financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2024-28-3-120-130finance-2960Research ArticleФОНДОВЫЕ РЫНКИSTOCK MARKETSCOVID‑19 и крах фондового рынка: данные по ИндонезииCOVID‑19 and the Stock Market Crash: Evidence from Indonesiahttps://orcid.org/0000-0001-9152-5205НуркахионоН.NurcahyonoN.

Нуркахионо Нуркахионо — соискатель PhD, магистр бухгалтерского учета

Семаранг

Nurcahyono Nurcahyono — Dr. (Cand.), M.S.A, Department of Accounting

Semarang

nurcahyo@unimus.ac.idhttps://orcid.org/0000-0001-8502-8341ПурвантоД.PurwantoD.

Дедик Пурванто — соискатель PhD, магистр, Факультет менеджмента

Семаранг

Dedik Purwanto — Dr. (Cand.), M.M., Department of Management

Semarang

dedik@unimus.ac.idУниверситет Мухаммадия СемарангИндонезияUniversitas Muhammadiyah SemarangIndonesia202411072024283120130Copyright © Нуркахионо Н., Пурванто Д., 20242024Нуркахионо Н., Пурванто Д.Nurcahyono N., Purwanto D.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/2960

Цель исследования — определить влияние пандемии COVID‑19 на реакцию рынка, измеряемую с помощью аномальной доходности, кумулятивной аномальной доходности, средней аномальной доходности и средней кумулятивной аномальной доходности. Авторы используют методы исследования событий и анализа с помощью регрессии OLS для измерения реакции рынка в трех временных интервалах: в начале COVID‑19, в период появления вирусов Delta и Omicron. OLS используется для измерения реакции рынка капитала в окне (–10, +10) для каждого отраслевого индекса. Результаты исследования показывают, что инвесторы очень остро отреагировали на начало COVID‑19, что вызвало высокую волатильность рынка. Большинство аномальных доходностей после объявления о пандемии отреагировали негативно. Только три сектора — потребительский, инфраструктурный и торговый — оказались в безопасной зоне. При этом периоды распространения вирусов Delta и  Omicron характеризуются незначительными различиями в средней аномальной доходности после объявления. По результатам исследования, полученным в трех временных окнах, сделан вывод, что реакция рынка является значимой только на объявления за пять дней (0, +5) на основе AAR и CAAR.

The purpose of the study is to determine the impact of the COVID‑19 pandemic on the market response, measured by abnormal returns, cumulative abnormal returns and average abnormal returns. The authors use OLS events and regression analysis methods to measure market response at three-time intervals: in the beginning of COVID‑19, during the onset of Delta and Omicron viruses. OLS is used to measure the capital market reaction in the window (–10, +10) for each industry index. The results of the study show that investors reacted very sharply to the onset of COVID‑19, which caused high volatility in the market. Most abnormal returns after the pandemic announcement reacted negatively. Only three sectors — consumer, infrastructure and trade — were in the safe zone. At the same time, the spread periods of Delta and Omicron viruses are characterized by slight differences in the average abnormal yield after the announcement. The results of a study in three time frames concluded that the market response was significant only to five-day (0, +5) ads based on AAR and CAAR.

COVID‑19реакция рынкаисследование событийаномальная доходностькумулятивная аномальная доходностьCOVID‑19market reactionevent studyabnormal returncumulative abnormal returnReferencesNurcahyono N., Hanum A.N., Sukesti F. COVID 19 outbreak and stock market return: Evidence from Indonesia. Jurnal Dinamika Akuntansi dan Bisnis. 2021;8(1):47–58. DOI: 10.24815/jdab.v8i1.18934Nurcahyono N., Hanum A.N., Sukesti F. COVID 19 outbreak and stock market return: Evidence from Indonesia. Jurnal Dinamika Akuntansi dan Bisnis. 2021;8(1):47–58. DOI: 10.24815/jdab.v8i1.18934Ashraf B.N. Stock markets’ reaction to COVID 19: Moderating role of national culture. Finance Research Letters. 2021;41:101857. DOI: 10.1016/j.frl.2020.101857Ashraf B.N. Stock markets’ reaction to COVID 19: Moderating role of national culture. Finance Research Letters. 2021;41:101857. DOI: 10.1016/j.frl.2020.101857Mazur M., Dang M., Vega M. COVID 19 and the March 2020 stock market crash. Evidence from S&P1500. Finance Research Letters. 2021;38:101690. DOI: 10.1016/j.frl.2020.101690Mazur M., Dang M., Vega M. COVID 19 and the March 2020 stock market crash. Evidence from S&P1500. Finance Research Letters. 2021;38:101690. DOI: 10.1016/j.frl.2020.101690Duan J., Lin J. Information disclosure of COVID 19 specific medicine and stock price crash risk in China. Finance Research Letters. 2022;48:102890. DOI: 10.1016/j.frl.2022.102890Duan J., Lin J. Information disclosure of COVID 19 specific medicine and stock price crash risk in China. Finance Research Letters. 2022;48:102890. DOI: 10.1016/j.frl.2022.102890Jiang K., Du X., Chen Z. Firms’ digitalization and stock price crash risk. International Review of Financial Analysis. 2022;82:102196. DOI: 10.1016/j.irfa.2022.102196Jiang K., Du X., Chen Z. Firms’ digitalization and stock price crash risk. International Review of Financial Analysis. 2022;82:102196. DOI: 10.1016/j.irfa.2022.102196Jin J., Liu Y., Zhang Z., Zhao R.Voluntary disclosure of pandemic exposure and stock price crash risk. Finance Research Letters. 2022;47(B):102799. DOI: 10.1016/j.frl.2022.102799Jin J., Liu Y., Zhang Z., Zhao R.Voluntary disclosure of pandemic exposure and stock price crash risk. Finance Research Letters. 2022;47(B):102799. DOI: 10.1016/j.frl.2022.102799Baker S.R., Bloom N., Davis S.J., Kost K., Sammon M., Viratyosin T. The unprecedented stock market reaction to COVID 19. The Review of Asset Pricing Studies. 2020;10(4):742–758. DOI: 10.1093/rapstu/raaa008Baker S.R., Bloom N., Davis S.J., Kost K., Sammon M., Viratyosin T. The unprecedented stock market reaction to COVID 19. The Review of Asset Pricing Studies. 2020;10(4):742–758. DOI: 10.1093/rapstu/raaa008Goodell J.W. COVID 19 and finance: Agendas for future research. Finance Research Letters. 2020;35:101512. DOI: 10.1016/j.frl.2020.101512Goodell J.W. COVID 19 and finance: Agendas for future research. Finance Research Letters. 2020;35:101512. DOI: 10.1016/j.frl.2020.101512Nurcahyono N., Hanum A.N., Sukesti F. COVID 19 outbreak and stock market return: Evidence from Indonesia. Jurnal Dinamika Akuntansi dan Bisnis. 2021;8(1):47–58. DOI: 10.24815/jdab.v8i1.18934Nurcahyono N., Hanum A.N., Sukesti F. COVID 19 outbreak and stock market return: Evidence from Indonesia. Jurnal Dinamika Akuntansi dan Bisnis. 2021;8(1):47–58. DOI: 10.24815/jdab.v8i1.18934Cui X., Sensoy A., Nguyen D.K., Yao S., Wu Y. Positive information shocks, investor behavior and stock price crash risk. Journal of Economic Behavior & Organization. 2022;197:493–518. DOI: 10.1016/j.jebo.2022.03.016Cui X., Sensoy A., Nguyen D.K., Yao S., Wu Y. Positive information shocks, investor behavior and stock price crash risk. Journal of Economic Behavior & Organization. 2022;197:493–518. DOI: 10.1016/j.jebo.2022.03.016Chang H., Fang J., Mo P.L.L. Auditor career concerns, audit fees and audit quality. Asia-Pacific Journal of Accounting & Economics. 2023;30(1):30–55. DOI: 10.1080/16081625.2021.1947860Chang H., Fang J., Mo P.L.L. Auditor career concerns, audit fees and audit quality. Asia-Pacific Journal of Accounting & Economics. 2023;30(1):30–55. DOI: 10.1080/16081625.2021.1947860Gong X., Lin A., Chen X. CEO-CFO gender congruence and stock price crash risk in energy companies. Economic Analysis and Policy. 2022;75:591–609. DOI: 10.1016/j.eap.2022.06.010Gong X., Lin A., Chen X. CEO-CFO gender congruence and stock price crash risk in energy companies. Economic Analysis and Policy. 2022;75:591–609. DOI: 10.1016/j.eap.2022.06.010An L., Lou D., Shi D. Wealth redistribution in bubbles and crashes. Journal of Monetary Economics. 2022;126:134–153. DOI: 10.1016/j.jmoneco.2022.01.001An L., Lou D., Shi D. Wealth redistribution in bubbles and crashes. Journal of Monetary Economics. 2022;126:134–153. DOI: 10.1016/j.jmoneco.2022.01.001Dierkes M., Krupski J. Isolating momentum crashes. Journal of Empirical Finance. 2022;66:1–22. DOI: 10.1016/j.jempfin.2021.12.001Dierkes M., Krupski J. Isolating momentum crashes. Journal of Empirical Finance. 2022;66:1–22. DOI: 10.1016/j.jempfin.2021.12.001Fang Y., Yuan J., Yang J.J., Ying S. Crash-based quantitative trading strategies: Perspective of behavioral finance. Finance Research Letters. 2022;45:102185. DOI: 10.1016/j.frl.2021.102185Fang Y., Yuan J., Yang J.J., Ying S. Crash-based quantitative trading strategies: Perspective of behavioral finance. Finance Research Letters. 2022;45:102185. DOI: 10.1016/j.frl.2021.102185Al-Awadhi A.M., Alsaifi K., Al-Awadhi A., Alhammadi S. Death and contagious infectious diseases: Impact of the COVID 19 virus on stock market returns. Journal of Behavioral and Experimental Finance. 2020;27:100326. DOI: 10.1016/j.jbef.2020.100326Al-Awadhi A.M., Alsaifi K., Al-Awadhi A., Alhammadi S. Death and contagious infectious diseases: Impact of the COVID 19 virus on stock market returns. Journal of Behavioral and Experimental Finance. 2020;27:100326. DOI: 10.1016/j.jbef.2020.100326Al-Qudah A.A., Houcine A. Stock markets’ reaction to COVID 19: Evidence from the six WHO regions. Journal of Economic Studies. 2022;49(2):274–289. DOI: 10.1108/JES 09–2020–0477Al-Qudah A.A., Houcine A. Stock markets’ reaction to COVID 19: Evidence from the six WHO regions. Journal of Economic Studies. 2022;49(2):274–289. DOI: 10.1108/JES 09–2020–0477Rahman M.L., Amin A., Al Mamun M.A. The COVID 19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters. 2021;38:101832. DOI: 10.1016/j.frl.2020.101832Rahman M.L., Amin A., Al Mamun M.A. The COVID 19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters. 2021;38:101832. DOI: 10.1016/j.frl.2020.101832Haroon O., Ali M., Khan A., Khattak M.A., Rizvi S.A.R. Financial market risks during the COVID 19 pandemic. Emerging Markets Finance and Trade. 2021;57(8):2407–2414. DOI: 10.1080/1540496X.2021.1873765Haroon O., Ali M., Khan A., Khattak M.A., Rizvi S.A.R. Financial market risks during the COVID 19 pandemic. Emerging Markets Finance and Trade. 2021;57(8):2407–2414. DOI: 10.1080/1540496X.2021.1873765Phan D. H.B., Narayan P. K. Country responses and the reaction of the stock market to COVID 19 — a preliminary exposition. Emerging Markets Finance and Trade. 2020;56(10):2138–2150. DOI: 10.1080/1540496X.2020.1784719Phan D. H.B., Narayan P. K. Country responses and the reaction of the stock market to COVID 19 — a preliminary exposition. Emerging Markets Finance and Trade. 2020;56(10):2138–2150. DOI: 10.1080/1540496X.2020.1784719Raifu I.A., Kumeka T.T., Aminu A. Reaction of stock market returns to COVID 19 pandemic and lockdown policy: Evidence from Nigerian firms stock returns. Future Business Journal. 2021;7(1):35. DOI: 10.1186/s43093–021–00080-xRaifu I.A., Kumeka T.T., Aminu A. Reaction of stock market returns to COVID 19 pandemic and lockdown policy: Evidence from Nigerian firms stock returns. Future Business Journal. 2021;7(1):35. DOI: 10.1186/s43093–021–00080-xAlam M.N., Alam M.S., Chavali K. Stock market response during COVID 19 lockdown period in India: An event study. Journal of Asian Finance Economics and Business. 2020;7(7):131–137. DOI: 10.13106/jafeb.2020.vol7.no7.131Alam M.N., Alam M.S., Chavali K. Stock market response during COVID 19 lockdown period in India: An event study. Journal of Asian Finance Economics and Business. 2020;7(7):131–137. DOI: 10.13106/jafeb.2020.vol7.no7.131Scherf M., Matschke X., Rieger M.O. Stock market reactions to COVID 19 lockdown: A global analysis. Finance Research Letters. 2022;45:102245. DOI: 10.1016/j.frl.2021.102245Scherf M., Matschke X., Rieger M.O. Stock market reactions to COVID 19 lockdown: A global analysis. Finance Research Letters. 2022;45:102245. DOI: 10.1016/j.frl.2021.102245Ashraf B.N. Stock markets’ reaction to COVID 19: Cases or fatalities? Research in International Business and Finance. 2020;54:101249. DOI: 10.1016/j.ribaf.2020.101249Ashraf B.N. Stock markets’ reaction to COVID 19: Cases or fatalities? Research in International Business and Finance. 2020;54:101249. DOI: 10.1016/j.ribaf.2020.101249Fernandez-Perez A., Gilbert A., Indriawan I., Nguyen N. H. COVID 19 pandemic and stock market response: A culture effect. Journal of Behavioral and Experimental Finance. 2021;29:100454. DOI: 10.1016/j.jbef.2020.100454Fernandez-Perez A., Gilbert A., Indriawan I., Nguyen N. H. COVID 19 pandemic and stock market response: A culture effect. Journal of Behavioral and Experimental Finance. 2021;29:100454. DOI: 10.1016/j.jbef.2020.100454Carter D., Mazumder S., Simkins B., Sisneros E. The stock price reaction of the COVID 19 pandemic on the airline, hotel, and tourism industries. Finance Research Letters. 2022;44:102047. DOI: 10.1016/j.frl.2021.102047Carter D., Mazumder S., Simkins B., Sisneros E. The stock price reaction of the COVID 19 pandemic on the airline, hotel, and tourism industries. Finance Research Letters. 2022;44:102047. DOI: 10.1016/j.frl.2021.102047Gao X., Ren Y., Umar M. To what extent does COVID 19 drive stock market volatility? A comparison between the U.S. and China. Economic Research / Ekonomska Istraživanja. 2022;35(1):1686–1706. DOI: 10.1080/1331677X.2021.1906730Gao X., Ren Y., Umar M. To what extent does COVID 19 drive stock market volatility? A comparison between the U.S. and China. Economic Research / Ekonomska Istraživanja. 2022;35(1):1686–1706. DOI: 10.1080/1331677X.2021.1906730Taleb N. N. The black swan: The impact of the highly improbable. New York, NY: Random House; 2007. 480 p.Taleb N. N. The black swan: The impact of the highly improbable. New York, NY: Random House; 2007. 480 p.Lisicki B. Impairment of assets and market reaction during COVID-19 pandemic on the example of WSE. Risks. 2021;9(10):183. DOI: 10.3390/risks9100183Lisicki B. Impairment of assets and market reaction during COVID-19 pandemic on the example of WSE. Risks. 2021;9(10):183. DOI: 10.3390/risks9100183McWilliams A., Siegel D. Event studies in management research: Theoretical and empirical issues. Academy of Management Journal. 1997;40(3):626–657. DOI: 10.2307/257056McWilliams A., Siegel D. Event studies in management research: Theoretical and empirical issues. Academy of Management Journal. 1997;40(3):626–657. DOI: 10.2307/257056Sekaran U, Bougie R. Research methods for business: A skill building approach. Chichester: John Wiley & Sons Ltd.; 2019. 448 p.Sekaran U, Bougie R. Research methods for business: A skill building approach. Chichester: John Wiley & Sons Ltd.; 2019. 448 p.Brown S. J., Warner J. B. Using daily stock returns: The case of event studies. Journal of Financial Economics. 1985;14(1):3–31. DOI: 10.1016/0304–405X(85)90042-XBrown S. J., Warner J. B. Using daily stock returns: The case of event studies. Journal of Financial Economics. 1985;14(1):3–31. DOI: 10.1016/0304–405X(85)90042-XAhmed W. M. A. Stock market reactions to domestic sentiment: Panel CS-ARDL evidence. Research in International Business and Finance. 2020;54:101240. DOI: 10.1016/j.ribaf.2020.101240Ahmed W. M. A. Stock market reactions to domestic sentiment: Panel CS-ARDL evidence. Research in International Business and Finance. 2020;54:101240. DOI: 10.1016/j.ribaf.2020.101240Mishra P. K., Mishra S. K. COVID-19 pandemic and stock market reaction: Empirical insights from 15 Asian countries. Transnational Corporations Review. 2021;13(2):139–155. DOI: 10.1080/19186444.2021.1924536Mishra P. K., Mishra S. K. COVID-19 pandemic and stock market reaction: Empirical insights from 15 Asian countries. Transnational Corporations Review. 2021;13(2):139–155. DOI: 10.1080/19186444.2021.1924536Engelhardt N., Krause M., Neukirchen D., Posch P. N. Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters. 2021;38:101873. DOI: 10.1016/j.frl.2020.101873Engelhardt N., Krause M., Neukirchen D., Posch P. N. Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters. 2021;38:101873. DOI: 10.1016/j.frl.2020.101873Kulathunga K. M.M.C.B., Ye J., Sharma S., Weerathunga P. R. How does technological and fi nancial literacy influence SME performance: Mediating role of ERM practices. Information. 2020;11(6). DOI: 10.3390/info11060297Kulathunga K. M.M.C.B., Ye J., Sharma S., Weerathunga P. R. How does technological and fi nancial literacy influence SME performance: Mediating role of ERM practices. Information. 2020;11(6). DOI: 10.3390/info11060297Au Yong H. H., Laing E. Stock market reaction to COVID-19: Evidence from U.S. fi rms’ international exposure. International Review of Financial Analysis. 2021;76:101656. DOI: 10.1016/j.irfa.2020.101656Au Yong H. H., Laing E. Stock market reaction to COVID-19: Evidence from U.S. fi rms’ international exposure. International Review of Financial Analysis. 2021;76:101656. DOI: 10.1016/j.irfa.2020.101656Ashraf B. N. Stock markets’ reaction to COVID-19: Moderating role of national culture. Finance Research Letters. 2021;41:101857. DOI: 10.1016/j.frl.2020.101857Ashraf B. N. Stock markets’ reaction to COVID-19: Moderating role of national culture. Finance Research Letters. 2021;41:101857. DOI: 10.1016/j.frl.2020.101857Mujib B., Candraningrat I. R. Capital market reaction to COVID-19 pandemic on LQ45 shares at Indonesia Stock Exchange (IDX). American Journal of Humanities and Social Sciences Research. 2021;5(3):74–80. URL: https://www.ajhssr.com/wp-content/uploads/2021/03/J21537480.pdfMujib B., Candraningrat I. R. Capital market reaction to COVID-19 pandemic on LQ45 shares at Indonesia Stock Exchange (IDX). American Journal of Humanities and Social Sciences Research. 2021;5(3):74–80. URL: https://www.ajhssr.com/wp-content/uploads/2021/03/J21537480.pdf

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