Abnormal Stock Returns, the Effect of COVID-19 Pandemic in Indonesia
I. Made Laut Mertha Jaya
Department of Accounting, Faculty of Economics and Business, Mahakarya Asia University, Yogyakarta, Indonesia.
Hikmatul Maulidah *
Department of Accounting, Politeknik Harapan Bersama, Tegal, Indonesia.
I. Nyoman Adi Buana
Master of Accounting Student Department, Perbanas Institute, Jakarta, Indonesia.
*Author to whom correspondence should be addressed.
Abstract
Indonesia has been struck by the Covid-19 outbreak, which has affected a variety of industries. This study provides decision-makers with up-to-date findings on the reaction to abnormal stock returns before and during the covid-19 pandemic. This study was carried out using a quantitative-comparative approach. Because it has the most liquid liquidity level on the Indonesia Stock Exchange, the LQ 45 business was chosen. Data observations were conducted from the end of February 2020 (Normal Conditions) on February 26, 27, and 28 to early March 2020 on March 3, 4, and 5 (Pandemic Covid-19). According to the findings of the data test, there are disparities in anomalous returns at LQ 45 enterprises in Indonesia before and after the Covid-19 pandemic. This conclusion offers a different investment strategy, which involves selecting investment items that are often chosen by individual investors. This suggestion is because the values of these items are consistent over a long period. Investments in property are also a fantastic strategy to use during the current global economic recovery.
Keywords: Investing analysis, stock market, event study, efficient market