TY - JOUR
T1 - Sharia Stock Reaction Against COVID-19 Pandemic
T2 - Evidence from Indonesian Capital Markets
AU - RYANDONO, Muhamad Nafik Hadi
AU - MUAFI, Muafi
AU - GURITNO, Agung
N1 - Publisher Copyright:
© Copyright: The Author(s) This is an Open Access article distributed under the terms of the Creative Commons Attribution Non-Commercial License (https://creativecommons.org/licenses/by-nc/4.0/) which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited.
PY - 2021
Y1 - 2021
N2 - 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.
AB - 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.
KW - COVID-19 Pandemic
KW - Defensive Stock
KW - Event Study
KW - Return
UR - http://www.scopus.com/inward/record.url?scp=85101047385&partnerID=8YFLogxK
U2 - 10.13106/jafeb.2021.vol8.no2.0697
DO - 10.13106/jafeb.2021.vol8.no2.0697
M3 - Article
AN - SCOPUS:85101047385
SN - 2288-4637
VL - 8
SP - 697
EP - 710
JO - Journal of Asian Finance, Economics and Business
JF - Journal of Asian Finance, Economics and Business
IS - 2
ER -