Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bogor, West Java, Indonesia

Research Article

Analysis of Covid-19 Impact on Stock’s Abnormal Return in Cigarette Sub Sector Companies Listed on BEI

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  • @INPROCEEDINGS{10.4108/eai.14-9-2020.2304659,
        author={May  Mulyaningsih and Sri  Hartini and Resta  Anggraeni and Denis Putra Mahendra},
        title={Analysis of Covid-19 Impact on Stock’s Abnormal Return in Cigarette Sub Sector Companies Listed on BEI},
        proceedings={Proceedings of the 1st International Conference on Sustainable Management and Innovation, ICoSMI 2020, 14-16 September 2020, Bogor, West Java, Indonesia},
        publisher={EAI},
        proceedings_a={ICOSMI},
        year={2021},
        month={5},
        keywords={covid-19 wfh stock’s abnormal return},
        doi={10.4108/eai.14-9-2020.2304659}
    }
    
  • May Mulyaningsih
    Sri Hartini
    Resta Anggraeni
    Denis Putra Mahendra
    Year: 2021
    Analysis of Covid-19 Impact on Stock’s Abnormal Return in Cigarette Sub Sector Companies Listed on BEI
    ICOSMI
    EAI
    DOI: 10.4108/eai.14-9-2020.2304659
May Mulyaningsih1,*, Sri Hartini1, Resta Anggraeni2, Denis Putra Mahendra1
  • 1: Pakuan University
  • 2: PT Gizi Indonesia
*Contact email: may.mulyaningsih.392@gmail.com

Abstract

This study aims to analyze the impact of Covid-19 on stock’s abnormal return in cigarette sub sector companies listed on the Indonesia Stock Exchange in the January-May 2020 period. The population of this study are 5 cigarette sub sector companies. The research sample selection uses census method. Secondary data in this study regarding stock’s abnormal returns with actual return and market return proxies. Data obtained from the company's daily stock price and composite stock price index. Descriptive statistical analysis, data normality test analysis and hypothesis test analysis are processed using SPSS 25. Statistical test with paired sample t test showed no significant difference in abnormal return between the period of 52 days before and 52 days when WFH with a significant level of 95% (α = 0.05). From the SPSS test results it is known that the significance value obtained is equal to 0.911. When compared with the significance value that has been set. the value is greater (α> 0.05). So H1 which states there are differences in stock’s abnormal returns before and during the WFH Covid-19 is rejected.