The Effect of Corona Outbreak on the Indonesian Stock Market

ABSTRACT: This research examined(1) the risk and return received by the investor comprehensively on the Indonesian capital market, (2)the effect of the market return, size and book-to-market factors in explaining excess returns on the Indonesian stock market during the COVID-19 outbreak. The expected benefit is that capital market players, especially investment managers, can take advantage of this research to make investment decisions in the Indonesian capital market amid the rise of the issue. Methodology of the research used the Fama French Three Model’s that calculates excess returns from the portfolio of SH, SM, SB, BH, BM and BL based on average daily prices. The Kompas 100 index consists of 100 listed companies, had been classified by size and its value during research period. Data analysis of this research was carried out by panel data regression simultaneously and partially on the portfolio using E-Views 9 software. The research founde that the market return factor, size and value variables mutually affect the ER during the observation period and market returns are more dominant affecting than other. This research found that the independent variable is only able 39,58% (partially) and 24,68% (simultaneously) to influence the dependent variable.In line with previous research, the market return factor, size factor and value factor, as independent variables, are influenced excess return that received by investor except for BM portfolios.Large size but have a medium value (BM) issuers has chosen by short traders to gains abnormal return, because it have large volatility prices. This research concludes that now is an opportunity owned by short traders to take advantage of the sharp fluctuation in stock prices. Large – sized stocks but have medium and low value are stocks that have relatively little risk. Another alternative of portfolio that can be taken is to combine other stocks outside the research sample in the opposite direction. The banking and consumer sectors can be an alternative portfolio for long-term investment. Research will give better results if the entire population in the Kompas 100 Index has realese the annual report so that more research samples are. Large quantities of samples will result in more resemblance to their population.
KEYWORDS: Corona-Virus, COVID-19, Indonesian Stock Market, Fama French, Excess Return, Size Factor,
Value Factor