Sharia Stock Reaction Against COVID-19 Pandemic: Evidence from Indonesian Capital Markets

• Main Authors: Muhamad Nafik Hadi Ryandono, -, Muafi, -, Agusng Guritno, -
• Format: Article PeerReviewed
• Language: English; Indonesian; English; English; Indonesian
• Published: Korea Distribution Science Association (KODISA) 2021
• Subjects: H Social Sciences; HG4501-6051 Investment, capital formation, speculation; HG4551-4598 Stock exchanges
• Online Access: https://repository.unair.ac.id/113245/6/M%20Nafik%20Hadi%20R_Karil103_Sharia%20Stock%20Reaction.pdf; https://repository.unair.ac.id/113245/2/Moh%20Nafik%20HR_PeerReview103.pdf; https://repository.unair.ac.id/113245/7/M%20Nafik%20HadiR_Similarity103_Sharia%20Stock%20Reaction.pdf; https://repository.unair.ac.id/113245/8/M%20Nafik%20HR_Korespondensi103_Sharia%20Stock%20Reaction.pdf; https://repository.unair.ac.id/113245/12/M%20Nafik%20HR_Bimbingan%20S3.pdf; https://repository.unair.ac.id/113245/; https://www.koreascience.kr/article/JAKO202104142237624.view?orgId=kodisa; https://doi.org/10.13106/jafeb.2021.vol8.no2.0697
• Institution: Universitas Airlangga

The purpose of this study is to explore the reaction of sharia stock in the Indonesian capital market to the global Covid-19 pandemic. The method used in this study is an event study with a Market Adjusted Model (MAM) approach. The population of this study is shares listed on the Indonesian Stock Exchange (IDX), with the sample chosen from the Jakarta Sharia (Islamic) Index. The result of this study found that the global Covid-19 pandemic is bad news, with the indicators as follows: a) the average expected return is negative; b) the average actual return is negative; c) the average abnormal return is negative, and d) the increase selling action of stock as a cut loss strategy. There is a negative abnormal return and significant Trading Volume Activity (TVA) before, during, and after the announcement of the global Covid-19 pandemic. However, this study found no difference in abnormal return and TVA before and after the announcement of the global Covid-19 pandemic. From these results, this study indicates that the sharia stocks in the capital market in Indonesia can respond quickly to the information that existed. Therefore, the capital market of Indonesia is a capital market with a semi-strong efficient form.