Abnormal return of Indonesian banking shares in the time of COVID 19

Abstract

With the pandemic Covid, the Indonesian government issued a fiscal policy through the Financial Services Authority (POJK 11 2020) on National Economic Stimulus as Policy Countercyclical Impact Deployment Coronavirus Disease, 2019. This study analyzes the reaction markets banking sector in Indonesia to the event announcement publication of these regulations. This quantitative study uses the Event Study methodology. This study uses abnormal return testing events on secondary data 45 Indonesian banks listed on the Jakarta Stock Exchange. The method of calculating the abnormal return uses the Market Model, with an estimated period of 21 days and a window period of 11 days. The research period was carried out between February 11 and March 20, 2020. The test carries out with an average of difference test before and after the event, with an error rate of 5%. Based on the cumulative abnormal return t-test, data shows that from minus five days, the regulation's announcement up to 5 days after which the market moves significantly negative. This event study is a news phenomenon of Indonesia's latest financial policies related to banking stocks during the Covid pandemic.

Keywords: {'name': 'Abnormal Return'}, {'name': 'Covid 19'}, {'name': 'Banking '}, {'name': 'Monetary Health'}

Authors & affiliations

Erna Handayani
Affiliation not supplied

Alni Rahmawati
Affiliation not supplied

Eko Haryanto
Affiliation not supplied

Sri Wahyuni
Affiliation not supplied

Deposited references

Supplied references, not a list of publications citing this article.

Basri, H., Februari, C. P., & Majid, M. S. A. (2019). Does Indonesia sustainability reporting award (ISRA) cause abnormal return and stock trading volume: A comparative analysis. Academic Journal of Economic Studies, 5(1), 74-79.

DOI: 10.29138/ijebd.v1i1.345

Charles, P. J. (2009) Investement: An Analysis and Management. John Wily&Sons Pte.Ltd.

DOI: 10.1177/0149206310388419

DOI: 10.2139/ssrn.2863243

DOI: 10.1186/s43093-020-00014-z

DOI: 10.11648/j.ijamtp.20180402.13

Gitman, L. J and Zutter, C. J. (2012). Principles of Managerial Finance. United States of America: Pearson.

DOI: 10.3390/bdcc3020024

Islami, L. N., & Sarwoko, E. (2012). Reaksi Pasar Modal Indonesia Terhadap Pergantian Menteri Keuangan (Event Study Saham yang Terdaftar di BEI). Jurnal Ekonomi Modernisasi, 8(1), 44-67.

DOI: 10.1016/j.jhtm.2020.01.015

Hsu, A. C., Lin, S. H., Chen, C. H., & Liang, Y. S. (2019). An Emp?r?cal Study Of Share Repurchase: Ev?dence From Ta?wan Stock Market. International Journal Of Organizational Innovation (Online), 12(2), 285-298.

DOI: 10.21009/JOBBE.002.1.02

DOI: 10.1016/S0378-4266(01)00209-6

OJK (2020) Ringkasan Excecutive Peraturan Otoritas Jasa Keuangan.

DOI: 10.4324/9781003117452

DOI: 10.26905/jkdp.v21i3.1316

DOI: 10.1016/j.euroecorev.2019.103361

DOI: 10.4135/9781412961288

Suryanto (2015). Analysis of Abnormal Return Before and After the Announcement of Investment Grade Indonesia. International Journal of Business and Management Review. 3(1), pp. 11–23. Available at: www.eajournals.org.

DOI: 10.1016/j.cstp.2020.05.012

DOI: 10.5267/j.msl.2019.6.006

DOI: 10.30659/ekobis.18.2.164-173