Effects of corporate actions on market dynamics during the COVID-19 pandemic: An event study on the Indonesia Stock Exchange
DOI:
https://doi.org/10.22437/ppd.v11i4.17027Keywords:
Corporate action, COVID-19, Even study, Indonesia Stock ExchangeAbstract
The COVID-19 pandemic has precipitated unprecedented uncertainty within the stock market, eliciting adverse reactions within the capital market. This environment compelled companies to engage in corporate actions. This research aimed to develop a model assessing the impact of corporate actions during the COVID-19 pandemic on the Indonesia Stock Exchange. This study employed an event study methodology to analyze corporate actions from March 1 to March 30, 2021, identifying four key actions: Stock Splits, Pre-emptive Rights (Rights Issues), Partial Delisting, and Warrants. These corporate actions influenced various metrics, including the frequency of stock returns, actual returns, stock returns, and trading volume activity. The outcomes of these actions varied, presenting differences before and after their execution. The study's findings categorize the impact of corporate actions during the pandemic into two distinct groups: insignificant and significantly negative. This research contributes to understanding the ramifications of corporate decisions during periods of heightened market volatility, specifically within the context of the Indonesia Stock Exchange during the COVID-19 pandemic.
Downloads
References
Abbas, G. (2016). Stock Prices Reaction to Dividend Announcements: A Study on Listed Companies in The Damascus Securities Exchange. International Journal of Academic Research in Accounting Finance and Management Sciences, 5(1), 172–182. http://dx.doi.org/10.6007/IJARAFMS/v5-i1/1550
Anwar, S., Singh, S., & Jain, P. K. (2015). Cash Dividend Announcements and Stock Return Volatility: Evidence From India. Procedia Economics and Finance, 30(15), 38–49. doi:10.1016/S2212-5671(15)01253-8
As’ari, H., & Airawaty, D. (2021). Corporate Action, Share Prices, Random Effect Model Approach. International Journal of Social Sciences and Humanity Studies, 8063(11), 102–126. doi:10.34109/Ijsshs.202114005
Bashir, A. (2013). Impact of Right Issues Announcement on Shareholders Wealth: Case Study of Pakistani Listed Companies. International Journal of Contemporary Business Studies, 4(3), 6–12.
Cejnek, G., Randl, O., & Zechner, J. (2020). The Covid-19 Pandemic and Corporate Dividend Policy. Journal of Financial and Quantitative Analysis. 56(7),2389-2410. doi:10.1017/S0022109021000533.
Chaabouni, I. (2017). Impact of Dividend Announcement on Stock Return: A Study on Listed Companies in The Saudi Arabia Financial Markets. International Journal of Information, Business and Management Management, 9(1), 37–44. doi:10.1016/J.Ijinfomgt.2006.01.003
Dharmarathne, D. G. (2013). Stock Price Reaction To Dividend Announcements and Information Efficiency in Sri Lankan Share Market. International Journal of Research in Social Sciences, 3(2), 100–111.
Ding, D., Guan, C., Chan, C.M.L. & Liu, W. (2020). Building stock market resilience through digital transformation: using Google trends to analyze the impact of COVID-19 pandemic. Front. Bus. Res. China 14, 21. https://doi.org/10.1186/s11782-020-00089-z
Fatmawati, E., & Azizah, L. N. (2020). Pengaruh Akuisisi Dan Right Issue Terhadap Abnormal Return Saham. Jesya (Jurnal Ekonomi & Ekonomi Syariah), 4(1), 278–289. doi:10.36778/Jesya.V4i1.329
Fernandez-Perez, A., Gilbert, A., Indriawan, I., & Nguyen, N. H. (2021). Covid-19 Pandemic and Stock Market Response: A Culture Effect. Journal of Behavioral and Experimental Finance, 29, 100454. doi:10.1016/J.Jbef.2020.100454
Fu, M., & Shen, H. (2020). Covid-19 and Corporate Performance in The Energy Industry. Energy Research Letters, 1, 1–5. doi:10.46557/001c.12967
Hanafie, L., & Diyani, L. A. (2016). Pengaruh Pengumuman Stock Split Terhadap Return Saham, Abnormal Return Dan Trading Volume Activity. Jurnal Bisnis Dan Komunikasi, 3(2), 13–20.
Harjoto, M. A., Laksmana, I., & Lee, W. E. (2020). Female Leadership in Corporate Social Responsibility Reporting: Effects on Writing, Readability and Future Social Performance. Advances in Accounting, 49, 100475. doi:10.1016/J.Adiac.2020.100475
Hartono, P. G., & Raya, M. Y. (2022). Covid-19 Pandemic, Dividend Policy, and Stock Market Reaction: Evidence From The Manufacturing Companies in Indonesia. Jurnal Keuangan Dan Perbankan, 26(4), 758–778. doi:10.26905/Jkdp.V26i4.8226
Hendra, E., Lesmana, T., & Sabrina, S. (2021). Market Reaction on Reverse Stock Split Announcement : Empirical Evidence in Indonesian Stock Market. Proceedings of the 2nd Economics and Business International Conference (Ebic 2019) - Economics and Business in Industrial Revolution 4.0, 9, 154–161. doi:10.5220/0009200601540161
Husain, U., & Javed, S. (2020). Stock Price Movement and Volatility in Muscat Security Market ( Msm ). International Journal of Research - Granthaalayah, 7(2), 68–84. doi:10.5281/Zenodo.2580535
Iyke, B. N., & Ho, S. Y. (2021). Investor Attention on Covid-19 and African Stock Returns. Methodsx, 8, 101195. doi:10.1016/J.Mex.2020.101195
Khanal, A. R., & Mishra, A. K. (2017). Stock Price Reactions To Stock Dividend Announcements: A Case From A Sluggish Economic Period. North American Journal of Economics and Finance, 42(June 2009), 338–345. doi:10.1016/J.Najef.2017.08.002
Liu, M., Choo, W. C., & Lee, C. C. (2020). The Response of The Stock Market To The Announcement of Global Pandemic. Emerging Markets Finance and Trade, 56(15), 3562–3577. doi:10.1080/1540496x.2020.1850441
Malta, N., & M.Winkler, M. (2020). Covid-19 As A Deal-Killer in Mergers and Acquisitions: A Case Study. HEC Paris research paper series, Ecole des hautes études commerciales.
Manzoor, H. (2017). Impact of Dividends Announcements on Stock Returns Evidence From Karachi Stock Market. American Research Journal of Business Management, 1, 25–36. doi:10.21694/2379-1047.15009
Marisetty, N., & Babu, N.S. (2021). Impact of Corporate (Dividend) Action on Stocks in India. Ssrn Electronic Journal, 6(2), 171–177. doi:10.2139/Ssrn.3423334
Marisetty, N., & Madasu, P. (2021). Corporate Announcements and Market Efficiency : A Case on Indian Capital Market. International Journal of Business and Management, 16(8), 71–95. doi:10.5539/Ijbm.V16n8p71
Mazumder, S., & Saha, P. (2021). Covid-19: Fear of Pandemic and Short-Term Ipo Performance. Finance Research Letters, 101977. doi:10.1016/J.Frl.2021.101977
Muna, H., & Khaddafi, M. (2022). The Effect of Stock Split on Stock Return , Stock Trading Volume , and Systematic Risk in Companies Listed on The Indonesia Stock Exchange. International Journal of Finance, Economics and Business, 1(1), 51–56.
Nagendra, M. (2018). Impact of Corporate ( Stock Split ) Action on Stock Price in India. International Research Journal of Business and Management, XI(5), 120–126.
Nagendra, M., & Babu, M. S. (2018a). Impact of Corporate (Different Stock Split Ratios) Action on Stock Price in India. International Journal of Research in Economics and Social Sciences, 8(1), 205–214.
Nagendra, M., & Babu, M. S. (2018b). Impact of Corporate (Different Stock Split Ratios) Action on Stock Price in India. International Journal of Research in Economics and Social Sciences, 8(1), 205–214.
Nagendra, M., & Babu, M. S. (2019). Impact of Corporate ( Bonus Issue ) Action on Stocks in India. International Journal of Information and Computing Science, 5(12), 11–18.
Ngoc, D. B., & Cuong, N. C. (2016). Dividend Announcement and Ex-Dividend Effects on Stock Return. International Journal of Economics and Finance, 8(7), 207. doi:10.5539/Ijef.V8n7p207
Olson, R., & Wallen, T. (2013). Stock Price Reaction To Dividend Announcement : The Case of Bangladesh Capital Market. Journal of Economics and Sustainable Development, 4(8), 89–98.
Otieno, O. D., & Ochieng, D. E. (2015). The Effects of Rights Issue Announcements on Stock Returns For Firms Listed At The Nairobi Securities Exchange. International Journal of Education and Research, 3(9), 411–426.
Ozo, F. K., & Arun, T. G. (2019). Stock Market Reaction To Cash Dividends: Evidence From The Nigerian Stock Market. Managerial Finance, 45(3), 366–380. doi:10.1108/Mf-09-2017-0351
Patel, M., Dave, M., Shah, M., & Patel, C. (2016). Stock Price and Liquidity Effect of Stock Split: Evidence From Indian Stock Market. International Journal of Management Research & Review *Corresponding Author, 6(5), 2249–7196. Www.Ijmrr.Com
Patesh, M., Dave, M., & Shah, M. (2016). Market Efficiency of Indian Stock Market – A Study of Bonus Announcement in Bombay Stock Exchange. International Journal of Management & Business Studies, 6(2), 20–24. doi:10.15373/2249555x/Oct2012/15
Ramesh, S., & Sivarajah, R. (2014). Information Content of Right Issue Announcements : A Study of Listed Companies in Colombo Stock Exchange of Sri Lanka. Journal of Finance and Accounting, 5(5), 154–162. doi:10.13140/2.1.4570.9769
Rohit, B., Pinto, P., & B., S. (2016). Impact of Stock Splits and Rights Issue Announcements on Market Price: Evidence From India. Drishtikon: A Management Journal, 7(2). doi:10.21863/Drishtikon/2016.7.2.014
Shiyammurti, N. R., Saputri, D. A., & Syafira, E. (2020). Dampak Pandemi Covid-19 Di Pt . Bursa Efek Indonesia (Bei). Journal of Accounting Taxing and Auditing (Jata), 1(1), 1–5.
Susanto, A. N., Banani, A., & Laksana, R. D. (2020). The Effect of Right Issue Announcement on Share Return and Share Liquidity Levels in Companies Registered in Indonesia Stock. International Sustainable Competitiveness Advantage, 92–101.
Tiswiyanti, W., & Asrini. (2015). Reaksi Investor Atas Pengumuman Kenaikan Harga Bbm Terhadap Abnormal Return , Security Return Variability Dan Trading Volume Activity Saham Perusahaan Transportasi Di Bursa Efek Indonesia Tahun 2014. Jurnal Studi Manajemen Dan Bisnis, 2(2), 129–144.
Titman, S., Wei, C., & Zhao, B. (2020). Stock Price Manipulation: Corporate Actions and The Exploitation of Retail Investors in China. Ssrn Electronic Journal, 1–67.
Todi, R., & Varma, C. (2021). An Event Study of Pre and Post Bonus Announcement For Position Investors. Journal of Modern Accounting and Auditing, 17(2), 53–59. doi:10.17265/1548-6583/2021.02.001
Venkatesan, T., & Nagaraj, R. (2018). Analysis of Corporate Actions and Market Efficiency in India. Sjcc Management Research Review, 8(75), 75–89.
Wahyuni, A. T. R. (2014). Perbedaan Abnormal Return, Trading Volume Activity, Dan Security Return Variability Sebelum Dan Sesudah Pengumuman Right Issue Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia Periode 2010-2012. Eproceedings of Management, 1(3), 32.
Yakup, W. Y., & Cahyadi, Y. (2016). Analysis of Right Issue Announcement Effect Toward Stock Price Movement and Stock Trading Volume Within Issuer in Indonesia Stock Exchange. Binus Business Review, 7(1), 33. doi:10.21512/Bbr.V7i1.1447
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 Tona Aurora Lubis, Fitriaty Fitriaty, Novita Sari, Firmansyah Firmansyah, Maryati Ningsih
This work is licensed under a Creative Commons Attribution 4.0 International License.
