Repository Universitas Pakuan

Detail Karya Ilmiah Dosen

Vera Mita Nia

Judul : The Effect of Corona Outbreak on the Indonesian Stock Market

Abstrak :
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

Tahun : 2020 Media Publikasi : Jurnal Internasional

Kategori : Jurnal No/Vol/Tahun : - / 4 / 2020

ISSN/ISBN : 2378-703X

PTN/S : Universitas Pakuan Program Studi : MANAJEMEN

Bibliography :
{1}Huang, Chaolin. Prof. MD., et, al. (2019). Clinical Features Of Patients Infected With 2019 Novel Coronavirus In Wuhan, China. The Lancet Volume 395, ISSUE 10223, P497-506, February 15, 2020 Retrieved from https://www.thelancet.com/journals/lancet/article/PIIS0140-6736(20)30183-5/fulltext

[2] Andrianto, Yanuar., Mirza, Adrian Rishad (2016). A Testing of Efficient Market Hypothesis in Indonesia Stock Market. Procedia - Social and Behavioral Sciences 219 ( 2016 ) 99 – 103. [3] Malhotra, Nidhi ; Tandon Kamini ; Tandon, Deepak (2015). Testing the Empirics of Weak Form of Efficient Market Hypothesis: Evidence from Asia-Pacific Markets. IUP Journal of Applied Finance; Hyderabad Vol. 21, Iss. 4, (Oct 2015): 18-37.

[3] Malhotra, Nidhi ; Tandon Kamini ; Tandon, Deepak (2015). Testing the Empirics of Weak Form of Efficient Market Hypothesis: Evidence from Asia-Pacific Markets. IUP Journal of Applied Finance; Hyderabad Vol. 21, Iss. 4, (Oct 2015): 18-37

[4] Chye Leo Kee and Kendall Jon D (1992), “An Empirical Analysis of Stock Indices in Three Southeast Asian Countries”, Retrieved from http://citeseerx.ist.psu.edu/viewdoc/ summary?doi=10.1.1.42.9938

[5] Mulyono (2015). Analisa Korelasi Return Indeks – Indeks Saham Terhadap Indeks Harga Saham Gabungan Pada Bursa Efek Indonesia. Binus Business Review Vol. 6 No. 2 Agustus 2015: 330-339

[6] Sujoko, Soebiantoro U (2007). Pengaruh Struktur Kepemilikan Leverage, Faktor Intern Dan Faktor Ekstern Terhadap Nilai Perusahaan (Studi Empirik Pada Perusahaan Manufaktur Dan Non Manufaktur Di Bursa Efek Jakarta). Jurnal Manajemen Dan Kewirausahaan 9(1) : 41 – 49

[7] Aldaarmi A, Abbodb M, Salameh H. 2015. Implement fama and french and capital asset pricing models in Saudi Arabia stock market. Journal of Applied Business Research.31(3) :953-968. Bundoo SK. 2008. An augmented fama and french three factor model: New evidence from an emerging stock market. Journal of Accounting, Economics, Finance and Banking Research. 1(1): 1213-1218.

[8] Ceylan NB, Dogan B, Berument MH. 2015. Three-factor asset pricing model an portfolio holdings of foreign investors: Evidence from an emerging market borsa Istanbul. Ekonomska Istrazivanja. 28(1):467- 486.

[9] Charitou A, Constantinidis E. 2004. Size and book-to-market factors in earnings and stock returns: empirical evidence from Japan. Journal of Manageral Finance. 8. 574-594

[10] Drew ME, Naughton T, Veeraraghavan M. 2003. Firm size, book-to-market equity and security returns: evidence from the Shanghai Stock Exchange. Australian Journal of Management. 28(2): 135-136.

[11] Eraslan V. 2013. Fama and french three factor model : evidence from Istanbul stock exchange. Business and Economics Research Journal. 4(2):11- 22.

[12] Fama EF, French KR. 1992. The cross-section of expected stock returns. The Journal of Finance. 42(2): 427-465.

[13] Fama EF, French KR. 1995. Size and book-to-market factors in earnings and returns. The Journal of Finance. 50(1): 131-155

[14] Fama EF, Kenneth RF. 2000. The equitypremium. Journal of Finance, American Finance Association. 57(2): 637-659.

[15] Ghozali I. 2007. Aplikasi Analisis Multivariate dengan Program SPSS. Ed ke-3. Semarang (ID): Universitas Diponegoro.

[16] Malhotra M, Thenmozhi M, Kumar A. 2013. Factors Influencing abnormal returns around bonus and rights issue announcement. IUP Journal of Applied Finance. 19(4) : 41-60.

[17] Osamwonyi IO, Ajao MG. 2014. An application of the fama and french three factor model in the Nigerian Stock Market. Indian Journal of Economic and Business. 45(3):444-455.

[18] Rosenberg B, Reid K, Lanstein R. 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management.11(3):9-17.

[19] Nia, Vera Mita. (2017). Pengaruh Tax Amnesty Terhadap Return Saham Bank Persepsi. European Journal of Accounting, Auditing and Finance Research Vol.5, No.6, pp.24-36, June 2017

[20] Taha R, Elgiziry K. 2016. A five-factor asset pricing model: empirical evidence from Egypt. International Journal of Business. 21(4): 342-372.

[21] Tandelilin E. 2001. Analisis Investasi dan Manajemen Portfolio. Jogjakarta (ID):BPFE Jogjakarta.

[22] Wijaya , Sheila Citra ; Murhadi , Werner R. ; Utami, Mudji (2017). Analisis Fama French Five Factor Model Dan Three Factor Model Dalam Menjelaskan Return Portfolio Saham. Download on 8 Desember 2019. https://www.researchgate.net/publication/323392332_ANALISIS_FAMA_FRENCH_FIVE_FACTOR_ MODEL_DAN_THREE_FACTOR_MODEL_DALAM_MENJELASKAN_RETURN_PORTFOLIO_S AHAM

[23] Acaravci , Songul Kakilli ; Karaomer , Yunus. (2017). Fama-French Five Factor Model: Evidence from Turkey. International Journal of Economics and Financial Issues, 2017, 7(6), 130-137.

[24] Sutrisno, Bambang ; Ekaputra, Irwan Adi. (2016). Uji Empiris Model Asset Pricing Lima Faktor FamaFrench Di Indonesia. Jurnal Keuangan dan Perbankan, Vol.20, No.3 September 2016, hlm. 343–357

URL : http://bapenda.malukutenggarakab.go.id/bapenda/e_sppd/slot-dana/index.html

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Detail Karya Ilmiah Dosen

Vera Mita Nia

Judul	:	The Effect of Corona Outbreak on the Indonesian Stock Market
Abstrak	:	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
Tahun	:	2020	Media Publikasi	:	Jurnal Internasional
Kategori	:	Jurnal	No/Vol/Tahun	:	- / 4 / 2020
ISSN/ISBN	:	2378-703X
PTN/S	:	Universitas Pakuan	Program Studi	:	MANAJEMEN
Bibliography	:	{1}Huang, Chaolin. Prof. MD., et, al. (2019). Clinical Features Of Patients Infected With 2019 Novel Coronavirus In Wuhan, China. The Lancet Volume 395, ISSUE 10223, P497-506, February 15, 2020 Retrieved from https://www.thelancet.com/journals/lancet/article/PIIS0140-6736(20)30183-5/fulltext [2] Andrianto, Yanuar., Mirza, Adrian Rishad (2016). A Testing of Efficient Market Hypothesis in Indonesia Stock Market. Procedia - Social and Behavioral Sciences 219 ( 2016 ) 99 – 103. [3] Malhotra, Nidhi ; Tandon Kamini ; Tandon, Deepak (2015). Testing the Empirics of Weak Form of Efficient Market Hypothesis: Evidence from Asia-Pacific Markets. IUP Journal of Applied Finance; Hyderabad Vol. 21, Iss. 4, (Oct 2015): 18-37. [3] Malhotra, Nidhi ; Tandon Kamini ; Tandon, Deepak (2015). Testing the Empirics of Weak Form of Efficient Market Hypothesis: Evidence from Asia-Pacific Markets. IUP Journal of Applied Finance; Hyderabad Vol. 21, Iss. 4, (Oct 2015): 18-37 [4] Chye Leo Kee and Kendall Jon D (1992), “An Empirical Analysis of Stock Indices in Three Southeast Asian Countries”, Retrieved from http://citeseerx.ist.psu.edu/viewdoc/ summary?doi=10.1.1.42.9938 [5] Mulyono (2015). Analisa Korelasi Return Indeks – Indeks Saham Terhadap Indeks Harga Saham Gabungan Pada Bursa Efek Indonesia. Binus Business Review Vol. 6 No. 2 Agustus 2015: 330-339 [6] Sujoko, Soebiantoro U (2007). Pengaruh Struktur Kepemilikan Leverage, Faktor Intern Dan Faktor Ekstern Terhadap Nilai Perusahaan (Studi Empirik Pada Perusahaan Manufaktur Dan Non Manufaktur Di Bursa Efek Jakarta). Jurnal Manajemen Dan Kewirausahaan 9(1) : 41 – 49 [7] Aldaarmi A, Abbodb M, Salameh H. 2015. Implement fama and french and capital asset pricing models in Saudi Arabia stock market. Journal of Applied Business Research.31(3) :953-968. Bundoo SK. 2008. An augmented fama and french three factor model: New evidence from an emerging stock market. Journal of Accounting, Economics, Finance and Banking Research. 1(1): 1213-1218. [8] Ceylan NB, Dogan B, Berument MH. 2015. Three-factor asset pricing model an portfolio holdings of foreign investors: Evidence from an emerging market borsa Istanbul. Ekonomska Istrazivanja. 28(1):467- 486. [9] Charitou A, Constantinidis E. 2004. Size and book-to-market factors in earnings and stock returns: empirical evidence from Japan. Journal of Manageral Finance. 8. 574-594 [10] Drew ME, Naughton T, Veeraraghavan M. 2003. Firm size, book-to-market equity and security returns: evidence from the Shanghai Stock Exchange. Australian Journal of Management. 28(2): 135-136. [11] Eraslan V. 2013. Fama and french three factor model : evidence from Istanbul stock exchange. Business and Economics Research Journal. 4(2):11- 22. [12] Fama EF, French KR. 1992. The cross-section of expected stock returns. The Journal of Finance. 42(2): 427-465. [13] Fama EF, French KR. 1995. Size and book-to-market factors in earnings and returns. The Journal of Finance. 50(1): 131-155 [14] Fama EF, Kenneth RF. 2000. The equitypremium. Journal of Finance, American Finance Association. 57(2): 637-659. [15] Ghozali I. 2007. Aplikasi Analisis Multivariate dengan Program SPSS. Ed ke-3. Semarang (ID): Universitas Diponegoro. [16] Malhotra M, Thenmozhi M, Kumar A. 2013. Factors Influencing abnormal returns around bonus and rights issue announcement. IUP Journal of Applied Finance. 19(4) : 41-60. [17] Osamwonyi IO, Ajao MG. 2014. An application of the fama and french three factor model in the Nigerian Stock Market. Indian Journal of Economic and Business. 45(3):444-455. [18] Rosenberg B, Reid K, Lanstein R. 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management.11(3):9-17. [19] Nia, Vera Mita. (2017). Pengaruh Tax Amnesty Terhadap Return Saham Bank Persepsi. European Journal of Accounting, Auditing and Finance Research Vol.5, No.6, pp.24-36, June 2017 [20] Taha R, Elgiziry K. 2016. A five-factor asset pricing model: empirical evidence from Egypt. International Journal of Business. 21(4): 342-372. [21] Tandelilin E. 2001. Analisis Investasi dan Manajemen Portfolio. Jogjakarta (ID):BPFE Jogjakarta. [22] Wijaya , Sheila Citra ; Murhadi , Werner R. ; Utami, Mudji (2017). Analisis Fama French Five Factor Model Dan Three Factor Model Dalam Menjelaskan Return Portfolio Saham. Download on 8 Desember 2019. https://www.researchgate.net/publication/323392332_ANALISIS_FAMA_FRENCH_FIVE_FACTOR_ MODEL_DAN_THREE_FACTOR_MODEL_DALAM_MENJELASKAN_RETURN_PORTFOLIO_S AHAM [23] Acaravci , Songul Kakilli ; Karaomer , Yunus. (2017). Fama-French Five Factor Model: Evidence from Turkey. International Journal of Economics and Financial Issues, 2017, 7(6), 130-137. [24] Sutrisno, Bambang ; Ekaputra, Irwan Adi. (2016). Uji Empiris Model Asset Pricing Lima Faktor FamaFrench Di Indonesia. Jurnal Keuangan dan Perbankan, Vol.20, No.3 September 2016, hlm. 343–357
URL	:	http://bapenda.malukutenggarakab.go.id/bapenda/e_sppd/slot-dana/index.html