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Abstract
One of the sectors affected by the COVID-19 pandemic is the retail sector. The share prices of issuers engaged in the retail sector are mostly traded in the red zone. This study aims to find out how the Indonesian market, especially in the retail sector, reacted to the COVID-19 pandemic. Observations were made in a period of 1 month before and 1 month after the event as the event window in this study was determined based on WHO declaration on Corona Virus (COVID-19) as a global pandemic at March 11, 2020. Fifteen samples were obtained in this study using purposive sampling method. The testing was carried out using SPSS paired sample t-test. The results of hypothesis testing in this study indicate that all proposed hypotheses (Ha1, Ha2 and Ha3) are accepted. Thus, the market reacted to the WHO's designation of the corona virus (COVID-19) as a global pandemic with a decrease in cumulative abnormal returns, a decrease in stock prices and an increase in trading volume.
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References
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References
Anh, D. L. T., & Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies, 48(4), 836–851. https://doi.org/10.1108/JES-06-2020-0312
Baldwin, R., & Mauro, B. W. di. (2020). Mitigating the COVID Economic Crisis: Act Fast and Do Whatever It Takes. In Centre for Economic Policy Research. https://voxeu.org/content/mitigating-covid-economic-crisis-act-fast-and-do-whatever-it-takes
Fama, E. F. (1970). Session Topic: Stock Market Price Behavior Session Chairman: Burton G. Malkiel Efficient Capital Markets: A Review Of Theory And Empirical Work. The Journal of Finance, 25(2), 383–417.
Fauziah, L., & Venusita, L. (2021). the Reaction of Capital Markets in Indonesia, Singapore, Malaysia, and Thailand Towards the Announcement of Lockdown Policy During the Beginning of the Covid-19. Journal of Accounting, Entrepreneurship and Financial Technology (Jaef), 2(2), 109–132. https://doi.org/10.37715/jaef.v2i2.1831
Fauziyyah, N., & Ersyafdi, I. R. (2021). Dampak covid-19 pada pasar saham di berbagai negara. Jurnal Ekonomi Dan Bisnis, 23(March 2020), 56–66.
He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market. Emerging Markets Finance and Trade, 56(10), 2198–2212. https://doi.org/10.1080/1540496X.2020.1785865
He, Q., Liu, J., Wang, S., & Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 0(0), 275–288. https://doi.org/10.1080/20954816.2020.1757570
Ibrahim, Mohammad, & Mohammed. (2020). The Impact of COVID-19 Pandemic on Global Stock Markets: An Event Study. International Journal of Economics and Business Administration, VIII(Issue 4), 505–514. https://doi.org/10.35808/ijeba/602
Irfan, M., Kassim, S., & Dhimmar, S. (2021). Impact of Covid-19 on Islamic Stock Markets: An Investigation using Threshold Volatility and Event Study Models. International Journal of Islamic Economics and Finance (IJIEF), 4(1), 121–148. https://doi.org/10.18196/ijief.v4i1.10480
Lee, K. Y. M., Jais, M., & Chan, C. W. (2020). Impact of covid-19: Evidence from malaysian stock market. International Journal of Business and Society, 21(2), 607–628.
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 1–19. https://doi.org/10.3390/ijerph17082800
Manurung, D., & Subekti, K. V. (2021). Pengaruh Pandemi Covid-19 Terhadap Kinerja Harga Saham Telekomunikasi Yang Tercatat Di Bursa Efek Indonesia. Jurnal Akuntansi Manajerial (Managerial Accounting Journal), 6(1), 18–29. https://doi.org/10.52447/jam.v6i1.4591
Nurmasari, I. (2020). Dampak Covid-19 Terhadap Perubahan Harga Saham dan Volume Transaksi (Studi Kasus Pada PT. Ramayana Lestari Sentosa, Tbk.). Jurnal SEKURITAS (Saham, Ekonomi, Keuangan Dan Investasi), 3(3), 230. https://doi.org/10.32493/skt.v3i3.5022
OECD. (2020). Coronavirus: The world economy at risk. OECD Interim Economic Assessment, March, 1–15. http://www.oecd.org/berlin/publikationen/Interim-Economic-Assessment-2-March-2020.pdf
Putra, T. (2021, September 9). Alamak! Penjualan Ritel Jeblok, 5 Saham Peritel Babak Belur. CNBC Indonesia. https://www.cnbcindonesia.com/market/20200909131658-17-185527/alamak-penjualan-ritel-jeblok-5-saham-peritel-babak-belur
Saragih, H. P. (2020). WHO Tetapkan Corona Pandemi Dunia, IHSG Sempat Anjlok 4,3%. CNBC Indonesia. https://www.cnbcindonesia.com/market/20200312103117-17-144278/who-tetapkan-corona-pandemi-dunia-ihsg-sempat-anjlok-43
Saraswati, H. (2020). Dampak Pandemi Covid-19 Terhadap Pasar Saham Di Indonesia. JAD: Jurnal Riset Akuntansi Dan Keuangan Dewantara, 3(2), 153–163.
Spence. (1973). I shall argue that the paradigm case of the market with this type of informational structure is the job market and will therefore focus upon it . By the end I hope it will be clear ( although space limitations will not permit an extended argument ) that a. The Quarterly Journal of Economics, 87(3), 355–374.
Suryatimur, K. P., & Khabibah, N. A. (2021). Reaksi Pasar Saham Perusahaan Farmasi Sebelum Dan Sesudah Covid-19 Di Indonesia. Jurnal Aplikasi Akuntansi, 6(1), 67–79. https://doi.org/10.29303/jaa.v6i1.112
Tandelilin, E. (2010). Portofolio dan Investasi: Teori dan Aplikasi. (Edisi 1.).
Trisnowati, Y., & Muditomo, A. (2021). COVID-19 and Stock Market Reaction in Indonesia. Journal of Accounting and Investment, 22(1), 23–36. https://doi.org/10.18196/jai.v22i1.8859
Wicaksono, C. A., & Adyaksana, R. I. (2020). Analisis Reaksi Investor Sebagai Dampak Covid-19 Pada Sektor Perbankan di Indonesia. JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 6(2), 129–138. https://doi.org/10.34204/jiafe.v6i2.2227