makassar City. Budapest International Research and Critics Institute-Journal (BIRCI-Journal), 5(4), 30836-30845.

Adiningrat, A. A., & Warda, W. (2023). The Development of Intensity Model on Technopreneurship to Improve Turnover in Micro, Small and Medium Enterprises (MSMEs) Culinary in Makassar, Indonesia. International Journal of Economics Development Research (IJEDR), 4(2), 218-228.

Abdi, M. N., Suarni, A., & Arham, A. (2022). Analisis Kepailitan Perusahaan Yang Tercatat di BEI Sub Sektor Telekomunikasi. Jurnal Multidisiplin Madani, 2(6), 2705-2716.

Arman, A. (2021). Analysis of Motor Vehicle Tax Revenues before and after the Tax Kring. Point of View Research Accounting and Auditing, 2(2), 144-149.

Arman, A., & Mira, M. (2021). Does Tax Avoidance Make Do Earning Opacity?. Atestasi: Jurnal Ilmiah Akuntansi, 4(1), 88-95.

Arman, A., Mira, M., Masrullah, M., Agustan, A., Firmansyah, F., & Aditya, R. (2023). Financial Literacy and Assistance in Compiling Independent Financial Reports Using Expense IQ Money Manager. Technium Sustainability, 4, 7-12.

Arsal, M. (2021). Impact of earnings per share and dividend per share on firm value. ATESTASI: Jurnal Ilmiah Akuntansi, 4(1), 11-18.

Arsal, M., & Arsal, D. (2019, August). Urban forest and financial resources perspective in Indonesia. In IOP Conference Series: Materials Science and Engineering (Vol. 593, No. 1, p. 012006). IOP Publishing.

Arsal, M., HAMID, N. I. N. B. A., Arsal, R., & Basri, M. (2014). Consumer Behavior of the Islamic banking. International Journal of Science Commerce and Humanities, 59-64.

Arniati, A., Arsal, M., Akhmad, A., Asdar, A., & Adiningrat, A. A. (2020). Impression of Student Knowledge on Decisions Become a Customer of Islamic Banks. International Journal of Business Economics (IJBE), 1(2), 145-152.

Hutagaluh, O., Rustam, A., Sangadji, S. S., Baharuddin, I., & Kurniullah, A. Z. (2020). Responsive Leadership in Preventing Transmission of Covid-19 in the Indonesia-Malaysia Border Area.

RUM, M., ARSAL, M., KHALID, A., & AWALUDDIN, M. (2023). The Distribution of Tax Collectability, Quality of Tax Services Efforts to Tax Coverage Ratio. 유통과학연구 (JDS), 21(6), 107-117.

Rustan, R., Adiningrat, A. A., & Aisyah, S. (2023). Optimizing of Resources Utilization Through Islamic Spiritual Entrepreneurship to Improve The Welfare of Coastal Communities. International Journal of Economics Development Research (IJEDR), 4(2), 170-180.

Rustan, S. A., Aisyah, S., Adiningrat, A. A., Rustam, A., & Anggoro, M. Y. A. R. (2022). Strengthening Of Marketing Information Systems and Accounting Information Systems for Micro Small and Medium Enterprises (UMKM) Food Culinary Makassar. Budapest International Research and Critics Institute-Journal (BIRCI-Journal), 5(4), 30580-30585.

Suarni, A., & Amelia, R. (2023). Analysis of Mosque Financial Management in Ujung Bulu District, Bulukumba Regency, South Sulawesi, Indonesia. Public Sector Management and Accounting Research, 2(2), 10-22.

Aditha, KK, & Adiputra, IMP (2020). Analysis of Differences in Abnormal Return, Trading Volume Activity, and Security Return Variability in LQ 45 Companies Before and After the Announcement of the Indonesia Maju Cabinet for the 2019-2024 Period. JIMAT (Scientific Journal of Accounting Students) Ganesha University of Education, 11(2), 299-306.

Al-Awadhi, AM, Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 1-13. https://doi.org/10.1016/j.jbef.2020.100326

Arfani, FS (2021). Analysis of Capital Market Reactions Before and During the Covid-19 Pandemic Event (Event Study on Companies Listed LQ-45 on the Indonesia Stock Exchange in 2020). Journal of Accounting and Finance, 5(3). 210-222.

Buchari, SS 2017. Effect of ROA, ROE, and EPS on PT. Unilever Indonesia Tbk (Period 2007-2014). Thesis. Vol. 6 No. 9, 1-93. Makassar: State Islamic University of Alauddin Makassar.

Chiah, M., & Zhong, A. (2020). Trading from home: The impact of COVID-19 on trading volume around the world. Finance Research Letters, 37, 1-7. https://doi.org/10.1016/j.frl.2020.101784

Daisy, B., & Debakshi, B. (nd). The outbreak of COVID-19 pandemic and Its Impact on Stock Market Volatility : Evidence from a worst-affected economy. Finance Research Letters, 35, 1-23. https://doi.org/10.21203/rs.3.rs-57471/v1.

Darmadji and Fakhrudin. 2012. Capital Markets in Indonesia (question-and-answer approach) (Third Edition). Jakarta: Salemba Empat.

Dewi, CK, & Masithoh, R. (2020). JKSE and Trading Activities Before After Covid-19. Journal of Accounting and Business Management, 4(1), 1–6.

Fahmi, I. 2011. Corporate Financial Management and Capital Markets, First Edition. Jakarta: Media Discourse Partners.

Fahmi, I. 2014. Corporate Financial Management and Capital Markets, First Edition. Jakarta: Media Discourse Partners.

Febriyanti, GA (2020). The impact of the Covid-19 pandemic on stock prices and trading volume activity (Case study of LQ-45 shares on the Indonesia Stock Exchange). Indonesian Accounting Journal. 2(2), 87–91. http://doi.org/10.32400/iaj.30579.

Hafidz, MF (2020). Comparative Analysis of Abnormal Return and Trading Volume Activity Based on Political Events (Event Study on the Ratification of the 2019 KPK Bill. Journal of Management Science, 8(3), 829–838.

Habbe, Abdul Hamid, and Jogiyanto Hartono. 2001. "Prospector and Defender Companies, and Analysis with Life Cycle Theory 1 Approach." Indonesian Journal of Accounting Research 4(1): 1–30.

Hartono, J. (2017). Portfolio theory and investment analysis (Eleventh ed.). Yogyakarta: BPFE.

Hartono, Jogiyanto. 2017. Portfolio Theory and Investment Analysis, Eleventh Edition. Yogyakarta: BPFE Yogyakarta Publisher.

Hindayani, N. (2020). Analysis of the Stock Market Reaction to the Covid-19 Event in Indonesia. JIMEA (Scientific Journal of Management, Economics and Accounting) 4(3), 1645–1661.

Junaedi A. A, Winata R. H, Muthmainnah. (2021). The Effect of Return On Assets and Return On Equity on Stock Prices at PT. Unilever Indonesia Tbk Period 2016-2020 (Before and During the Covid19 Pandemic). Journal of E-Business (Economics-Business), Vol 5 (2), 326-337.

Junaidi, Listya Devi, Lukman Hakim Siregar, and Malesa Anan. 2021. "The Impact of Covid-19 on Stock Price Fluctuations and Share Transaction Volume in Telecommunication Subsector Companies Listed on the Indonesian Stock Exchange." Economics: Journal of Economics and Business 5(1): 73.

Marsuni, N. S., Rohmatunnisa, I., Nirwani, N., Pontoh, G. T., & Mediaty, M. (2022). Analysis Of Accounting Information Systems (SIA) In Preventing Froud. SEIKO: Journal of Management & Business, 5(2), 94-102.

Akhmad, A., & Marsuni, N. S. (2019). Causality Relationship of Poverty, Unemployment Rate, and Economic Growth in South Sulawesi Province. Jurnal Ekonomi Balance, 15(2), 231-241.

Marsuni, N. S. (2019). PENGARUH PRAKTIK ISLAMIC CORPORATE SOCIAL RESPONSIBILTY (I-CSR) TERHADAP KINERJA KEUANGAN PADA BANK UMUM SYARIAH PERIODE 2014-2018.

Marsuni, N. S., & Ahmar, A. A. (2018). ANALYSIS OF INCOME LEVEL OF COCOA FARMERS IN SUPPORTING REGIONAL DEVELOPMENT IN IWOIMENDAA DISTRICT, KOLAKA REGENCY, SOUTHEAST SULAWESI PROVINCE. Jurnal Ekonomi Balance, 14(2), 247-252.

Marsuni, N. S., & Rismawati, R. (2018). INCOME AND COST ANALYSIS OF BUSINESS ACTIVITIES DEVELOPMENT AT THE BUSINESS DEVELOPMENT CENTER (P2B) STATE ISLAMIC UNIVERSITY OF MAKASSAR. Jurnal Ekonomi Balance, 14(1), 129-136.

Marsuni, N. S., & Yusuf, M. (2022). Concept of Financial Management in Islamic Perspective. INVOICE: JURNAL ILMU AKUNTANSI, 4(2), 346-352.

Marsuni, N. S., Said, D., & Indrijawati, A. (2022). Triple Button Line Implementation Through Corporate Social Responsibilty Program at PT. Semen Tonasa. Economos: Jurnal Ekonomi dan Bisnis, 5(2), 107-113.

Marsuni, N. S., Rasulong, I., & Adzim, F. (2022). Factors Affecting the Implementation of Good Government Governance (GGG) and Its Implications for Performance Accountability. Jurnal Ekonomi Balance, 18(1), 29-36.

Mangindaan, Joanne V, and Hendrik Manossoh. 2020. "Comparative Analysis of PT Garuda Indonesia Persero (Tbk.) Share Prices Before and After the Covid-19 Pandemic." Journal of Business Administration (Jab) 10(2): 80–85.

Martono & Harjito, D. Agus. 2010. Financial Management. Yogyakarta: Econesia.

Nurmasari, I. (2020). The Impact of Covid-19 on Changes in Stock Prices and Transaction Volume (Case Study at PT. Ramayana Lestari Sentosa, Tbk.). Journal of SEKURITAS (Stocks, Economics, Finance and Investment), 3(3), 230-236. https://doi.org/10.32493/skt.v3i3.5022.

Ramadhani Fitrah Alam. 2021. The Effect of Return On Equity (ROE) and Earning Per Share (EPS) on Share Prices of Companies Listed on the LQ45 Index of the Indonesian Stock Exchange. Thesis. Makassar: Makassar State University.

Sambuari, IB, Saerang, IS, & Maramis, JB (2020). Capital Market Reaction To Corona Virus (Covid-19) Events In Food And Beverage Companies Listed On The Indonesia Stock Exchange. Scientific Journal of Business Management and Innovation, University of Sam Ratulangi, 7(3), 407415.

Sari, Putu Elfira Permata, and Ayu Ketut Prestasi Sari Dewi. 2021. "Comparative Analysis of Trading Volume Activity and Abnormal Return on Idx30 Stocks Before and After the Announcement of Covid-19 as a Pandemic by the World Health Organization." Scientific Journal of Accounting Students 12(03): 876–85.

Sartono, A. 2010. Financial Management Theory and Applications, Yogyakarta: BPFE.

Setiawan, Djodi, and Nia Candra Kurniasih. 2021. "Journal of Accounting, Faculty of Economics UNIBBA 55." Effect of Raw Material Costs and Labor Costs on Net Income at Pt. Main Prime Animals 12(April): 55–64.

Suganda, TR (2018). Event Sudy: Theory and Discussion of Indonesian Capital Market Reactions. Malang: A Thousand Stars

Sukamdani, H. (2020). Affected by Covid19, 2,000 Hotels and 8,000 Restaurants Closed. Beritasatu.com. https://www.beritasatu.com/elviraanasiahaan/economic/641573/terdampakcovid19-2000-hotel-dan-8000restoran- Tutup.

Suryawijaya, MA, & Setiawan, FA (1998). Reaction of the Indonesian Capital Market to Domestic Political Events (Event Study on the Incident of 27 July 1996). Manage 7(18), 137-153.

Sutrisno. 2012. Financial Management Theory, Concepts and Applications, 8th Edition, Yogyakarta: Economisia.

Umam, K. and Sutanto, H. 2017. Investment Management, Bandung: Faithful Library

Wenno, M. (2020). The Impact of Covid-19 on Changes in Stock Prices and Transaction Volume (Case Study at PT. Bank Mandiri.Tbk). Journal of SOSOQ 4(2), 84–91.

Wibawa, IGAS (2019). Differences in Abnormal Return and Trading Volume Activity Before and After the Right Issue Announcement on the IDX. E-Journal of Management, 8(4), 2381–2408. https://doi.org/10.24843/EJMUNUD.2019.v8.i4.p18.

Wicaksono, CA, & Adyaksana, RI (2020). Analysis of Investor Reactions as the Impact of Covid-19 on the Banking Sector in Indonesia. 6(2), 129–138.

Zubaidah, DD (2016). The Influence of the Announcement of the Enforcement of the Export Ban on Raw Minerals and Coal (Minerba) on the Reaction of the Mining Sector Stock Market. FEB Student Scientific Journal, 4(2), 1-14.

DOI: https://doi.org/10.26618/inv.v5i1.10532

Refbacks

There are currently no refbacks.

Invoice : Jurnal Ilmu Akuntansi Is Licenced Under a Creative Commons Attribution-Noncommercial-Noderivatives 4.0 International License

Username
Password
Remember me