Investor behavior under the Covid-19 pandemic: the case of Indonesia
This study begins with the assumption that the existence of abnormal circumstances will force investors to take measures to protect their investments in the capital market. Recently, the stock index in the Indonesian market has been declining and continued to fall until the end of April 2020 due to...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2020-10-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14056/IMFI_2020_03_Budiarso.pdf |
| _version_ | 1818473071537815552 |
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| author | Novi Swandari Budiarso Abdul Wahab Hasyim Rusman Soleman Irfan Zam Zam Winston Pontoh |
| author_facet | Novi Swandari Budiarso Abdul Wahab Hasyim Rusman Soleman Irfan Zam Zam Winston Pontoh |
| author_sort | Novi Swandari Budiarso |
| collection | DOAJ |
| description | This study begins with the assumption that the existence of abnormal circumstances will force investors to take measures to protect their investments in the capital market. Recently, the stock index in the Indonesian market has been declining and continued to fall until the end of April 2020 due to the impact of the Covid-19 pandemic. In terms of efficient market theory, prospect theory and signaling theory, this study aims to analyze the relationship between risk and return in the Indonesian capital market during the Covid-19 pandemic as a manifestation of investor behavior. To test hypotheses, the correlation test, the independent sample t-test and the Cohen test for 629 public firms with 52,836 observable data are used. The findings show that for financial sectors and non-financial sectors, the fourth period differs from previous periods when the relationship between systematic risk and stock returns is positive, although only non-financial sectors have a significant effect. The results show that efficient market theory, prospect theory and signaling theory are consistent with the phenomena around the Covid-19 pandemic in Indonesia. In addition, Cohen’s test results suggest that government policies in the face of the pandemic are successful in stimulating the market. |
| first_indexed | 2024-04-14T04:17:55Z |
| format | Article |
| id | doaj.art-db43f0f52fd44c5695ef28851c75baa0 |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-04-14T04:17:55Z |
| publishDate | 2020-10-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-db43f0f52fd44c5695ef28851c75baa02022-12-22T02:12:46ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582020-10-0117330831810.21511/imfi.17(3).2020.2314056Investor behavior under the Covid-19 pandemic: the case of IndonesiaNovi Swandari Budiarso0https://orcid.org/0000-0002-5832-0117Abdul Wahab Hasyim1Rusman Soleman2Irfan Zam Zam3Winston Pontoh4https://orcid.org/0000-0003-3123-7919Lecturer, Economics and Business Faculty, Sam Ratulangi University, North SulawesiProfessor, Economics and Business Faculty, Khairun University, North MalukuProfessor, Economics and Business Faculty, Khairun University, North MalukuAssociate Professor, Economics and Business Faculty, Khairun University, North MalukuAssociate Professor, Economics and Business Faculty, Sam Ratulangi University, North SulawesiThis study begins with the assumption that the existence of abnormal circumstances will force investors to take measures to protect their investments in the capital market. Recently, the stock index in the Indonesian market has been declining and continued to fall until the end of April 2020 due to the impact of the Covid-19 pandemic. In terms of efficient market theory, prospect theory and signaling theory, this study aims to analyze the relationship between risk and return in the Indonesian capital market during the Covid-19 pandemic as a manifestation of investor behavior. To test hypotheses, the correlation test, the independent sample t-test and the Cohen test for 629 public firms with 52,836 observable data are used. The findings show that for financial sectors and non-financial sectors, the fourth period differs from previous periods when the relationship between systematic risk and stock returns is positive, although only non-financial sectors have a significant effect. The results show that efficient market theory, prospect theory and signaling theory are consistent with the phenomena around the Covid-19 pandemic in Indonesia. In addition, Cohen’s test results suggest that government policies in the face of the pandemic are successful in stimulating the market.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14056/IMFI_2020_03_Budiarso.pdfefficient marketprospectriskssignalingstock returns |
| spellingShingle | Novi Swandari Budiarso Abdul Wahab Hasyim Rusman Soleman Irfan Zam Zam Winston Pontoh Investor behavior under the Covid-19 pandemic: the case of Indonesia Investment Management & Financial Innovations efficient market prospect risks signaling stock returns |
| title | Investor behavior under the Covid-19 pandemic: the case of Indonesia |
| title_full | Investor behavior under the Covid-19 pandemic: the case of Indonesia |
| title_fullStr | Investor behavior under the Covid-19 pandemic: the case of Indonesia |
| title_full_unstemmed | Investor behavior under the Covid-19 pandemic: the case of Indonesia |
| title_short | Investor behavior under the Covid-19 pandemic: the case of Indonesia |
| title_sort | investor behavior under the covid 19 pandemic the case of indonesia |
| topic | efficient market prospect risks signaling stock returns |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14056/IMFI_2020_03_Budiarso.pdf |
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