INVESTOR BEHAVIOR AND STOCK PRICES: AN EVENT STUDY FROM COVID-19 OUTBREAK IN INDONESIA
Puji Sucia Sukmaningrum(a*), Nuradli Ridzwan Shah Bin Mohd Dali(b), Muhammad Madyan(a), Nisful Laila(a), Tika Widiastuti(a)

a) Faculty of Economics and Business, Universitas Airlangga
*puji.sucia[at]feb.unair.ac.id
b) Faculty of Economics and Muamalat, Universiti Sains Islam Malaysia

Abstract

This study investigates the investors^ behavior and market reaction measured by trading volume activity (TVA) and Average Abnormal Return (AAR) during the Covid-19 pandemic in Indonesia. This study comprehensively analyzed the subsectors affected by COVID-19: Pharmaceuticals, telecommunications, transportation, and food and beverages. Using the event study approach using daily stock prices and trading volume data. The model used for abnormal return is a market model with an event period of 10 days before and after the announcement-an estimation period of 80 days to predict expected return. The samples in this study are divided into six pharmaceutical companies, 11 food and beverages companies, 15 transportation companies, and four telecommunications companies listed in the Jakarta Composite Index (JCI).
The study results found that there were different reactions from Covid-19 cases in each subsector. There is a significant difference in TVA averages and a change in AR two days before and seven days after the announcement on the pharmaceutical sub-sector. There was no TVA average, but significant AAR fluctuations occurred in 11 days during the food and beverages sub-sector observation period. Surprisingly, the telecommunications sub-sector experienced significant negative AAR differences after the announcement, although there was no significant difference to TVA. Finally, there is a negative difference in AAR on 11 days during observation in the transportation sub-sector, but there is no difference in TVA. The right investment decisions can realize financial empowerment for investors and companies. Investors can choose stocks that positively react to the COVID-19 pandemic to optimize their portfolios. Pharmaceutical sector company is one type of stock that can survive a pandemic. In addition, food and beverages are sub-sectors that can survive the COVID-19 pandemic. This research is analyzing in more detail by clustering each sub-sector. Thus, it can help stakeholde

Keywords: financial empowerment- event study- covid-19- stock price- investor behavior- abnormal return

Topic: Islamic capital