financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2024-28-1-30-42finance-2676Research ArticleФИНАНСОВЫЕ РЫНКИFINANCIAL MARKETSРеакция рынка на COVID-19 и политические меры в различных секторах: исследование событий на фондовом рынке стран АСЕАНMarket Reaction to COVID-19 and Policy Response Across Different Sectors: An Event Study on ASEAN Stock Markethttps://orcid.org/0000-0002-6489-0466ЛесманаД.LesmanaD.

Даданг Лесмана — преподаватель

Восточный Кутай

Dadang Lesmana — Researcher

East Kutai

dadanglesmana89@gmail.comhttps://orcid.org/0000-0002-0850-9747ЮдаруддинР.YudaruddinR.

Ризки Юдаруддин — преподаватель, факультет экономики и бизнеса

Самаринда

Rizky Yudaruddin — Lecturer, Faculty of Economics and Business

Samarinda

rizky.yudaruddin@feb.unmul.ac.idАгентство исследований и развитияИндонезияResearch and Development AgencyIndonesiaУниверситет МулаварманРоссияMulawarman UniversityRussian Federation2024010320242813042Copyright © Лесмана Д., Юдаруддин Р., 20242024Лесмана Д., Юдаруддин Р.Lesmana D., Yudaruddin R.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/2676

Цель исследования — изучить реакцию рынка на COVID-19 и ответные меры политики на фондовом рынке стран АСЕАН. Объектом исследования являются 2349 компаний, расположенных в странах АСЕАН (Индонезия, Малайзия, Таиланд, Филиппины и Вьетнам). Применяется метод изучения событий с использованием CAR (Cumulative Abnormal Return) в качестве измерения рыночной реакции. Мы также провели регрессию влияния характеристик компании (SIZE, ROA, LEV, CASH,AGE) на реакцию рынка. В результате исследования мы пришли к выводу, что рынок негативно отреагировал на объявление о случаях заболевания и смерти от COVID-19 на фондовом рынке стран АСЕАН. При этом хуже всего на вспышку пандемии отреагировали рынки Малайзии, Филиппин и Вьетнама. Более того, рынок негативно отреагировал на ответные меры политики, подчеркивающие распространение этого заболевания. Мы также обнаружили, что несколько секторов негативно отреагировали на COVID-19 и политические меры на фондовом рынке стран АСЕАН. Кроме того, особенности компании в значительной мере повлияли на стимулирование реакции рынка на пандемию и его регулирование. Сделаны практические выводы для политиков в связи с необходимостью учета рыночных условий в мерах по борьбе с распространением кризиса в области здравоохранения. Инвесторы также должны учитывать особенности, связанные с управлением пандемией COVID-19. 

The purpose of the study is to investigate the market reaction to COVID-19 and the policy response in the ASEAN stock market. The subjects of this study are companies located in ASEAN countries (Indonesia, Malaysia, Thailand, the Philippines, and Vietnam) as many as 2349 companies. The basic methodology of this research uses the event study method using CAR (Cumulative Abnormal Return) as a measure of market reaction. We also regressed the effect of firm characteristics (SIZE, ROA, LEV, CASH, AGE) on market reaction. According to the paper’s results, the ASEAN stock market reacted negatively to the announcement of COVID-19 cases and deaths. In this condition, the markets in Malaysia, the Philippines, and Vietnam had the worst reactions to the pandemic outbreak. Moreover, the market negatively reacted to the policy response emphasizing the spread of this disease. We also find that several sectors also provided a negative reaction to COVID-19 and the policy response in the ASEAN stock market. In addition, the company’s characteristics significantly influenced the encouragement of market reactions to the pandemic and regulations. Practical implications were provided for policymakers regarding the need to consider market conditions in interventions in the spread of the health crisis. Investors should also consider the characteristics involved in handling the COVID-19 pandemic.

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The authors declare that there are no conflicts of interest present.