COVID-19 on the Telecommunications Industry Stock Market Performances: An Event-Study Approach
DOI:
https://doi.org/10.23887/ijssb.v5i3.35379Keywords:
Abnormal return, COVID-19, Event-study, Telecommunication sectorAbstract
Covid-19's impact on the global economy is unclear. The stock market has responded with dramatic moves around the world. This study aims to analyze the quality of knowledge of the COVID-19 pandemic events regarding the performance of the Indonesian stock market as seen from the average abnormal return before and after the first case of COVID-19 Indonesia on March 2, 2020. The research design used in this study is an event study. The three samples used in this study are companies engaged in the telecommunications sub-sector on the Indonesia Stock Exchange. The sampling technique used in this research is purposive sampling. The study focused on a window period of 15 days before and 15 days after the event date. Hypothesis testing was carried out using the paired sample t-test on data with a typical distribution and the one-sample Wilcoxon signed-ranked test on data that were not normally distributed. The results obtained are that stocks react positively but not significantly to the announcement of the first case in Indonesia using an event study research design. There is a significant difference in abnormal returns before and after the first case of COVID-19 patients in Indonesia was announced.
References
Ahmad, W., Kutan, A. M., & Gupta, S. (2021). Black swan events and COVID-19 outbreak: Sector level evidence from the US, UK, and European stock markets. International Review of Economics & Finance, 75. https://doi.org/10.1016/j.iref.2021.04.007.
Aji, R. H. S. (2020). Dampak Covid-19 pada Pendidikan di Indonesia: Sekolah, Keterampilan, dan Proses Pembelajaran. Jurnal Sosial Dan Budaya Syar-I, 7(5). https://doi.org/10.15408/sjsbs.v7i5.15314.
AlAli, M. S. (2020). The Effect of WHO COVID-19 Announcement on Asian Stock Markets Returns: An Event Study Analysis. Journal of Economics and Business, 3(3). https://doi.org/10.31014/aior.1992.03.03.261.
Ali, S. R. M., Mensi, W., Anik, K. I., Rahman, M., & Kang, S. H. (2021). The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters. Economic Analysis and Policy. https://doi.org/10.1016/j.eap.2021.11.009.
Alonderienė, R., & Suchotina, N. (2017). The Impact of Self-directed Learning on Work Performance of Lawyers. Organizations And Markets In Emerging Economies, 8(2). https://doi.org/10.15388/omee.2017.8.2.14185.
Ambarita, E. (2021). Belajar Dari Rumah (Bdr) Menggunakan Padlet Alternatif E-Learning Pada Masa Pandemi Covid-19 (Studi Kasus Di Sman 56 Jakarta). JIRA: Jurnal Inovasi Dan Riset Akademik, 2(1), 30–36. https://doi.org/10.47387/jira.v2i1.70.
Ariansyah, K., Sirait, E. R. E., Nugroho, B. A., & Suryanegara, M. (2021). Drivers of and barriers to e-commerce adoption in Indonesia: Individuals’ perspectives and the implications. Telecommunications Policy, 45(8). https://doi.org/10.1016/j.telpol.2021.102219.
Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54. https://doi.org/10.1016/j.ribaf.2020.101249.
Asmirantho, E., & Somantri, O. K. (2017). The Effect of Financial Performance on Stock Price At Pharmaceutical Sub-Sector Company Listed in Indonesia Stock Exchange. JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 3(2). https://doi.org/10.34204/jiafe.v3i2.778.
Bahloul, S., & Khemakhem, I. (2021). Dynamic return and volatility connectedness between commodities and Islamic stock market indices. Resources Policy, 71. https://doi.org/10.1016/j.resourpol.2021.101993.
Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M. C., & Viratyosin, T. (2020). The Unprecedented Stock Market Impact of COVID-19. Review of Corporate Finance Studies. https://doi.org/10.3386/w26945.
Bash, A. (2020). International Evidence of Covid-19 and Stock Market Returns: an Event Study Analysis. International Journal of Economics and Financial Issues, 10(4). https://doi.org/10.32479/ijefi.9941.
Ben-Ahmed, K., Ayadi, I., & Hamad, S. Ben. (2021). COVID-19 impact on digital companies’ stock return: A dynamic data analysis. Finance Research Letters. https://doi.org/10.1016/j.frl.2021.102340.
Dey, A. K., Hoque, G. M. T., Das, K. P., & Panovska, I. (2021). Impacts of COVID-19 local spread and Google search trend on the US stock market. Physica A: Statistical Mechanics and Its Applications. https://doi.org/10.1016/j.physa.2021.126423.
Dian, Y. A., Bagus, P., & Permatasari. (2019). Do Earnings Management and Institutional Ownership Affect Stock Market Liquidity? Opcion, 35(24). https://doi.org/10.1017/ CBO9781107415324.004.
Dwivedi, Y. K., Hughes, D. L., Coombs, C., Constantiou, I., & Duan, Y. (2020). Impact of COVID-19 pandemic on information management research and practice: Transforming education, work and life. International Journal of Information Management, 55. https://doi.org/10.1016/j.ijinfomgt.2020.102211.
Engelhardt, N., Krause, M., Neukirchen, D., & Posch, P. N. (2021). Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters, 38. https://doi.org/10.1016/j.frl.2020.101873.
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, 2. https://doi.org/10.37715/jaef.v2i2.1831.
Gandasari, D., & Dwidienawati, D. (2020). Content analysis of social and economic issues in Indonesia during the COVID-19 pandemic. Heliyon, 6(11). https://doi.org/10.1016/j.heliyon.2020.e05599.
Haryanto. (2020). Dampak Covid-19 terhadap Pergerakan Nilai Tukar Rupiah dan Indeks Harga Saham Gabungan (IHSG). Jurnal Perencanaan Pembangunan: The Indonesian Journal of Development Planning, 4(2). https://doi.org/10.36574/jpp.v4i2.114.
Hincal, E., & Alsaadi, S. H. (2021). Stability analysis of fractional order model on corona transmission dynamics. Chaos, Solitons & Fractals, 143, 110628. https://doi.org/10.1016/j.chaos.2020.110628.
Ho, K.-C., Li, H.-M., & Gong, Y. (2021). How does corporate social performance affect investment inefficiency? An empirical study of China market. Borsa Istanbul Review. https://doi.org/10.1016/j.bir.2021.06.016.
Huang, Y. (2020). Research on Online Education in the Midst of the COVID-19 Pandemic. Journal of Advances in Education Research, 5(2), 125–137. https://doi.org/10.22606/jaer.2020.52005.
Indrawati, M., Prihadi, C., & Siantoro, A. (2020). The Covid-19 Pandemic Impact on Children’s Education in Disadvantaged and Rural Area Across Indonesia. International Journal of Education (IJE), 8(4), 19–33. https://doi.org/10.5121/ije.2020.8403.
Ligot, S., Gillet, R., & Veryzhenko, I. (2021). Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency. Journal of International Financial Markets, Institutions and Money, 75. https://doi.org/10.1016/j.intfin.2021.101437.
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). https://doi.org/10.3390/ijerph17082800.
Liu, Q., Huang, J., & Zhou, Z. (2020). Self-expansion via smartphone and smartphone addiction tendency among adolescents: A moderated mediation model. Children and Youth Services Review, 119(June), 105590. https://doi.org/10.1016/j.childyouth.2020.105590.
Lou, J., Wong, T. W., Fung, K. W. T., & Shaende, J. J. N. (2021). Stock and bond joint pricing, consumption surplus, and inflation news. Research in International Business and Finance, 58. https://doi.org/10.1016/j.ribaf.2021.101426.
Lyócsa, Š., Baumöhl, E., Výrost, T., & Molnár, P. (2020). Fear of the coronavirus and the stock markets. Finance Research Letters, 36. https://doi.org/10.1016/j.frl.2020.101735.
Lyócsa, Š., & Molnár, P. (2020). Stock market oscillations during the corona crash: The role of fear and uncertainty. Finance Research Letters, 36. https://doi.org/10.1016/j.frl.2020.101707.
Matos, P., Costa, A., & Silva, C. da. (2021). COVID-19, stock market and sectoral contagion in US: a time-frequency analysis. Research in International Business and Finance, 57. https://doi.org/10.1016/j.ribaf.2021.101400.
Mpungose, C. B. (2021). Lecturers’ reflections on use of Zoom video conferencing technology for e-learning at a South African university in the context of coronavirus. African Identities. https://doi.org/10.1080/14725843.2021.1902268.
Nanda, A., Xu, Y., & Zhang, F. (2021). How would the COVID-19 pandemic reshape retail real estate and high streets through acceleration of E-commerce and digitalization? Journal of Urban Management, 10(2). https://doi.org/10.1016/j.jum.2021.04.001.
Papadamou, S., Fassas, A. P., Kenourgios, D., & Dimitriou, D. (2021). Flight-to-quality between global stock and bond markets in the COVID era. Finance Research Letters, 38. https://doi.org/10.1016/j.frl.2020.101852.
Putria, H., Maula, L. H., & Uswatun, D. A. (2020). Analisis Proses Pembelajaran dalam Jaringan (DARING) Masa Pandemi Covid- 19 Pada Guru Sekolah Dasar. Jurnal Basicedu, 4(4), 861–872. https://doi.org/10.31004/basicedu.v4i4.460.
Ratnaningsih, N. M. D., & Widanaputra, A. A. G. P. (2019). The reaction of Indonesian capital market to political event the announcement of Indonesia presidential election 2019 results. International Research Journal of Management, IT and Social Sciences, 6(6). https://doi.org/10.21744/irjmis.v6n6.765.
Scherf, M., Matschke, X., & Rieger, M. O. (2021). Stock market reactions to COVID-19 lockdown: A global analysis. Finance Research Letters. https://doi.org/10.1016/j.frl.2021.102245.
Shah, K., Arfan, M., Mahariq, I., Ahmadian, A., Salahshour, S., & Ferrara, M. (2020). Fractal-Fractional Mathematical Model Addressing the Situation of Corona Virus in Pakistan. Results in Physics, 19, 103560. https://doi.org/10.1016/j.rinp.2020.103560.
Shahzad, A., Yaqub, R. M. S., Vaio, A. Di, & Hassan, R. (2021). Antecedents of customer loyalty and performance improvement: Evidence from Pakistan’s telecommunications sector. Utilities Policy, 70. https://doi.org/10.1016/j.jup.2021.101208.
Sharif, A., Aloui, C., & Yarovaya, L. (2020). Pandemi COVID-19, harga minyak, pasar saham, risiko geopolitik, dan perhubungan ketidakpastian kebijakan dalam ekonomi AS: Bukti baru dari pendekatan berbasis wavelet. International Review of Financial Analysis, 70. https://doi.org/10.1016/j.irfa.2020.101496.
Sharma, D., Tiwari, A. K., Jain, M., Yadav, A., & Erkut, B. (2021). Unconditional and conditional analysis between covid-19 cases, temperature, exchange rate and stock markets using wavelet coherence and wavelet partial coherence approaches. Heliyon, 7(2). https://doi.org/10.1016/j.heliyon.2021.e06181.
Simamora, R. M. (2020). The Challenges of Online Learning during the COVID-19 Pandemic: An Essay Analysis of Performing Arts Education Students. Studies in Learning and Teaching, 1(2), 86–103. https://doi.org/10.46627/silet.v1i2.38.
Sintema, E. J. (2020). Effect of COVID-19 on the performance of grade 12 students: Implications for STEM education. Eurasia Journal of Mathematics, Science and Technology Education, 16(7), 1–6. https://doi.org/10.29333/EJMSTE/7893.
Sohrabi, C., Alsafi, Z., O’Neill, N., Khan, M., Kerwan, A., Al-Jabir, A., Iosifidis, C., & Agha, R. (2020). World Health Organization declares global emergency: A review of the 2019 novel coronavirus (COVID-19). International Journal of Surgery, 76(February), 71–76. https://doi.org/10.1016/j.ijsu.2020.02.034.
Stalmachova, K., & Strenitzerova, M. (2021). Impact of the COVID-19 pandemic on employment in transport and telecommunications sectors. Transportation Research Procedia, 55. https://doi.org/10.1016/j.trpro.2021.06.009.
Syamsuddin, I., Irmawati, & Syafaruddin. (2021). An experimental study of RyO Kit for Covid-19 information sharing in rural islands of Indonesia. ICT Express, 7(3). https://doi.org/10.1016/j.icte.2021.02.002.
Teplova, T., & Tomtosov, A. (2021). Can high trading volume and volatility switch boost momentum to show greater inefficiency and avoid crashes in emerging markets? The economic relationship in factor investing in emerging markets. The Quarterly Review of Economics and Finance, 80. https://doi.org/10.1016/j.qref.2021.01.018.
Wibowo, A., & Darmanto, S. (2019). Impact of Quick Count Result of President Election on Stock Prices and Trade Activities in the Indonesian Capital Market. Saudi Journal of Business and Management Studies, 4(6). https://doi.org/10.21276/sjbms.2019.4.6.2.
Yousfi, M., Zaied, Y. Ben, Cheikh, N. Ben, Lahouel, B. Ben, & Bouzgarrou, H. (2021). Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves. Technological Forecasting and Social Change, 167. https://doi.org/10.1016/j.techfore.2021.120710.
