Reaksi Pasar Modal di Asia Tenggara Terhadap Pandemi Covid-19

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Sari Octavera
Febri Rahadi

Abstract

Covid 19 is global case in almost around the world. Early April 2020, Covid 19 cases reached 1 million in a number of countries and increased significantly. This pandemic caused a major impact on economic activity, and more than 100 countries carried out a full or partial lockdown which resulted in economic disruption in many sectors including the stock market. This study investigation impact that occurs on the stock market, especially in Southeast Asia (Malaysia, Indonesia, Thailand and Singapore). Change in the composite index from the capital market are used as a proxy to measure market reactions using the OLS panel data regression model. The natural log of GDP is used as a control variabel for differences between the four capital markets. In addition, to control for the effect of different transaction days, a dummy variable is included in the regression model. The result show that changes in the number of covid 19 infections have been shown to significantly affect index changes. The market response in this regard has moved in a negative direction. Meanwhile, the measurement of the effect to the death  to covid 19 is not proven to significantly affect change in the composite stock market index.


ABSTRAK


Covid 19 menjadi kasus global dengan penyebaran yang sangat cepat hampir diseluruh belahan dunia. Awal April 2020 kasus Covid 19 menyentuh angka 1 juta penderita yang tersebar di sejumlah negara dan terus meningkat secara signifikan. Pandemi ini berpengaruh besar terhadap aktifitas perekonomian hampir di seluruh dunia. Puncaknya, akhir Maret 2020 lebih dari 100 negara melakukan Lockdown baik secara penuh maupun sebagian yang memberikan dampak terbatasnya aktifitas ekonomi di berbagai sektor seperti transportasi, pariwisata, perbankan, asuransi termasuk pasar modal. Penelitian ini berupaya melihat dampak yang terjadi di pasar modal khususnya di empat negara di Asia Tenggara (Malaysia, Indonesia, Thailand dan Singapura). Perubahan Indeks gabungan dari pasar modal dipergunakan sebagai proksi untuk mengukur reaksi pasar dengan menggunakan pendekatan model regresi data panel Ordinary Least Square (OLS). Untuk mengendalikan dampak yang mungkin muncul dari perbedaan yang mendasar dari keempat pasar modal tersebut, dipergunakan log natural PDB sebagai variabel kontrol. Selain itu, untuk mengontrol efek perbedaaan hari transaksi dimasukkan pula variabel dummy didalam model regresi. Hasil menunjukkan perubahan angka terinfeksi COVID-19 terbukti secara signifikan mempengaruhi perubahan indeks. Respon pasar terkait hal tersebut bergerak kearah negatif. Sementara pengukuran terhadap pengaruh angka maninggal dunia akibat COVID-19 tidak terbukti secara signifikan mempengaruhi perubahan indeks pasar saham gabungan

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