COVID-19 and Stock Abnormal Return of Pharmaceutical Industry
DOI:
https://doi.org/10.51289/peta.v7i2.577Keywords:
abnormal return, COVID-19, event study, pharmacyAbstract
The purpose of this study was to determine the effect of the COVID-19 outbreak on abnormal returns and cumulative abnormal returns of pharmaceutical companies' stocks. The research used explanatory research with an event study approach with a 5-day window period is 2 days before the event to 2 days after the event. The sample of this study is the stock of 8 pharmaceutical companies listed on the Indonesia Stock Exchange. Abnormal return data and cumulative abnormal return were analyzed using one sample t-test for normally distributed data and Wilcoxon Signed Rank for data not normally distributed. The results show that the COVID-19 outbreak did not had a significant effect on the pharmaceutical companies's stocks abnormal return, but had a positive and significant effect on the pharmaceutical companies's cumulative abnormal return on the event 2 and event 5. It means that the COVID-19 outbreak contains a good signal for the market, thus increase the stock price.
References
Aga, M., & Kocaman, B. (2008). Efficient market hypothesis and emerging capital markets: Empirical evidence from istanbul stock exchange. International Research Journal of Finance and Economics.
Agustian, W. (2020). BEI: Trading Halt Dilakukan pada Pukul 15.33 Waktu Jats. (Online). https://idxchannel.okezone.com/read/2020/03/12/278/2182314/bei-trading-halt-dilakukan-pada-pukul-15-33-waktu-jats
Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance. https://doi.org/10.1016/j.jbef.2020.100326
Ansori, A. N. Al. (2020). Menilik Awal Mula Perjalanan COVID-19 pada 31 Desember 2019. (Online). https://www.liputan6.com/health/read/4323369/menilik-awal-mula-perjalanan-covid-19-pada-31-desember-2019
Armitage, S. (1995). Event Study Methods and Evidence on Their Performance. Journal of Economic Surveys. https://doi.org/10.1111/j.1467-6419.1995.tb00109.x
Arnani, M. (2020). Timeline Wabah Virus Corona, Terdeteksi pada Desember 2019 hingga Jadi Pandemi Global. (Online). https://www.kompas.com/tren/read/2020/03/12/113008565/timeline-wabah-virus-corona-terdeteksi-pada-desember-2019-hingga-jadi?page=all
Begy, G., & Talwar, V. (2016). The economic worth of product placement in prime-time television shows. International Journal of Market Research. https://doi.org/10.2501/IJMR-2015-026
Bhattacharya, S. (1979). Imperfect Information, Dividend Policy, and “The Bird in the Hand” Fallacy. The Bell Journal of Economics. https://doi.org/10.2307/3003330
Brigham, E. F., & Houston, J. F. (2014). Dasar-Dasar Manajemen Keuangan Edisi 11 Buku 1. In Salemba Empat Jakarta.
Chen, C.-D., Chen, C.-C., Tang, W.-W., & Huang, B.-Y. (2009). The Positive and Negative Impacts of the Sars Outbreak: A Case of the Taiwan Industries. The Journal of Developing Areas, 43(1), 281—293. http://www.jstor.org/stable/40376284
Chen, M. H., Jang, S. C. (Shawn), & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management. https://doi.org/10.1016/j.ijhm.2005.11.004
Chen, M. H., Kim, W. G., & Kim, H. J. (2005). The impact of macroeconomic and non-macroeconomic forces on hotel stock returns. International Journal of Hospitality Management. https://doi.org/10.1016/j.ijhm.2004.06.008
Citradi, T. (2020). Virus Corona Mewabah, Saham Farmasi Mulai Bergerak. (Online). https://www.cnbcindonesia.com/market/20200306174600-17-143093/virus-corona-mewabah-saham-farmasi-mulai-bergerak
Connelly, B. L., Certo, S. T., Ireland, R. D., & Reutzel, C. R. (2011). Signaling theory: A review and assessment. In Journal of Management. https://doi.org/10.1177/0149206310388419
Das, N., McNeil, C., Pouder, R. W., & Daly, J. P. (2020). Is cause-related marketing a winning strategy? An event study analysis. Journal of Marketing Theory and Practice. https://doi.org/10.1080/10696679.2019.1662313
Deny, S. (2020). IHSG Anjlok di Tengah Kekhawatiran Wabah Virus Corona. (Online). https://www.liputan6.com/bisnis/read/4169823/ihsg-anjlok-di-tengah-kekhawatiran-wabah-virus-corona
DÃaz, A., & Jareño, F. (2013). Inflation news and stock returns: Market direction and flow-through ability. Empirical Economics. https://doi.org/10.1007/s00181-012-0555-7
Donadelli, M., Kizys, R., & Riedel, M. (2017). Dangerous infectious diseases: Bad news for Main Street, good news for Wall Street? Journal of Financial Markets. https://doi.org/10.1016/j.finmar.2016.12.003
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance. https://doi.org/10.2307/2325486
Friedman, S. D., & Singh, H. (1989). CEO Succession and Stockholder Reaction: The Influence of Organizational Context and Event Content. Academy of Management Journal. https://doi.org/10.5465/256566
Funck, M., & Gutierrez, J. A. (2018). Has Ebola Infected the Market: A Contagious Reaction to a (Media) Health Care Crisis? SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2786001
Hamid, K., Suleman, M. T., Shah, S. Z. A., & Akash, R. S. I. (2010). Testing the weak form of efficient market hypothesis: Empirical evidence from Asia-Pacific markets. International Research Journal of Finance and Economics. https://doi.org/10.2139/ssrn.2912908
Harjoto, M. A., Rossi, F., & Paglia, J. K. (2020). COVID-19: stock market reactions to the shock and the stimulus. Applied Economics Letters. https://doi.org/10.1080/13504851.2020.1781767
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. 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. https://doi.org/10.1080/20954816.2020.1757570
Ichev, R., & MarinÄ, M. (2018). Stock prices and geographic proximity of information: Evidence from the Ebola outbreak. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2017.12.004
Ihsanuddin. (2020). BREAKING NEWS: Jokowi Umumkan Dua Orang di Indonesia Positif Corona. (Online). https://nasional.kompas.com/read/2020/03/02/11265921/breaking-news-jokowi-umumkan-dua-orang-di-indonesia-positif-corona?page=all
Iyengar, M., Iyengar, N., & Sampat, H. (2017). Impact of US election results on Indian stock market : An event study approach. International Journal of Applied Reasearch.
Jensen, G. R., Mercer, J. M., & Johnson, R. R. (1996). Business conditions, monetary policy, and expected security returns. Journal of Financial Economics. https://doi.org/10.1016/0304-405X(96)89537-7
Julian, M. (2020). Ada pandemi corona (Covid-19), perusahaan farmasi juga melakukan adaptasi bisnis. (Online). https://industri.kontan.co.id/news/ada-pandemi-corona-covid-19-perusahaan-farmasi-juga-melakukan-adaptasi-bisnis
Kim, J., Kim, J., Lee, S. K., & Tang, L. (Rebecca). (2020). Effects of epidemic disease outbreaks on financial performance of restaurants: Event study method approach. Journal of Hospitality and Tourism Management. https://doi.org/10.1016/j.jhtm.2020.01.015
Kromidha, E., & Li, M. C. (2019). Determinants of leadership in online social trading: A signaling theory perspective. Journal of Business Research. https://doi.org/10.1016/j.jbusres.2019.01.004
Lee, S., & Connolly, D. J. (2010). The impact of IT news on hospitality firm value using cumulative abnormal returns (CARs). International Journal of Hospitality Management. https://doi.org/10.1016/j.ijhm.2009.08.007
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. https://doi.org/10.3390/ijerph17082800
Liu, J., Sarkar, S., Kumar, S., & Jin, Z. (2018). An analysis of stock market impact from supply chain disruptions in Japan. International Journal of Productivity and Performance Management. https://doi.org/10.1108/IJPPM-06-2016-0104
Loh, E. (2006). The impact of SARS on the performance and risk profile of airline stocks. International Journal of Transport Economics. https://doi.org/10.1400/55242
MacKinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature.
McWilliams, A., & Siegel, D. (1997). Event studies in management research: Theoretical and empirical issues. In Academy of Management Journal. https://doi.org/10.2307/257056
Moss, T. W., Neubaum, D. O., & Meyskens, M. (2015). The Effect of Virtuous and Entrepreneurial Orientations on Microfinance Lending and Repayment: A Signaling Theory Perspective. Entrepreneurship Theory and Practice. https://doi.org/10.1111/etap.12110
Nippani, S., & Washer, K. M. (2004). SARS: A non-event for affected countries’ stock markets? Applied Financial Economics. https://doi.org/10.1080/0960310042000310579
Nugroho, A. C. (2020). Ringkasan Perdagangan 12 Maret: Bursa Asia Melemah, IHSG Anjlok Hingga BEI Suspensi Perdagangan. (Online). https://market.bisnis.com/read/20200312/7/1212677/ringkasan-perdagangan-12-maret-bursa-asia-melemah-ihsg-anjlok-hingga-bei-suspensi-perdagangan
Peón, D., Antelo, M., & Calvo, A. (2019). A guide on empirical tests of the EMH. In Review of Accounting and Finance. https://doi.org/10.1108/RAF-02-2016-0031
Puspitasari, I. (2020). Kekhawatiran Virus Corona dan Skandal di Pasar Saham Buat IHSG Masih Melemah. (Online). https://investasi.kontan.co.id/news/kekhawatiran-virus-corona-dan-skandal-di-pasar-saham-buat-ihsg-masih-melemah
Putra, D. A. (2020). Sektor Manufaktur Aman, Virus Corona Berpotensi Ganggu Industri Farmasi. (Online). https://www.liputan6.com/bisnis/read/4171679/sektor-manufaktur-aman-virus-corona-berpotensi-ganggu-industri-farmasi
Putri, G. S. (2020). Update Corona 31 Januari: 213 Tewas, WHO Tetapkan Status Darurat Dunia. (Online)2. https://sains.kompas.com/read/2020/01/31/122900223/update-corona-31-januari-213-tewas-who-tetapkan-status-darurat-dunia
Qian, W., Suryani, A. W., & Xing, K. (2020). Does carbon performance matter to market returns during climate policy changes? Evidence from Australia. Journal of Cleaner Production. https://doi.org/10.1016/j.jclepro.2020.121040
Ramelli, S., & Wagner, A. (2020). Feverish Stock Price Reactions to COVID-19. The Review of Corporate Finance Studies. https://doi.org/10.1093/rcfs/cfaa012
Samsul, M. (2015). Pasar modal dan manajemen portofolio. Jakarta: Erlangga. https://doi.org/10.22236/agregat
Saragih, H. P. (2020). Corona Hajar Pusat Keuangan Dunia, Wall Street Cs Babak Belur. (Online). https://www.cnbcindonesia.com/market/20200201060302-17-134417/corona-hajar-pusat-keuangan-dunia-wall-street-cs-babak-belur
Seo, S., Jang, S. C. S., Miao, L., Almanza, B., & Behnke, C. (2013). The impact of food safety events on the value of food-related firms: An event study approach. International Journal of Hospitality Management. https://doi.org/10.1016/j.ijhm.2012.07.008
Spence, M. (1973). Job market signaling. Quarterly Journal of Economics. https://doi.org/10.2307/1882010
Suwanna, T. (2012). Impacts of Dividend Announcement on Stock Return. Procedia - Social and Behavioral Sciences. https://doi.org/10.1016/j.sbspro.2012.03.255
Ţiţan, A. G. (2015). The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research. Procedia Economics and Finance. https://doi.org/10.1016/s2212-5671(15)01416-1
Utama, C. A., & Hapsari, L. (2012). Jenis Industri, Kepemilikan Saham Asing Dan Reaksi Pasar Modal Akibat Serangan Bom Teroris. Jurnal Akuntansi Dan Keuangan Indonesia. https://doi.org/10.21002/jaki.2012.07
Utomo, A. P. (2020a). Korban Meninggal Virus Corona di China Tembus 259 Orang, 11.000 Terinfeksi. (Online). https://internasional.kompas.com/read/2020/02/01/08120671/korban-meninggal-virus-corona-di-china-tembus-259-orang-11000
Utomo, A. P. (2020b). WHO Umumkan Virus Corona sebagai Pandemi Global. (Online). https://www.kompas.com/global/read/2020/03/12/001124570/who-umumkan-virus-corona-sebagai-pandemi-global?page=all#page2
Wang, Y. H., Yang, F. J., & Chen, L. J. (2013). An investor’s perspective on infectious diseases and their influence on market behavior. Journal of Business Economics and Management. https://doi.org/10.3846/16111699.2012.711360
Welle, D. (2020). WHO Umumkan Situasi Darurat Global Terkait Virus Corona, Apa Artinya? (Online). https://news.detik.com/dw/d-4881787/who-umumkan-situasi-darurat-global-terkait-virus-corona-apa-artinya
Wicaksono, A. (2020). Menperin Sebut Industri Farmasi Terpukul Virus Corona. (Online). https://www.cnnindonesia.com/ekonomi/20200311125730-532-482406/menperin-sebut-industri-farmasi-terpukul-virus-corona
Zhahrina, A. (2020). WHO Umumkan Wabah Virus Corona Berstatus Darurat Global, Apa Artinya? (Online). https://sains.kompas.com/read/2020/01/31/113000623/who-umumkan-wabah-virus-corona-berstatus-darurat-global-apa-artinya?page=all
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2022 Novita, Ani Wilujeng Suryani
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International Licensethat allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access)
