Date Log
Submitted
1 December 2021
Accepted
4 April 2022
Published
9 May 2022
Analysis of the Sectoral Stock Price Index on the IDX during the Covid-19
Corresponding Author(s) : Yuyun Karystin Meilisa Suade
Jurnal Minds: Manajemen Ide dan Inspirasi,
Vol. 9 No. 1 (2022): June
Abstract
In this study, we want to measure the performance of the average monthly return of sectoral stock indexes in Indonesia by using the composite index (JCI) as a comparison. We want to find the winner, loser, and neutral stock indexes. We use monthly data from March 2020 to February 2021, namely the sectors: agriculture, mining, essential industry, various industries, consumption, property, infrastructure, finance, and trade. We use panel data analysis from the event study to achieve the research objectives, a combination of cross-section data and time-series data. The research results showed six sectors of the stock index as winners: agriculture, mining, essential industry, infrastructure, finance, and trade. There are three loser stock index sectors: the miscellaneous sector, consumption, and property.
Keywords
Sectoral stock price index
IDX composite
the Covid-19
Indonesia
Performance
Arman, A., & Suade, Y. K. M. (2022). Analysis of the Sectoral Stock Price Index on the IDX during the Covid-19. Jurnal Minds: Manajemen Ide Dan Inspirasi, 9(1), 79–90. https://doi.org/10.24252/minds.v9i1.25451
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References
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Akinchi, O., & Chahrour, R. (2018). Good news is bad news: Leverage cycles and sudden stops. JOURNAL of INTERNATIONAL Economics, 114, 362–375.
Alfaro, L., Chari, A., Greenland, A.N., Schott, P.K., (2020). Aggregate and Firm-level Stock Returns During Pandemics, in Real Time. National Bureau of Economic Research.
Ashraf, B.N., (2017). Political institutions and bank risk-taking behavior. J. Financ. Stab. 29, 13–35.
Baker, S., Bloom, N., Davis, S.J., Kost, K., Sammon, M., Viratyosin, T., (2020). The unprecedented stock market reaction to COVID-19. Covid Economics: Vetted and Real-Time Papers1.
Baltagi, B.H., (2008). Econometric Analysis of Panel Data. John Wiley and Sons, West Sussex.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of FINANCIAL Studies, 21, 785–818.
Calomiris, C. W., & Mamaysky, H. (2018). How news and its context drive risk and returns around the world. JOURNAL of FINANCIAL Economics, 133, 299–336.
Cohen, L. J., Marcus, A. J., Rezaee, Z., & Tehranian, H. (2017). Waiting for guidance: Disclosure noise, verification delay, and the value relevance of good-news versus bad- news management earnings forecasts. Global finance Journal, doi:10.1016/ j.gfj.2018.03.001 countries FINANCE RESEARCH Letters, 20, 47–62.
Collins, C. N. (2020) ‘Effect of COVID-19 Pandemic on Global Stock Market Values: A Differential Analysis’, Acta Universitatis Danubius (Economica), 16 (255–269).
Dunford, D., Dale, Becky, Stylianou, Nassos, Ed, Lowther, Ahmed, M., Arenas, Idl.T., 2020. Coronavirus: the World in Lockdown in Maps and Charts. BBC News. https://www.bbc.com/news/world-52103747.
Goodell, J.W., (2020). COVID-19 and finance: agendas for future research. Financ. Res. Lett 101512.
Khan, K. et al. (2020) ‘The Impact of COVID-19 Pandemic on Stock Markets : An Empirical Analysis of World Major Stock Indices’, Journal of Asian Finance, Economics and Business, 7(7), pp. 463–474. doi: 10.13106/jafeb.2020.vol7.no7.463.
Kusnandar, D. L. and Bintari, V. I. (2020) ‘Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19’, Jurnal Pasar Modal dan Bisnis, 2(2), pp. 195–202.
Liebmann, M., Orlov, A. G., & Neumann, D. (2016). The tone of financial news and the perceptions of stock and CDS traders. INTERNATIONAL Review of FINANCIAL ANALYSIS. https://doi.org/10.1016/j.irfa.2016.05.001.
Narayan, P. K. (2019). Can stale oil price news predict stock returns? Energy Economics. https://doi.org/10.1016/j.eneco.2019.07.022.
Pitaloka, H. et al. (2020) ‘The Economic Impact of the Covid-19 Outbreak : Evidence from Indonesia Research Method’, Jurnal Inovasi Ekonomi, 05(02), pp. 71–76.
Takeda, F., & Wakao, T. (2014). Google search intensity and its relationship with returns and trading volume of Japanese stocks. PACIFIC-BASIN FINANCE JOURNAL, 27, 1–18.
Woolridge, J.M., 2010. Econometric Analysis of Cross Section and Panel Data. The MIT Press, Cambridge, MA.
References
Akinchi, O., & Chahrour, R. (2018). Good news is bad news: Leverage cycles and sudden stops. JOURNAL of INTERNATIONAL Economics, 114, 362–375.
Alfaro, L., Chari, A., Greenland, A.N., Schott, P.K., (2020). Aggregate and Firm-level Stock Returns During Pandemics, in Real Time. National Bureau of Economic Research.
Ashraf, B.N., (2017). Political institutions and bank risk-taking behavior. J. Financ. Stab. 29, 13–35.
Baker, S., Bloom, N., Davis, S.J., Kost, K., Sammon, M., Viratyosin, T., (2020). The unprecedented stock market reaction to COVID-19. Covid Economics: Vetted and Real-Time Papers1.
Baltagi, B.H., (2008). Econometric Analysis of Panel Data. John Wiley and Sons, West Sussex.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of FINANCIAL Studies, 21, 785–818.
Calomiris, C. W., & Mamaysky, H. (2018). How news and its context drive risk and returns around the world. JOURNAL of FINANCIAL Economics, 133, 299–336.
Cohen, L. J., Marcus, A. J., Rezaee, Z., & Tehranian, H. (2017). Waiting for guidance: Disclosure noise, verification delay, and the value relevance of good-news versus bad- news management earnings forecasts. Global finance Journal, doi:10.1016/ j.gfj.2018.03.001 countries FINANCE RESEARCH Letters, 20, 47–62.
Collins, C. N. (2020) ‘Effect of COVID-19 Pandemic on Global Stock Market Values: A Differential Analysis’, Acta Universitatis Danubius (Economica), 16 (255–269).
Dunford, D., Dale, Becky, Stylianou, Nassos, Ed, Lowther, Ahmed, M., Arenas, Idl.T., 2020. Coronavirus: the World in Lockdown in Maps and Charts. BBC News. https://www.bbc.com/news/world-52103747.
Goodell, J.W., (2020). COVID-19 and finance: agendas for future research. Financ. Res. Lett 101512.
Khan, K. et al. (2020) ‘The Impact of COVID-19 Pandemic on Stock Markets : An Empirical Analysis of World Major Stock Indices’, Journal of Asian Finance, Economics and Business, 7(7), pp. 463–474. doi: 10.13106/jafeb.2020.vol7.no7.463.
Kusnandar, D. L. and Bintari, V. I. (2020) ‘Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19’, Jurnal Pasar Modal dan Bisnis, 2(2), pp. 195–202.
Liebmann, M., Orlov, A. G., & Neumann, D. (2016). The tone of financial news and the perceptions of stock and CDS traders. INTERNATIONAL Review of FINANCIAL ANALYSIS. https://doi.org/10.1016/j.irfa.2016.05.001.
Narayan, P. K. (2019). Can stale oil price news predict stock returns? Energy Economics. https://doi.org/10.1016/j.eneco.2019.07.022.
Pitaloka, H. et al. (2020) ‘The Economic Impact of the Covid-19 Outbreak : Evidence from Indonesia Research Method’, Jurnal Inovasi Ekonomi, 05(02), pp. 71–76.
Takeda, F., & Wakao, T. (2014). Google search intensity and its relationship with returns and trading volume of Japanese stocks. PACIFIC-BASIN FINANCE JOURNAL, 27, 1–18.
Woolridge, J.M., 2010. Econometric Analysis of Cross Section and Panel Data. The MIT Press, Cambridge, MA.
Alfaro, L., Chari, A., Greenland, A.N., Schott, P.K., (2020). Aggregate and Firm-level Stock Returns During Pandemics, in Real Time. National Bureau of Economic Research.
Ashraf, B.N., (2017). Political institutions and bank risk-taking behavior. J. Financ. Stab. 29, 13–35.
Baker, S., Bloom, N., Davis, S.J., Kost, K., Sammon, M., Viratyosin, T., (2020). The unprecedented stock market reaction to COVID-19. Covid Economics: Vetted and Real-Time Papers1.
Baltagi, B.H., (2008). Econometric Analysis of Panel Data. John Wiley and Sons, West Sussex.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of FINANCIAL Studies, 21, 785–818.
Calomiris, C. W., & Mamaysky, H. (2018). How news and its context drive risk and returns around the world. JOURNAL of FINANCIAL Economics, 133, 299–336.
Cohen, L. J., Marcus, A. J., Rezaee, Z., & Tehranian, H. (2017). Waiting for guidance: Disclosure noise, verification delay, and the value relevance of good-news versus bad- news management earnings forecasts. Global finance Journal, doi:10.1016/ j.gfj.2018.03.001 countries FINANCE RESEARCH Letters, 20, 47–62.
Collins, C. N. (2020) ‘Effect of COVID-19 Pandemic on Global Stock Market Values: A Differential Analysis’, Acta Universitatis Danubius (Economica), 16 (255–269).
Dunford, D., Dale, Becky, Stylianou, Nassos, Ed, Lowther, Ahmed, M., Arenas, Idl.T., 2020. Coronavirus: the World in Lockdown in Maps and Charts. BBC News. https://www.bbc.com/news/world-52103747.
Goodell, J.W., (2020). COVID-19 and finance: agendas for future research. Financ. Res. Lett 101512.
Khan, K. et al. (2020) ‘The Impact of COVID-19 Pandemic on Stock Markets : An Empirical Analysis of World Major Stock Indices’, Journal of Asian Finance, Economics and Business, 7(7), pp. 463–474. doi: 10.13106/jafeb.2020.vol7.no7.463.
Kusnandar, D. L. and Bintari, V. I. (2020) ‘Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19’, Jurnal Pasar Modal dan Bisnis, 2(2), pp. 195–202.
Liebmann, M., Orlov, A. G., & Neumann, D. (2016). The tone of financial news and the perceptions of stock and CDS traders. INTERNATIONAL Review of FINANCIAL ANALYSIS. https://doi.org/10.1016/j.irfa.2016.05.001.
Narayan, P. K. (2019). Can stale oil price news predict stock returns? Energy Economics. https://doi.org/10.1016/j.eneco.2019.07.022.
Pitaloka, H. et al. (2020) ‘The Economic Impact of the Covid-19 Outbreak : Evidence from Indonesia Research Method’, Jurnal Inovasi Ekonomi, 05(02), pp. 71–76.
Takeda, F., & Wakao, T. (2014). Google search intensity and its relationship with returns and trading volume of Japanese stocks. PACIFIC-BASIN FINANCE JOURNAL, 27, 1–18.
Woolridge, J.M., 2010. Econometric Analysis of Cross Section and Panel Data. The MIT Press, Cambridge, MA.