The Reaction of the Sharia Stock Market in the Early Days of the Covid-19 Pandemic in Indonesia

Abstract

Yulian Bayu Ganar, Agrasadya, Mohamad Duddy Dinantara, Muger Apriansyah, Sahroni, Zulfitra, Sri Retnaning Sampurnaningsih, Rachmawaty, Noryani, Widya Intan Sari, Waluyo Jati, Masno Marjohan, Sarwani, Ali Maddinsyah, Denok Sunarsi

In 2020, Indonesia was affected by the Corona Virus Pandemic outbreak known as Covid-19. This pandemic has spread globally in almost all over the world. As a result, countries in Indonesia and almost all countries around the world reduce their economic activities. With the existence of this pandemic, researchers are trying to test its impact on the capital market in Indonesia, especially on Islamic stocks in Indonesia, namely the Indonesian Sharia Stock Index (ISSI) and the Jakarta Islamic Index (JII). This research is also to contribute to the Market Efficiency Theory which was first presented by Fama (1970) and then further developed in 1991 by Fama, using an event study. Researchers specifically tested Market Efficiency Theory during the Covid-19 pandemic in Indonesia. Researchers took a sample of each Islamic stock index, namely the closing stock price and stock trading volume (liquidity), as many as 21 stock exchange days in March 2020 compared to the 21 exchange days for the sample observation in March of the previous year. Samples and observations were also taken 21 stock exchange days before and after the announcement of the Covid-19 pandemic in Indonesia on March 2, 2020. The method used in the study was the Event Study with Least Square Regression Method using Eviews 9 software. The study aimed to test the impact. the coronavirus pandemic event on the Islamic stock index in Indonesia. The research results are expected to be used as consideration for companies, investors, and stakeholders in anticipating future pandemic events.