STOCK REACTIONS AND ABNORMAL STOCK RETURNS IN THE PROPERTY SECTOR LISTED ON THE INDONESIA STOCK EXCHANGE DUE TO THE COVID-19 PANDEMIC

Aloysius Van Rhein Tambunan, G. Ugut
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引用次数: 1

Abstract

The COVID-19 outbreak has severely affected equity markets and most stock index around the world. Indonesia is no exception, the social restriction policy (PSBB) imposed by the government caused the IHSG to be corrected negatively. One of the sectors that was severely affected at the beginning of the pandemic was the property sector. This study aims to see the reaction of property sector stocks due to the Covid-19 incident and abnormal returns that occurred during the early days of the Covid-19 pandemic. The research sample is 51 property sector companies listed on the IDX. By using multivariate regression, it was found that the announcement of the first time an Indonesian citizen had contracted Covid-19 was still responded positively by stock returns in the property sector. Meanwhile, the announcement of the restriction policy (PSBB) for the first time in Jakarta encountered a negative response by stock returns in the property sector. The abnormal return model shows that company size, cash/TA, leverage, BVPS, and market to book value altogether significantly affect the cumulative abnormal return of property sector stocks, with a contribution of 18.07%. While partially only the size of the company that significantly affects the cumulative abnormal return of the property sector. Therefore, the larger the size of the company, the greater the abnormal return. Keywords: Covid-19 Stock Reaction, Abnormal Returns, Multivariate Regression
2019冠状病毒病大流行对印尼证券交易所上市房地产行业的股票反应和股票异常回报
新冠肺炎疫情严重影响了全球股市和大多数股指。印尼也不例外,政府实施的社会限制政策(social restriction policy, PSBB)导致了IHSG的负面修正。在大流行开始时受到严重影响的部门之一是房地产部门。本研究旨在了解房地产板块股票对Covid-19事件的反应以及在Covid-19大流行初期出现的异常回报。研究样本是在IDX上市的51家房地产公司。通过多元回归分析发现,印度尼西亚首次出现公民感染新冠病毒的消息仍然受到房地产行业股票回报的积极响应。与此同时,雅加达首次宣布的限购政策(PSBB)遭到了房地产行业股票回报的负面反应。异常收益模型显示,公司规模、现金/资产负债率、杠杆率、BVPS和市净率共同显著影响地产股的累计异常收益,贡献率为18.07%。而部分只有公司规模才会显著影响房地产行业的累计异常回报。因此,公司规模越大,异常收益越大。关键词:Covid-19股票反应异常收益多元回归
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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