Abstract
<p>This research was conducted to determine the impact of Covid-19 on the Company’s stock returns and trading volume activity. The covid-19 pandemic event is important for research because it includes investor’s assessment of the information generated in the capital market. This study was conducted to test the following hypotheses: before and after the Covid-19 pandemic was declared a national non-natural disaster, (1) there was a significant average change in the average abnormal return; (2) it is a significant average change in average trading volume activity. This research was conducted using event research methods. The sample for this study comes from 45 companies in the JII index. The analysis tool used is a regression with the SPSS. The descriptive statistic can be confirmed by calculating the standard deviation value. The result shows that the standard deviation range is 0.0002 to 0.03, so the research tool could be described as data obtained is suitable to the measurement variable. The conclusions explain that the events before and after the declaration of the Covid-19 outbreak as a national non-natural disaster have positive and a significant impact on the average abnormal return rate of stock activity and changes in trading volume activity.</p>
Highlights
In 2020, the threat of the Covid-19 pandemic will shock the world
In this study presented research that the impact of epidemics and pandemics in the past is as frightening as a large-scale event such as Covid-19, and its economic consequences
We found that average abnormal return due to Covid-19 outbreak has changed with a coefficient value of β = 0.976
Summary
In 2020, the threat of the Covid-19 pandemic will shock the world. The pandemic resulted in more than 1.4 million confirmed cases more than 83,000 death worldwide (Nicola et al, 2020). Due to the Covid-19 pandemic, financial markets have reacted tremendously. March 2020, US stock market touched circuit breaker mechanism four times in ten days. The japaneses stock market has fallen more than 20% from Desember 2019. The main UK index FTSE fell by more than 10% on March 12, 2020 (Zhang et al, 2020)
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