Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
The Effect of COVID-19, Commodity Prices, and Exchange Rate on Indonesian Stock Market
Dublin Core
Title
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
The Effect of COVID-19, Commodity Prices, and Exchange Rate on Indonesian Stock Market
The Effect of COVID-19, Commodity Prices, and Exchange Rate on Indonesian Stock Market
Subject
COVID-19; Sentiment; Gold; Oil; USD/IDR; Stock return
Description
This research was motivated by the growth of the Indonesian stock market even though the number of COVID-19 cases continued to increase significantly as well as the movement of other factors that might affect the performance of the stock market. The purpose of this study is to examine the impact of the pandemic on stock market performance, focusing on Arbitrage Pricing Theory (APT), Signaling Theory and the behavioral influence of sentiment due to COVID-19. Using a data set of 35 issuers in LQ45 during the period
January 1, 2020, to December 31, 2021, the study examines the impact of COVID-19 on stock market performance. The method used in this study is Granger causality and panel data regression with stock market performance as the dependent variable and COVID-19, exchange rates, and commodity prices, as independent variables. The results showed that the COVID-19 case, and the exchange rate had a negative effect on the stock market. On the other hand, commodity prices, gold, and oil, have a positive effect on the stock market. This study also finds Granger causality in both directions between stock market performance,
COVID-19 cases, exchange rates, and commodity prices. However, these estimates fail to reflect the significant impact of COVID-19 sentiment on the Indonesian stock market. These results imply that (1) the high number of COVID-19 cases still has a negative and significant impact on the Indonesian stock market, (2) there are behavioral biases, including anchoring and representative that influence investor decisions.
January 1, 2020, to December 31, 2021, the study examines the impact of COVID-19 on stock market performance. The method used in this study is Granger causality and panel data regression with stock market performance as the dependent variable and COVID-19, exchange rates, and commodity prices, as independent variables. The results showed that the COVID-19 case, and the exchange rate had a negative effect on the stock market. On the other hand, commodity prices, gold, and oil, have a positive effect on the stock market. This study also finds Granger causality in both directions between stock market performance,
COVID-19 cases, exchange rates, and commodity prices. However, these estimates fail to reflect the significant impact of COVID-19 sentiment on the Indonesian stock market. These results imply that (1) the high number of COVID-19 cases still has a negative and significant impact on the Indonesian stock market, (2) there are behavioral biases, including anchoring and representative that influence investor decisions.
Creator
Almira Intan Nurrahma, Tettet Fitrijanti, Benny Budiawan Tjandrasa
Source
DOI: 10.26905/jkdp.v26i4.8245
Publisher
Universitas Merdeka Malang
Date
October 2022
Contributor
Sri Wahyuni
Rights
ISSN: 2443-2687 (Online) ISSN: 1410-8089 (Print)
Format
PDF
Language
English
Type
Text
Coverage
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Files
Collection
Citation
Almira Intan Nurrahma, Tettet Fitrijanti, Benny Budiawan Tjandrasa, “Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
The Effect of COVID-19, Commodity Prices, and Exchange Rate on Indonesian Stock Market,” Repository Horizon University Indonesia, accessed November 10, 2024, https://repository.horizon.ac.id/items/show/4877.
The Effect of COVID-19, Commodity Prices, and Exchange Rate on Indonesian Stock Market,” Repository Horizon University Indonesia, accessed November 10, 2024, https://repository.horizon.ac.id/items/show/4877.