The Covid-19, Policy And Capital Market: Empirical Evidence From Indonesia
DOI:
https://doi.org/10.22219/jrak.v11i2.16855Keywords:
Capital market, Covid-19, Indonesia, PolicyAbstract
This paper aims to examine the impact of Covid-19 on the Indonesian capital market. Second, we test whether any policy from regulators could mitigate its effects. By using daily time-series data from January to July, we propose the simplest regression model (ordinary least squares) to test its effect. We also conducted some robustness with various sectors and splitting samples to make sure that our findings are robust and consistent. We find that Covid-19 (proxied by new cases, cumulative cases, new deaths, and cumulative deaths) has a negative effect on stock price in all indexes, i.e., composite, Islamic, and all sectors (the worst in the financial sector). In other words, a higher number of Covid-19 leads to a lower stock price in Indonesia. Second, the regulations from the government (the President, Financial Service Authority, Central Bank of Indonesia, and Indonesian Stock Exchange) could reduce its negative impact. It means that the negative effect of Covid-10 on the Indonesian stock market is becoming lower after including policies from all regulators. Hence, measuring Covid-19’s drawbacks on the capital market by relevant policies in Indonesia. It is also quite pivotal to explore which one policy either effective or ineffective to mitigate Covid-19.
Downloads
References
Al-Awadhi, A. M., 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, 100326. https://doi.org/10.1016/j.jbef.2020.100326
Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) — An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. https://doi.org/10.1016/j.jbef.2020.100341
Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249
Brown, G. D. et al. (2015) ‘Do industrial incidents in the chemical sector create equity market contagion?’, Journal of Safety Research. Elsevier Ltd and National Safety Council, 55(December 2010), pp. 115–119.
Corbet, S., Gurdgiev, C. and Meegan, A. (2018) ‘Long-term stock market volatility and the influence of terrorist attacks in Europe’, Quarterly Review of Economics and Finance. Board of Trustees of the University of Illinois, 68, pp. 118–131.
Corbet, S., Larkin, C. and McMullan, C. (2020) ‘The impact of industrial incidents on stock market volatility’, Research in International Business and Finance. Elsevier, 52(October 2019), p. 101125. https://doi.org/10.1016/j.ribaf.2019.101125
Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance Research Letters, 101512. https://doi.org/10.1016/j.frl.2020.101512
Goodell, J. W., & Huynh, T. L. D. (2020). Did Congress trade ahead? Considering the reaction of US industries to COVID-19. Finance Research Letters, 101578. https://doi.org/10.1016/j.frl.2020.101578
Gormsen, N. J. and Koijen, R. S. J. (2020) ‘Coronavirus: Impact on stock prices and growth expectations’, Review of Asset Pricing Studies, 10(4), pp. 574–597.
Haroon, O., & Rizvi, S. A. R. (2020). COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343. https://doi.org/10.1016/j.jbef.2020.100343
He, Q., Liu, J., Wang, S., & Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 0(0), 1–14. https://doi.org/10.1080/20954816.2020.1757570
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 1–19. https://doi.org/10.3390/ijerph17082800
Luchtenberg, K. F. and Vu, Q. V. (2015) ‘The 2008 financial crisis: Stock market contagion and its determinants’, Research in International Business and Finance. Elsevier B.V., 33, pp. 178–203.
Meegan, A., Corbet, S. and Larkin, C. (2018) ‘Financial market spillovers during the quantitative easing programmes of the global financial crisis (2007–2009) and the European debt crisis’, Journal of International Financial Markets, Institutions and Money, 56, pp. 128–148.
Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496. https://doi.org/10.1016/j.irfa.2020.101496
Triyani, A., Setyahuni, S. W. and Kiryanto, K. (2020) ‘The Effect Of Environmental, Social and Governance (ESG) Disclosure on Firm Performance: The Role of Ceo Tenure’, Jurnal Reviu Akuntansi dan Keuangan, 10(2), p. 261.
Wagner, A. F. (2020). What the stock market tells us about the post-COVID-19 world. Nature Human Behaviour, 4(5), 440. https://doi.org/10.1038/s41562-020-0869-y
Yang, Y., Peng, F., Wang, R., Guan, K., Jiang, T., Xu, G., Sun, J., & Chang, C. (2020). The deadly coronaviruses: The 2003 SARS pandemic and the 2020 novel coronavirus epidemic in China. Journal of Autoimmunity, 109(March), 102434. https://doi.org/10.1016/j.jaut.2020.102434
Zhi Da, Joseph Engelbeg, and P. G. (2011) ‘In Search of Attention ZHI DA, JOSEPH ENGELBERG, and PENGJIE GA ()’, Journal of Finance, LXVI(5), pp. 1461–1499.
Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 101528. https://doi.org/10.1016/j.frl.2020.101528
Downloads
Published
Issue
Section
License
Copyright (c) 2021 Sri Retnoningsih, Ahmad Maulin Naufa
This work is licensed under a Creative Commons Attribution 4.0 International License.
Jurnal Reviu Akuntansi dan Keuangan 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 4.0 International 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).