Analysis of Investor Reactions Comparison to Covid-19 Developments in ASEAN Capital Market

Patricia Frenio  Kristanto; Elvis  Sumanti

doi:10.55927/mudima.v4i7.10691

Authors

Patricia Frenio Kristanto Faculty of Economics and Business Universitas Klabat
Elvis Sumanti Faculty of Economics and Business Universitas Klabat

DOI:

https://doi.org/10.55927/mudima.v4i7.10691

Keywords:

ASEAN, COVID-19, Stock Market

Abstract

The COVID-19 pandemic has had a major impact on various sectors, one of which is the capital market sector. Information and investors' observations of the COVID-19 phenomenon in their countries will encourage different market behavior when compared to the period before the COVID-19 pandemic in various countries. This study aims to examine the effect of the development of COVID-19 from early 2020 to mid-2022 on the ASEAN stock market represented by Indonesia, Malaysia, the Philippines, Singapore, and Thailand. The research design uses a quantitative approach and applies the regression data analysis method using a panel data regression model, using data on changes in COVID-19 cases, stock price index, and daily exchange rates obtained from the official website. Data processing was carried out using the STATA statistical tool. As a result of the research, it was found that each ASEAN country had different investor reactions to developments in COVID-19. This means that not all countries make the development of COVID-19 a factor that investors consider in making investment decisions, and there are other factors that influence investor reactions in the ASEAN capital market during the COVID-19 pandemic period

References

Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M. C., & Viratyosin, T. (2020). The Unprecedented Stock Market Impact of COVID-19. Review of Corporate Finance Studies, 9(April), 622–655.

Bissoondoyal-Bheenick, E., Do, H., Hu, X., & Zhong, A. (2021). Learning from SARS: Return and volatility connectedness in COVID-19. Finance Research Letters, 41(October 2020), 101796. https://doi.org/10.1016/j.frl.2020.101796

Bloomberg. (2020). US stock plunge 12% in biggest route since 1987: Market Wrap. bloomberg.com. https://www.bloomberg.com/news/articles/2020-03-15/yen-gains-on-virus- worries-kiwi-slides-on-rates-markets-wrap

Bradley, C., & Stumpner, P. (2021). March 2021 The impact of COVID-19 on capital markets, one year in. March.

Butler, C. (2019). A world at risk: Annual report on global preparedness for health emergencies Global Preparedness Monitoring Board. World Health Organisation, 151(1), 44. https://apps.who.int/gpmb/assets/annual_report/GPMB_annualreport_2019.pdf

Chaudhary, R., Bakhshi, P., & Gupta, H. (2020). Volatility in International Stock Markets: An Empirical Study during COVID-19. Journal of Risk and Financial Management, 13(9), 208. https://doi.org/10.3390/jrfm13090208

Fund, I. M. (2022). World Economic Outlook 2022 (Nomor April).

Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance Research Letters, 35(April). https://doi.org/10.1016/j.frl.2020.101512

Kementrian Keuangan. (2019). Protokol Penanganan Bencana COVID-19 Kementrian Keuangan. Journal of Chemical Information and Modeling, 53(9), 1689–1699.

Niermann, L., & Pitterle, I. A. (2021). The COVID-19 crisis: what explains cross-country differences in the pandemic’s short-term economic impact? United Nations DESA Working Paper, 174(174). https://ideas.repec.org/p/pra/mprapa/107414.html

Pak, A., Adegboye, O. A., Adekunle, A. I., Rahman, K. M., McBryde, E. S., & Eisen, D. P. (2020). Economic Consequences of the COVID-19 Outbreak: the Need for Epidemic Preparedness. Frontiers in Public Health, 8(May), 1–4. https://doi.org/10.3389/fpubh.2020.00241

sangadah, khotimatus, & Kartawidjaja, J. (2020). No 主観的健康感を中心とした在宅高齢者