THE EFFECT OF COVID-19 PANDEMIC OUTBREAKS ON RETAIL COMPANIES STOCK RETURNS IN INDONESIA

• Main Author: Armita Munafri, Nadhila
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/67663
• Institution: Institut Teknologi Bandung

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.