SHARIA STOCK MARKET REACTION ON THE JAKARTA ISLAMIC INDEX (JII) FACING THE COVID-19 PANDEMIC IN INDONESIA

Authors

  • Elya Safitri State Islamic University of Sayyid Ali Rahmatullah Tulungagung
  • Agus Eko Sujianto State Islamic University of Sayyid Ali Rahmatullah Tulungagung

Keywords:

Covid-19, Event Study, Average Abnormal Return, Average Trading Volume

Abstract

This study aims to examine the reaction of the Sharia Stock Market Reaction on the Jakarta Islamic Index (JII) Facing the Covid average abnormal return, average trading volume -19 Pandemic in Indonesia. The event tested was the announcement of Covid-19 as Indonesia's national disaster. This study uses the average daily abnormal return and average daily trading volume activity to test the information announcement of the Covid-19 announcement as a national disaster has a significant effect on the market. The population of this study are all companies listed on the Jakarta Islamic Index (JII) in 2020. The research sample is companies listed on the Jakarta Islamic Index (JII) with sample selection criteria using purposive sampling method. This study uses an event study method with a 60, 30, and 10 day window period. The data were analyzed using the T-test. The calculation of expected return uses the market adjused model method using the market index return for estimation capital. The results showed that: (1) There is no significant average abnormal return around the day of the Covid-19 National Disaster Announcement, (2) There is a significant average abnormal return between 5 days before and after the Covid-19 national disaster announcement, and there is no significant average abnormal return between 15 days and 30 days before and after the Covid-19 national disaster announcement, (3) There is a significant average trading volume activity around the day of the Covid-19 National Disaster Announcement, (4) There is no significant average trading volume activity between 5 days, 15 days, and 30 days before and after the Covid-19 national disaster announcemen.

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Published

2024-01-08