The impact of COVID-19 related news to stock performance on pre-crisis, crisis, and post-crisis: Study case in Indonesia’s finance sector and SRI-KEHATI index

¹ Finance Program, Accounting Department, School of Accounting, Bina Nusantara University, Jakarta, Indonesia 11480
² Accounting Department, School of Accounting – Master of Accounting, Bina Nusantara University, Jakarta, Indonesia 11480

^* Corresponding author: triasesiarta.nur@binus.ac.id

Abstract

The COVID-19 pandemic has impacted the investment climate in the Indonesian capital market, influencing investors’ decisions in choosing resilient stocks during the crisis. Socially responsible stocks are perceived to be more reliable during a crisis than other stocks. This study aims to assess the difference in abnormal returns before and after the five events related to COVID-19 news, using the Banks Sub-Sector representing the finance sector and SRI-KEHATI Index stocks. A purposive sampling technique was used to select samples of 41 stocks of the Banks Sub-Sector and 11 stocks of the SRI-KEHATI index. Data analysis employed various statistical tests, including paired-sample Wilcoxon signed-rank test and paired- sample t-test. The findings of this study indicate various significant abnormal returns and trading volumes for the two classifications. Moreover, this research is intended to explore investor sentiment when facing news that contains content related to the pre-crisis, crisis, and post-crisis situation of COVID-19 in Indonesia, considering previous research conducted reviews of investor sentiment in making general investment decisions has been done. The research results show that investors react differently to each news related to COVID-19. Furthermore, each piece of news triggered both positive and negative investor sentiment.