Dampak Pandemi COVID-19 Dan Price Book Value Terhadap Return Saham
DOI:
https://doi.org/10.25170/jm.v21i1.5474Keywords:
COVID-19, Stock return, price book valueAbstract
COVID-19 emerged as a worldwide pandemic starting in late 2019. The world economy experienced a major shock and many businesses and corporations went out of business due to the impact of this pandemic. Stock markets in all countries around the world are also experiencing turbulence and extraordinary price fluctuations. This study examines the effect of the COVID-19 pandemic and the Price Book Value ratio on stock returns in Indonesia. The data analysis method uses multiple linear regression methods on stocks that are members of the LQ45 index from 1 January 2020 to 26 November 2021.
The results of this study indicate that the increase in COVID-19 cases and Price Book Value has a significant negative effect on stock returns. The results of this study provide empirical evidence that stock prices in the LQ45 index in Indonesia tend to decline when there is a significant increase in the COVID-19 case. Therefore, market participants can be more careful and cautious in taking their portfolio positions in investing in the Indonesian stock market during the COVID-19 pandemic. The limitations of this study show a low R2 coefficient, which means that many other variables still affect stock returns outside of this study. Future research can use other financial ratio variables, dividends and rights issues in explaining their effect on stock returns.
References
Acheampong, P., Agalega, E., & Shibu, A. K. (2014). The Effect of Financial Leverage and Market Size on Stock Returns on the Ghana Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector. International Journal of Financial Reseach Vol.5, No.1.
Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and Firm-Level Stock Returns during Pandemics, in Real Time. Cambridge: National Bureau of Economic Research.
Amaroh, S. (2020). COVID-19 OUTBREAK AND CAPITAL MARKET REACTION: AN EVIDENCE FROM THE JAKARTA ISLAMIC INDEX 70. Jurnal Ekonomi dan Keuangan Islam Vol 9, No 2, 227-244.
Anadza, H., Pasopati, R. U., & Syarifuddin. (2021). Global Eclectic Treatment of COVID-19: Global, Regional, and National Perspectives on Common Enemy. Nation State: Journal of International Studies Vol. 4 No. 2, 247-262.
Angelovska, J. (2017). Investors’ Behaviour in Regard to Company Earnings Announcements during the Recession Period: Evidence from the Macedonian Stock Exchange. Economic Research-Ekonomska Istraživanja 30 (1), 647-660.
Ardiansari, A., & Saputra, A. (2015). Capital Market’s Reaction towards 2014 Working Cabinet Announcement (Indonesian Case Study). Jurnal Dinamika Manajemen. 6 (1), 62-72.
Bisnis.com. (2021, July 30). Meski Turun Sepekan, IHSG Menguat 1,4 Persen pada Juli 2021. Retrieved from Bisnis.com: https://market.bisnis.com/read/20210730/7/1424012/meski-turun-sepekan-ihsg-menguat-14-persen-pada-juli-2021
Buhori, I. (2021, June 30). Kondisi Terkini RSD Wisma Atlet: IGD Penuh, Isak Tangis dan Dilema Nakes. Retrieved from Merdeka.com: https://www.merdeka.com/peristiwa/kondisi-terkini-rsd-wisma-atlet-igd-penuh-isak-tangis-dan-dilema-nakes.html
Burggraf, T., Fendel, R., & Huynh, T. L. (2020). Political news and stock prices: Evidence from Trump’s trade war. Applied Economics Letters 27, 1485–1488.
CDC. (2018, December 7). Asian lineage avian influenza A(H7N9) virus. Retrieved from Avian Influenza (Flu): https://www.cdc.gov/flu/avianflu/h7n9-virus.htm
Chen, M.-H., Jang, S. S., & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management 26, 200–212.
Chen, S., & Jeong, J. (2020). The Effects of the US-China Trade Dispute on the Asymmetric Volatility in the Stock Market: An Investigation of EGARCH Model Analysis. 2020 2nd International Conference on Economic Management and Model Engineering (ICEMME), 343-351.
Chrisnanti, F. (2015). Perbedaan Nilai Actual Return, Expected Return, Abnormal Return, Trading Volume Activity dan Security Return Variability Sebelum dan Sesudah Merjer Pada Perusahaan Yang Terdaftar di Bursa Efek Indonesia. Jurnal Bisnis dan Akuntansi, Vol 17, No 1.
CNN Indonesia. (2021, October 11). Menkes: Ada Imunitas Alami dan Vaksin, Kasus Covid Turun. Retrieved from CNN Indonesia: https://www.cnnindonesia.com/nasional/20211011172952-20-706275/menkes-ada-imunitas-alami-dan-vaksin-kasus-covid-turun
covid19.go.id. (2021, November 24). Data Vaksinasi COVID-19 (Update per 24 November 2021) . Retrieved from covid19.go.id: https://covid19.go.id/p/berita/data-vaksinasi-covid-19-update-24-november-2021
covid19.go.id. (2021, July 1). Indonesia fights back the covid-19 second wave. Retrieved from covid19.go.id: https://covid19.go.id/p/berita/indonesia-fights-back-covid-19-second-wave
Cucinotta, D., & Vanelli, M. (2020). WHO Declares COVID-19 a Pandemic. Acta Biomed, 157–160.
Dasilas, A., & Leventis, S. (2011). Stock market reaction to dividend announcements: Evidence from the Greek stock market. International Review of Economics & Finance Vol 20 (2), 302-311.
Ferry, M. G., & Jones, W. (1979). Determinants of Financial Structure: A New Methodological Approach. The Journal of Finance 34, 631-644.
Friedman, H. L., & Zeng, Z. (2021). Retail Investor Trading and Market Reactions to Earnings Announcements . Behavioral & Experimental Finance (Editor's Choice) eJournal.
Gemilang, S. G., & Dewi, R. K. (2021). ANALISIS PENGARUH EARNINGS PER SHARE (EPS), PRICE EARNING RATIO (PER), PRICE TO BOOK VALUE (PBV) TERHADAP RETURN SAHAM PADA PERUSAHAAN SEKTOR KONSTRUKSI DAN PROPERTI DI BURSA EFEK INDONESIA. Jurnal Akuntansi Dan Keuangan Syariah Vol 4 No 2, 66-73.
Halim, A. (2005). Analisis Investasi. Salemba Empat.
Harjoto, M. A., Rossi, F., Lee, R., & Sergi, B. S. (2021). How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business Volume 115, May–June 2021.
Helia, S., Putra, E. E., & Hidayati, H. (2020). Firm Size and Price Book Value Impact on Stock Return: Evidence from the Indonesian Stock Exchange. Budapest International Research and Critics Institute August, 2567a-2567i.
Hung, D. V., Hue, N. T., & Duong, V. T. (2021). The Impact of COVID-19 on Stock Market Returns in Vietnam. Journal of Risk and Financial Management 14:, 441.
Husnan, S. (2004). Dasar-Dasar Teori Portfolio dan Analisis Sekuritas. Yogyakarta, UPP AMP YKPN.
Hussin, B. M., Ahmed, A. D., & Ying, T. C. (2010). Semi-strong form efficiency: Market reaction to dividend and earnings announcements in Malaysian stock exchange. IUP Journal of Applied Finance, 16, 36–60.
Ichev, R., & Marinč, M. (2018). Stock prices and geographic proximity of information: Evidence from the Ebola outbreak. International Review of Financial Analysis Vol. 56, 153-166.
IDXChannel. (2020, March 10). Pergerakan IHSG Awal Maret 2020. Retrieved from IDXChannel: https://www.idxchannel.com/infografis/pergerakan-ihsg-awal-maret-2020
Indonesia fights back the covid-19 second wave. (2021, July 1). Retrieved from covid19.go.id: https://covid19.go.id/p/berita/indonesia-fights-back-covid-19-second-wave
Jiang, Y., Zhang, Y., Ma, C., Wang, Q., Xu, C., Donovan, C., . . . Sun, W. (2017). H7N9 not only endanger human health but also hit stock marketing. Advances in Disease Control and Prevention 2(1), 1.
Kadıoğlu, E., Telçeken, N., & Öcal, N. (2015). Market Reaction to Dividend Announcement: Evidence from Turkish Stock Market. International Business Research Vol. 8, No. 9, 83-94.
Kollias, C., Papadamou, S., & Stagiannis, A. (2012). The financial spill overs of the Gulf of Mexico oil accident. Empirical Economics Letters 11(6), 190–199.
Lako, A. (2004). MARKET REACTION TO EARNINGS ANNOUNCEMENTS WITH AND WITHOUT CONFOUNDING EFFECTS: (An Empirical Evidence from Jakarta Stock Exchange). Jurnal Ekonomi Vol. 13, No. 4, 52-74.
Loh, E. (2006). THE IMPACT OF SARS ON THE PERFORMANCE AND RISK PROFILE OF AIRLINE STOCKS. International Journal of Transport Economics Vol. 33, No. 3, 401-422.
Mahmood, S., Mirza, H. H., & Mushtaq, N. (2014). MARKET REACTION TO THE RIGHTS ISSUE ANNOUNCEMENTS: EVIDENCE FROM AN EMERGING MARKET. Vidyabharati International Interdisciplinary Research Journal 3(2), 91-111.
Markopoulou, M. K., & Papadopoulos, D. L. (2009). An empirical investigation on the capital structure signalling theory of companies listed in the Greek Stock Exchange. Portuguese Journal of Management Studies 14 (3), 217-238.
Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Financ Res Lett. 2021 Jan, 38.
McKenna, K. (2021, April 26). Trading Vs. Investing: Which Is Better For Long-Term Goals? Retrieved from Forbes: https://www.forbes.com/sites/kristinmckenna/2021/04/26/trading-vs-investing-which-is-better-for-long-term-goals/?sh=7017555348f9
Nurcahyono, N., Hanum, A. N., & Sukesti, F. (2021). The COVID-19 Outbreak and its Impact on Stock Market Returns: Evidence From Indonesia. Jurnal Dinamika Akuntansi dan Bisnis Vol. 8(1), 47-58.
Nurhaliza, S. (2021, July 8). IHSG Tercatat Naik 0,6 Persen Sepanjang Juni 2021, Ini Rinciannya. Retrieved from IDX Channel.com: https://www.idxchannel.com/market-news/ihsg-tercatat-naik-06-persen-sepanjang-juni-2021-ini-rinciannya
Pigott DM, G. N. (2014). Mapping the zoonotic niche of Ebola virus disease in Africa. Elife 2014 Vol 3.
Prana, I. D. (2021). Pengaruh ROE, DER, dan PBV terhadap return saham dengan free cash flow sebagai variabel moderasi pada sektor manufaktur yang terdaftar di BEI tahun 2017-2019. Undergraduate thesis, Universitas Islam Negeri Maulana Malik Ibrahim.
Pranita, E. (2020, May 11). Diumumkan Awal Maret, Ahli: Virus Corona Masuk Indonesia dari Januari. Retrieved from Kompas: https://www.kompas.com/sains/read/2020/05/11/130600623/diumumkan-awal-maret-ahli--virus-corona-masuk-indonesia-dari-januari?page=all
Puspaningrum, B. A. (2021, July 13). Secara Global, Jumlah Kematian Akibat Covid-19 Sampai Pertengahan 2021 Melampaui Total 2020. Retrieved from Kompas: https://www.kompas.com/global/read/2021/06/13/113455070/secara-global-jumlah-kematian-akibat-covid-19-sampai-pertengahan-2021
Rahayu, C. W. (2017). The Influence of Information Framing towards Investors Reaction in Bullish and Bearish Market Condition: an Experiment. Jurnal Dinamika Manajemen, Vol. 8, No. 2, 199-207.
Spence, M. (1973). Job Market Signalling. The Quarterly Journal of Economics, 355-374.
Sudarsono, B., & Sudiyatno, B. (2016). FAKTOR-FAKTOR YANG MEMPENGARUHI RETURN SAHAM PADA PERUSAHAAN PROPERTY DAN REAL ESTATE YANG TERDAFTAR PADA BURSA EFEK INDONESIA TAHUN 2009 S/D 2014. 30 Jurnal Bisnis dan Ekonomi (JBE), Maret 2016, 30 – 51.
Syahputra, M. (2019). PENGARUH PRICE EARNING RATIO (PER) DAN PRICE TO BOOK VALUE (PBV) TERHADAP HARGA SAHAM PADA PERUSAHAAN MAKANAN DAN MINUMAN YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) PERIODE 2014-2017. Undergraduate Thesis UNIVERSITAS MUHAMMADIYAH SUMATERA UTARA MEDAN.
Teitler-Regev, S., & Tavor, T. (2019). The impact of disasters and terrorism on the stock market. Jàmbá: Journal of Disaster Risk Studies Vol 11, No. 1, 534.
The World Bank. (2021). Boosting The Recovery. World Bank Group.
Trisanti, T. (2020). STOCK SPLIT AND STOCK MARKET REACTION: THE EVIDENCE OF INDONESIAN PUBLIC COMPANY. Humanities & Social Sciences Reviews Vol. 8 (2), 1-7.
Waluyo, R. P. (2019). Pengaruh Price to Book Value (PBV), Return On Equity (ROE), Firm Size terhadap Return Saham Pada Perusahaan Sektor Properti dan Real Estate yang Terdaftar di Bursa Efek Indonesia Periode 2014-2017. S1 thesis, STIE Indonesia Banking School.
World Bank. (2021, Oktober 29). Indonesia Overview: Development news, research, data. Retrieved from World Bank: https://www.worldbank.org/en/country/indonesia/overview#1
Worldometer. (2021, November 24). Worldometer. Retrieved from Worldometer: https://www.worldometers.info/coronavirus/country/indonesia/
Worthington, A. (2008). The impact of natural events and disasters on the Australian stock market: A GARCH-M analysis of storms, floods, cyclones, earthquakes and bushfires. Global Business and Economics Review 10(1), 1–10.
Yong, H. H., & Laing, E. (2021). Stock market reaction to COVID-19: Evidence from U.S. Firms’ International exposure. International Review of Financial Analysis Volume 76.
Downloads
Published
Issue
Section
License
Copyright (c) 2024 Claudia Stefi, Megawati Oktorina
![Creative Commons License](http://i.creativecommons.org/l/by-nc-sa/4.0/88x31.png)
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial-ShareAlike License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See the Effect of Open Access).