Abstract
This research tries to show that information about COVID-19 affects market arousal indicated by the frequency of transactions, and the market performance shown by Jakarta Composite Index (JCI). The theory used for analysis is the prospect theory and efficient market hypothesis (EMH). The results of statistical analysis indicate that information about COVID has a negative effect on JCI, as well as trading volume the previous day. The evidence can briefly prove that there is an effect of COVID-19 and weakening daily transactions on JCI. The research findings show that the JCI market uncertainty is in line with the VUCA and Prospect theory. In this case, it occurs that uncertainty affects the behavior of investors' decision making. Investors' decision-making behavior is accumulated in market behavior, and is subsequently manifested in index changes in accordance with the efficient market hypothesis. The contribution of this research to the study of financial market behavior is that uncertainty and uncertainty faced by investors affect market behavior and changes as measured by the index.
Highlights
Uncertainty that occurred on the Indonesian stock exchange (IDX) as well as various world exchanges caused by Covid-19 can be matched with VUCA
This paper aims to analyze the effect of news about Covid-19 on market sentiment, the effect of Covid-19 rumors on market performance, how strongly Covid-19 rumors affect market performance, and how strong market sentiment was in the Covid-19 period on market performance
The results of statistical analysis tell us that information about Covid-19 has a negative effect on Jakarta Composite Index (JCI), as well as trading volume the previous day
Summary
Uncertainty that occurred on the Indonesian stock exchange (IDX) as well as various world exchanges caused by Covid-19 can be matched with VUCA (velocity, uncertainty, complexity, and ambiguity). It is stated in the VUCA concept that the current business environment (from 1990 – 2014) is full of difficult-to-predict of VUCA condition [1]. Full of uncertainness, very complicated relationships with each other and create confusion and hesitation. VUCA'S condition occurred at the time of the Covid-19 outbreak. The response to the uncertain, and stressful situation can be traced and attributed to prospect theory [2]. There was a decrease in Jakarta Composite Index (JCI) in the early period of 2020 in line with the outbreak of Covid-19
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