ASSESSING THE IMPACT OF COVID-19 CASES TOWARDS STOCK RETURN: EVIDENCE FROM TOURISM, HOTEL AND RESTAURANT INDUSTRIES IN INDONESIA

• Main Author: Riezalina, Rahmi
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/60963
• Institution: Institut Teknologi Bandung

First appearing at the end of 2019, COVID-19 has negatively impacted the world since its inception in Wuhan, China. WHO (World Health Organization) also announced the COVID-19 as a global pandemic on March 11, 2020, when there were already 118.000 cases in 114 countries, and Indonesia is not an exception. Specifically in Indonesia, the first case of COVID-19 was announced by the President, Jokowi, on March 2, 2020. This pandemic has a massive impact on many industries, and the hospitality industry is included in it. The effect of the pandemic on the hospitality industry not only because of the changes in public regulations such as lockdowns, Pembatasan Sosial Berskala Besar (PSBB), but also the changes in individual behavior. During this pandemic, the uncertainty may affect the company’s financial performance, which can impact the company’s stock return. Stock return is a factor that motivates investors to invest and also serves as a reward for investors' willingness to take risks with their investments. This study aims to investigate the causality between COVID-19 and stock returns. This study uses weekly stock returns with a study period from March 2020 to February 2021 with a sample of 6 active hotel, restaurant and tourism companies listed on the Indonesia Stock Exchange (IDX). By using Granger causality, this study finds that there is a relationship between COVID-19 and P.T. Fast Food Indonesia’s stock returns, but there is no significant relationship between COVID-19 and stock returns in 5 other companies. Furthermore, we also used Vector Autoregression (VAR) and Impulse Response Function (IRF) to validate the results of the Granger causality test