THE EFFECT OF COVID-19 PANDEMIC OUTBREAKS ON RETAIL COMPANIES STOCK RETURNS IN INDONESIA
In late 2019, a virus called Covid-19 emerged in Wuhan, China. Not only affecting health, Covid-19 is also a threat to the sustainability of the world economy resulting in uncertainty, pessimism, and adverse effects on financial markets. In the world of finance, every event and information have a...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/67663 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | In late 2019, a virus called Covid-19 emerged in Wuhan, China. Not only
affecting health, Covid-19 is also a threat to the sustainability of the world economy
resulting in uncertainty, pessimism, and adverse effects on financial markets. In the
world of finance, every event and information have a causal effect on how the
company's stock performs. The stock market has been scrambling since a day after
the World Health Organization (WHO) announced that Covid-19 is a global
problem and should be adequately anticipated, or in other words, has become a
global pandemic. This study aims to see the causality relationship and the influence
of the increase in confirmed cases of Covid-19 and deaths on the stock returns of
retail companies in Indonesia. This study used secondary data in the form of the
number of Covid-19 cases and deaths and weekly stock returns with a time period
from March 2020 to July 2021 with a sample of 10 retail companies listed on the
Indonesia Stock Exchange (IDX). Researchers used Eviews 12 software in
processing data to achieve research objectives by using Granger Causality analysis
with a Vector Autoregression (VAR) / Vector Error Correction Model (VECM)
approach. Based on Granger's causality analysis, it was found that there was a
unidirectional causality relationship between the number of Covid-19 cases and the
return stock of PT. Ace Hardware Indonesia (ACES) and unidirectional causality
relationship between the number of Covid-19 deaths to the return stock of PT.
Matahari Department Store (LPPF) and PT. Mitra Adiperkasa (MAPI). Based on
VECM analysis, it was found that in the short term, the number of Covid-19 cases
in general did not have a significant effect on the company's stock return while the
number of Covid-19 deaths had a significant effect on the stock return of retail
companies. In the long run, both the number of cases and the number of Covid-19
deaths have a significant effect on the retail companies’ stock return.
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