Pengaruh Berita Informasi Kasus Positif dan Kematian Harian COVID-19 Terhadap Return Saham pada Perusahaan Kategori Papan Utama yang Terdaftar di Bursa Efek Indonesia Periode Tahun 2020 dan 2021

Abstract

This study aims to compare the effect of news on daily positive cases and daily death cases of COVID-19 in 2020 and 2021 on stock returns of main board companies in Indonesia. The fixed effect model panel data regression for 2020 data and the random effect model for 2021 data are used in this study. The daily stock returns of 90 companies on the Indonesia Stock Exchange for the period 2 March 2020-29 May 2020 and 6 January 2021-30 December 2021 are used as sample in this study. It also added market capitalization and market to book ratio as control variables. The results of this study indicate that daily news of positive cases and deaths in 2020 has a negative impact on stock returns while daily news of positive cases and deaths in 2021 has no impact on the stock returns of 90 main board companies listed on the IDX.