Article Sidebar

Submitted
February 22, 2021
Accepted
June 28, 2021
Published
July 3, 2021
Download
PDF
Statistic
Read Counter : 456 Download : 479

Downloads

Download data is not yet available.

Main Article Content

Abstract

This study aims to prove how COVID-19 in response to the Indonesia stock market applying an Auto-Regressive Distributed Lag (ARDL) cointegration method. This study analyzes the relationship between the natural logarithm of daily trading volume of the Indonesia Stock Exchange and the natural logarithm of daily COVID-19 confirmed cases both in the short run and the long run. Bound test and cointegration were used to analyze the data daily from 2 March 2020 until 30 November 2020. The findings result show in the short-run, Indonesia stock market is only influenced by its lag, but not in the long-run. Meanwhile COVID-19 variable proved to be not significantly affected the stock market both in short and long-run. The model is predicted to re-stabilize at least over 1.7 months later

Keywords

stock market covid-19 ARDL bound test IDX

Article Details

License

Authors who publish with this journal agree to the terms:

Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-ShareAlike 4.0 International License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.

Creative Commons License

Jurnal Ekonomi Pembangunan is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License..

How to Cite
Wardani, V. S., & Lahuddin, L. (2021). The Relationship between Current COVID-19 and Indonesia Stock Market: Evidence from ARDL Model. Jurnal Ekonomi Pembangunan, 19(1), 101–110. https://doi.org/10.29259/jep.v19i1.13837
Download Citation
Endnote/Zotero/Mendeley (RIS)
BibTeX

References

  1. Al-awadhi, A. M., Alsaifi, K., Al-awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact ofthe COVID-19 virus on stock market returns. 27(January), 6. https://doi.org/https://doi.org/10.1016/j.jbef.2020.100326
  2. Alber, N., & Saleh, A. (2020). The Impact of Covid-19 Spread on Stock Markets?: The Case of the GCC Countries. International Business Research, 13(11), 16–24. https://doi.org/10.5539/ibr.v13n11p16
  3. Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: cases or fatalities? Research in International Business and Finance Journal, 20, 1–18. https://doi.org/10.1016/j.ribaf.2020.101249
  4. Bisig, T., Dupuis, A., Impagliazzo, V., & Olsen, R. B. (2018). The scale of market quakes. In Centre for Computational Finance and Economic Agents (CCFEA).
  5. Carissa, N., & Khoirudin, R. (2020). The factors affecting the rupiah exchange rate in Indonesia. Jurnal Ekonomi Pembangunan, 18(1), 37-46. doi:https://doi.org/10.29259/jep.v18i1.9826
  6. Chaouachi, M., & Slim, C. (2020). Current COVID-19 Impact on Saudi Stock Market: Evidence from An ARDL Model. SSRN Electronic Journal, 1, 1–12. https://doi.org/10.2139/ssrn.3636333
  7. El-basuony, H. (2020). Effect of COVID-19 on the Arab Financial Markets Evidence from Egypt and KSA Haitham El-Basuony. Journal of Business and Management (IOSR-JBM, 22(6), 14–21. https://doi.org/10.9790/487X-2206051421
  8. Greenwald, D. L., & Ludvigson, S. C. (2020). What Explains the COVID-19 Stock Market? (No. 27784; 27784 September).
  9. Kartseva, M. A., & Kuznetsova, P. O. (2020). The economic consequences of the coronavirus pandemic?: which groups will suffer more in terms of loss of employment and income?? Population and Economics Journal, 4(2), 26–33. https://doi.org/10.3897/popecon.4.e53194
  10. Le, D., Anh, T., & Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance?: evidence from Vietnam. Journal of Economic Studies, Emerald Publishing Limited, 1–16. https://doi.org/10.1108/JES-06-2020-0312
  11. Lee, K. Y., & Chan, C. (2020). Impact of COVID-19 Evidence in Malaysian Stock Market. International Journal of Business Society, 21(2), 607–628. https://doi.org/10.33736/ijbs.3274.2020
  12. Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 Outbreak and Affected Countries Stock Markets Response. International Journal of Environmental Research and Public Health, 17(8), 2800. doi:10.3390/ijerph17082800
  13. Machmuddah, Z., Utomo, S. D., Suhartono, E., & Ali, S. (2020). Stock Market Reaction to COVID-19?: Evidence in Customer Goods Sector with the Implication for Open Innovation. Journal of Open Innovation, 6(March 2020), 1–13. https://doi.org/doi:10.3390/joitmc6040099
  14. Narayan, P. K. (2007). The saving and investment nexus for China?: evidence from cointegration tests The saving and investment nexus for China?: evidence from cointegration tests. McGill University Library, October 2012, 37–41. https://doi.org/10.1080/00036840500278103
  15. Olusola, A. (2020). Policy lags and exchange rate dynamics in Nigeria: Any evidence?. Jurnal Ekonomi Pembangunan, 18(1), 1-12. doi:https://doi.org/10.29259/jep.v18i1.9688
  16. Pesaran, M. H. (1997). An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis. Cambridge University Press.
  17. Shang, W. (2020). The outbreak of SARS-CoV-2 pneumonia calls for viral vaccines. Npj Vaccines Journal, 18, 2–4. https://doi.org/10.1038/s41541-020-0170-0
  18. Subbotin, A., Chauveau, T., Shapovalova, K., & Models, V. (2009). Volatility Models?: from GARCH to Multi-Horizon Cascades HAL Id?: halshs-00390636 Centre d ’ Economie de la Sorbonne Documents de Travail du (No. 00390636).
  19. Sugandi, E. A. (2020). Indonesia’s Financial Markets and Monetary Policy Dynamics Amid The COVID-19 Pandemic. In ADBI Working Paper Series (Issue 1198).
  20. Sunarso, S., Rahayu, E. S., Taufik, T., & Kurniawan, I. (2020). Gap Analysis Sectoral Shares Index during the Covid-19 Pandemy on the Indonesia Stock Exchange. Jurnal Pengembangan Wiraswasta, 22(03), 187–196. https://doi.org/http://dx.doi.org/10.33370/jpw.v22i3.475
  21. Trisnowati, Y., & Muditomo, A. (2021). COVID-19 and Stock Market Reaction in Indonesia. Journal of Accounting and Investment, 22(1), 23–36. https://doi.org/10.18196/jai.v22i1.8859
  22. Widyanata, F., & Bashir, A. (2020). The Causality between Indonesian Sharia Stock Index and Market Capitalization: Evidence from Indonesia. Jurnal Ekonomi dan Studi Pembangunan, 12(1), 45-56. http://dx.doi.org/10.17977/um002v12i12020p045
  23. World Health Organization. (2020). Coronavirus Disease 2019 Situation Report-1. 2019(March), 1–8.
  24. Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Journal of Behavioral and Experimental Finance 27, 27(January), 1–5. https://doi.org/https://doi.org/10.1016/j.jbef.2020.100326
  25. Zumbach, G. O., Dacorogna, M. M., & Olsen, R. B. (2000). Measuring shock in financial markets. International Journal of Theoretical and Applied Finance, 3(3), 347–355. https://doi.org/10.1142/S0219024900000188

Similar Articles

1 2 3 4 > >> 

You may also start an advanced similarity search for this article.