Main Article Content

Abstract

Purpose – This study examines the effect of Covid-19 in Indonesia on the value of abnormal returns, trading volume activity, and efficiency of the Jakarta Islamic Index (JII), the Indonesian Islamic stock market.
Methodology – This study employed the event study model to measure the relationship between important events related to the Indonesian Covid-19 pandemic on stock returns and the stock trading volume of JII indexed companies. Using research analysis techniques in the form of a market-adjusted model, this study determines the period of events before, during, and after the event.
Findings – This study found that the global Covid-19 announcement, announcement of the new normal, and announcement of the Covid-19 vaccination gave a significant abnormal return reaction to the JII index and did not provide a significant trading volume activity reaction.
Implications – Indonesia's Islamic stock market, which falls into the semi-strong efficient category, responds quickly to important public information such as Covid-19-related announcements. Investors showed high sensitivity to major news, but trading volumes did not change significantly, indicating a cautious adjustment strategy. The different reactions across sectors, especially industry and energy, highlight the need for investor portfolio diversification. It is important for policymakers to provide clear and timely communication to maintain market stability during crises. Further research is required to understand the long-term impact and extend the coverage of international Islamic stock markets.
Originality – This study examines several important Covid-19 events that occurred in Indonesia on stock returns and trading volumes in the Indonesian Islamic stock market.

Keywords

Islamic stock COVID-19 Event study Abnormal Return Trading Volume Activity

Article Details

How to Cite
Fianto, B. A., Nugroho, P. A., Ali Shah, S. A., & Busser, R. . (2024). Stock market responses to Covid-19: Evidence from Jakarta Islamic Index. Jurnal Ekonomi & Keuangan Islam, 10(2), 191–199. https://doi.org/10.20885/JEKI.vol10.iss2.art4

References

  1. Agung, J. S., & Susilawati, C. E. (2021). Dampak pandemi Covid-19 terhadap indeks 9 sektor industri di Bursa Efek Indonesia. Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi, 8(2), 581-592. https://doi.org/10.35794/jmbi.v8i2.34049
  2. Al-Qudah, A. A., & Houcine, A. (2021). Stock markets' reaction to Covid-19: Evidence from the six WHO regions. Journal of Economic Studies, 49(2), 274-289. https://doi.org/10.1108/jes-09-2020-0477
  3. Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249
  4. Białkowski, J., Etebari, A., & Wisniewski, T. P. (2012). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking & Finance, 36(3), 835–845. https://doi.org/10.1016/j.jbankfin.2011.09.014
  5. Bui, H. & Krajcsák, Z. (2024). The impacts of corporate governance on firms’ performance: From theories and approaches to empirical findings. Journal of Financial Regulation and Compliance, 32(1), 18-46. https://doi.org/10.1108/JFRC-01-2023-0012
  6. Chen, M.-H., Jang, S. S., & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management, 26(1), 200–212. https://doi.org/10.1016/j.ijhm.2005.11.004
  7. Drakos, K. (2010). Terrorism activity, investor sentiment, and stock returns. Review of Financial Economics, 19(3), 128–135. https://doi.org/10.1016/j.rfe.2010.01.001
  8. Dupernex, S. (2007). Why might share prices follow a random walk. Student Economic Review, 21(1), 167-179. https://www.tcd.ie/Economics/assets/pdf/SER/2007/Samuel_Dupernex.pdf
  9. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383. https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
  10. Farooq, U., Tabash, M.I. & Ahmed, A. (2024), Financial development and green technological innovation: A case of GCC countries, International Journal of Innovation Science, https://doi.org/10.1108/IJIS-09-2023-0206
  11. Fatmawati, S., & Asri, M. (1999). Pengaruh stock split terhadap likuiditas saham yang diukur dengan besarnya Bid-Ask spread di bursa efek Jakarta. Journal of Indonesian Economy and Business, 14(4). https://jurnal.ugm.ac.id/jieb/article/view/39320
  12. Hendricks, K. B., & Singhal, V. R. (1996). Quality awards and the market value of the firm: An empirical investigation. Management Science, 42(3), 415-436. https://doi.org/10.1287/mnsc.42.3.415
  13. Hsu, Y. L., & Liao, L. K. C. (2022). Corporate governance and stock performance: The case of Covid-19 crisis. Journal of Accounting and Public Policy, 41(4), 106920. https://doi.org/10.1016%2Fj.jaccpubpol.2021.106920
  14. Indonesia Stock Exchange. (2021). Islamic Stock Index. Indonesia Stock Exchange. https://www.idx.co.id/idx-syariah/indeks-saham-syariah/
  15. Investing. (2022). Markets, Investing. https://www.investing.com/markets/
  16. Juniantara, P. I. K., Dwijayanti, N. M. A., & Suprapto, P. A. (2023). Analysis of abnormal returns and trading volume activity before and after the announcement of the implementation of new normal. Journal of Applied Sciences in Accounting, Finance, and Tax, 6(2), 47-53. https://doi.org/10.31940/jasafint.v6i2.47-53
  17. MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39. https://www.bu.edu/econ/files/2011/01/MacKinlay-1996-Event-Studies-in-Economics-and-Finance.pdf
  18. Muhaimin, A., Friyanti, Y. E., & Yunus, F. (2021). Analisis reaksi pasar saham syariah terhadap dampak corona virus disease (Covid-19) outbreak di Indonesia. Jurnal Ilmiah Ar-Risalah: Media Ke-Islaman, Pendidikan dan Hukum Islam, 19(2), 283-295. https://ejournal.iaiibrahimy.ac.id/index.php/arrisalah/article/view/946
  19. Otoritas Jasa Keuangan. (2019). Laporan perkembangan keuangan syariah Indonesia, Sinergi dalam membangun ekosistem ekonomi dan keuangan syariah. Otoritas Jasa Keuangan, 53(9), 18. https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/laporan-perkembangan-keuangan-syariah-indonesia/Documents/LAPORAN%20PERKEMBANGAN%20KEUANGAN%20SYARIAH%20INDONESIA%202019.pdf
  20. Orhun, E. (2020). The impact of Covid-19 global health crisis on stock markets and understanding the cross-country effects. Pacific Accounting Review, 33(1), 142–159. https://doi.org/10.1108/PAR-07-2020-0096
  21. Pransuamitra, P. A. (2020). Awas kebanting! Jangan “ugal-ugalan” menyambut new normal. CNBC Indonesia. https://www.cnbcindonesia.com/market/20200602225652-17-162588/awaskebanting-jangan-ugal-ugalanmenyambut-new-normal/4
  22. Pratama, I. G. B., Sinarwati, N. K., Darmawan, N. A. S., & SE, A. (2015). Reaksi pasar modal Indonesia terhadap peristiwa politik (Event study pada peristiwa pelantikan Joko Widodo sebagai presiden Republik Indonesia ke-7). JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi) Undiksha, 3(1). https://doi.org/10.23887/jimat.v3i1.4754
  23. Puarattanaarunkorn, O., Autchariyapanitkul, K. & Kiatmanaroch, T. (2023). An analysis of dependency of stock markets after unlimited QE announcements during Covid-19 pandemic. Asian Journal of Economics and Banking, 7(3), 310-332. https://doi.org/10.1108/AJEB-04-2023-0037
  24. Rahman, M. L., Amin, A., & Al Mamun, M. A. (2021). The Covid-19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters, 38, 101832. https://doi.org/10.1016/j.frl.2020.101832
  25. Ryandono, M. N. H., & Guritno, A. (2021). Sharia stock reaction against Covid-19 pandemic: Evidence from Indonesian capital markets. The Journal of Asian Finance, Economics and Business, 8(2), 329-337. https://doi.org/10.13106/jafeb.2021.vol8.no2.0697
  26. Selasi, D. (2020). Dampak pandemic diseases terhadap perkembangan pasar modal syariah di Indonesia. Syntax Literate, 5(5), 46-54. https://doi.org/10.36418/syntax-literate.v5i5.1107
  27. Siegel, J. J. (2021). Stocks for the long run: The definitive guide to financial market returns & long-term investment strategies. McGraw-Hill Education.
  28. Sugianto, D. (2020). Perjalanan IHSG sejak RI positif virus corona, Detik. https://finance.detik.com/bursa-dan-valas/d-4972595/perjalanan-ihsg-sejak-ri-positif-virus-corona.
  29. Tandelilin, E. (2010). Dasar-dasar manajemen investasi. http://repository.ut.ac.id/3823/1/EKMA5312-M1.pdf
  30. Tay, L.-M., Puah, C.-H., Brahmana, R. K., & Malek, N. I. A. (2016). The effect of white-collar crime announcement on stock price performance: Evidence from Malaysian stock market. Journal of Financial Crime, 23(4), 419-432. https://doi.org/10.1108/JFC-07-2015-0035
  31. Widnyana, I. W., & Warmana, G. O. (2022). Indonesia composite index and market reaction in Indonesia due to Covid-19 Pandemic. Asia Pacific Management and Business Application, 10(3), 413-424. https://doi.org/10.21776/ub.apmba.2022.010.03.12
  32. Worldometer. (2021). Indonesia Covid-Coronavirus statistics. Worldometer. https://www.worldometers.info/coronavirus/country/indonesia/
  33. World Health Organization. (2020). Covid-19 situation report. World Health Organization. https://www.who.int/emergencies/diseases/novel-coronavirus-2019/advice-for-public?adgroupsurvey={adgroupsurvey}&gad_source=1&gclid=Cj0KCQjw-uK0BhC0ARIsANQtgGOId7XwAX_FdUcPqdlKh8QeFZMubcXbDh4SSovZ1cFFCZhCNHoYGwYaAl1UEALw_wcB
  34. Wu, C. H., & Lin, C. J. (2017). The impact of media coverage on investor trading behavior and stock returns. Pacific-Basin Finance Journal, 43, 151-172. https://doi.org/10.1016/j.pacfin.2017.04.001