Covid-19 is an international pandemic that has paralyzed the national economic sector. This study aims to analyze impact of on stock’s abnormal return in cigarette sub sector companies listed Indonesia Stock Exchange January May 2020 period. The population this 5 2020. research sample selection uses census method so as obtain with observation period months (January 2020). Secondary data regardi...

This study identifies Indonesian investors’ reactions to the drop in stock prices on Indonesia Stock Exchange market, during early months of COVID-19 crisis, before and after World Health Organization (WHO) announced that its global spread constitutes a pandemic. It also explores variables influence returns this market financial crisis caused by uses regression analysis 70 firms, listed examine...

COVID-19 has become a negative sentiment for stock markets around the world. On Monday, March 2, 2020, Indonesian President Joko Widodo announced findings of first infection case in Indonesia. This study aims to test whether there is market reaction spread COVID-19. Market this measured by abnormal returns, which difference between expected returns and realized returns. Abnormal were estimated ...

We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from Wharton Research Data Services database comprehensive set traditional recent statistical methods. specifically employed variety linear nonlinear tests, latest multiple-break unit root tests spectral analysis to test efficient market hypothesis. Our results show that t...

This Research is an event study that examine abnormal return difference before and after first announcement of covid-19 case in Indonesia. Study use daily closing price data to calculate returns. We 30 days estimation period 20 window period. The collection method purposive sampling. There are 64 companies meet the establish criteria. Wilcoxon signed rank test paired sample t-test were used Hot...

Penelitian ini bertujuan untuk mengetahu reaksi pasar modal Indonesia terhadap peristiwa sebelum dan sesudah adanya pengumuman pelarangan peredaran obat sirup yang mengandung bahan etilen glikol di Indonesia. menggunakan pendekatan event study dengan indikator abnormal return. Jenis penelitian digunakan ialah kuantitatif data sekunder peroleh dari Bursa Efek Penentuan sampel metode purposive sa...

Penelitian ini bertujuan menganalisis serta melihat seberapa besar abnormal return saham trading volume activity sebelum buyback saham, awal pelaksanaan di akhir perusahaan BUMN pada kondisi pandemi Covid-19. Sampel yang digunakan merupakan mela­ku­kan corporate action berupa stock masa Pademi Hasil didapat menunjukkan periode stock, masih hasil negatif, namun positif terjadi beberapa BUMN, ber...

We seek to forecast sector stock returns using established predictor variables. Existing empirical evidence focuses on market level data, and thus, data provide fertile ground for research. In addition in-sample predictive regressions, we consider recursive rolling forecasts whether such can be used successfully in a rotation portfolio. The results ten sectors eleven variables highlight that tw...

This study analyzes the phenomenon of first case Covid-19 transmission in Indonesia and its impact on capital market Indonesia. aims to test whether there is a negative PCAD pattern after announcement covid-19 virus Indonesian prove that experienced significant decline returns period transmission. Stocks are included as LQ45 stocks being utilized event method analyze response during window (t-1...