COVID-19 on the Telecommunications Industry Stock Market Performances: An Event-Study Approach

Pratita Garnis Ariantika, Arthik Davianti


This study aims to analyze the knowledge quality of the COVID-19 pandemic event regarding the Indonesian stock market's performance as seen from the average abnormal return before and after the first case of COVID-19 Indonesia on March 2, 2020. The research design used in this study is an event study. Three samples used in this research are companies engaged in the telecommunications subsector in the Indonesia Stock Exchange. The technique of sampling that was used in the research was purposive sampling. The study focused on the window period 15 days before and 15 days after the event date. Hypothesis testing is done by using paired sample t-test on data that is typically distributed and the one-sample Wilcoxon signed-ranked test on data that is not yet normally distributed. The result obtained is that there are no significant differences before and after the announcement of the first case of COVID-19 in Indonesia.


Abnormal return; COVID-19; Event-study; Telecommunication sector


Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326.

Alexakis, C. (1992). “An Empirical Investigation Of The Efficient Market Hypothesis: The Case Of The Athens Stock Exchange.”

Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249.

Asmirantho, E., & Somantri, O. K. (2017). the Effect of Financial Performance on Stock Price at Pharmaceutical Sub-Sector Company Listed in Indonesia Stock Exchange. JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 3(2), 94–107.

Chandra, T. (2013a). The Impact of Fuel Price Increase on Stock Price in Indonesia Stock Exchange. In Business, and Accountancy Ventura (Vol. 16, Issue 3).

Chandra, T. (2013b). THE Impact of Fuel Price Increase On Stock Price In Indonesia Stock Exchange. In Business, and Accountancy Ventura (Vol. 16, Issue 3).

Chen, M. H., Jang, S. C. (Shawn), & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management, 26(1), 200–212.

CNN Indonesia. (2020). Pilihan Saham Saat Musim Ambil Untung Tiba. Cnnindonesia.Com.

Elad, F. L., & Bongbee, N. S. (2017). Event Study on the Reaction of Stock Returns to Acquisition News. International Finance and Banking, 4(1), 33.

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance , 25(No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969), 383–417. 10.2307/2325486

Fama, E. F. Fisher, L., Jensen, M. C.; Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10, No.1.

Friedman, M. (1953). The Methodology of Positive Economics. Chicago University Press.

Hartono, J. (2015). Studi Peristiwa: Menguji Reaksi Pasar Modal Akibat Suatu Peristiwa. Penerbit BPFE Yogyakarta.

Hausman, D. M. (2008). The philosophy of Economics : an anthology. Cambridge University Press.

Hendra, K., & detikFinance. (2020). Sri Mulyani: Tak Semua Sektor Negatif Gara-gara Corona. Https://Finance.Detik.Com/. (2020). Ada Covid-19, operator telekomunikasi diuntungkan? Https://Www.Indotelko.Com/.

Investor Daily. (2020). Sektor Telekomunikasi Terdongkrak Covid-19. Https://Investor.Id/.

Jogiyanto, Hartono. (2013). Teori Portofolio dan Analisis Investasi (8th ed.). BPFE Yogyakarta.

Kaya, İ. (2017). Accounting Choices in Corporate Financial Reporting: A Literature Review of Positive Accounting Theory. In Accounting and Corporate Reporting - Today and Tomorrow. InTech.

Kofarbai, H. Z., & Zubairu, M. (2016). Efficient Market Hypothesis in Emerging Market - a Conceptual Analysis. European Scientific Journal, ESJ, 12(25), 260.

Li, H., Liu, S. M., Yu, X. H., Tang, S. L., & Tang, C. K. (2020). Coronavirus disease 2019 (COVID-19): current status and future perspectives. International Journal of Antimicrobial Agents, 55(5), 105951. (2020). 6 Gambaran Kondisi Ekonomi Global Amburadul Terimbas Wabah Virus Corona. Https://Www.Liputan6.Com/.

Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 1–19.

Made, I., Hartawan, W., Adiputra, P., Surya, N. A., Jurusan, D., & Program, A. (2015). Pada Sektor-Sektor Industri Di Bursa Efek Indonesia) (Vol. 3, Issue 1). Event Study.

Malkiel, B. G. (2003). The Efficient Market Hypothesis and Its Critics.

Olavia, L. (2020). Berkat Work from Home, Traffic Broadband Internet Telkomsel Naik 16%. BeritaSatu.

Ormos, M. (2011). Impacts of Public News on Stock Market Prices : Evidence from S & P500 1. Interdisciplinary Journal of Research in Business, 1(2), 1–17.

Putu, S. A., Gunaasih, P., & Nursasmito, I. (2015). The Evaluation of Non-Economic Events towards the LQ-45 Index in Indonesia Stock Exchange by Using Event Study Method. Rev. Integr. Bus. Econ. Res, 4(2), 106.

Quaye, I., Mu, Y., Abudu, B., & Agyare, R. (2016). Review of Stock Markets’ Reaction to New Events: Evidence from Brexit. Journal of Financial Risk Management, 05(04), 281–314.

Ratnaningsih, N. M. D., & Widanaputra, A. A. G. P. (2019). The reaction of Indonesian capital market to political event the announcement of Indonesia presidential election 2019 results. International Research Journal of Management, IT and Social Sciences, 6(6), 87–94.

Ru, H., Yang, E., & Zou, K. (2020). What do we learn from sars-cov-1 to sars-cov-2.

Scott, W. R. (2015). Financial Accounting Theory, 7th Edition (7th ed.). Pearson.

Sidik, S. C. I. (2020). Perusahaan Telekomunikasi Paling Cuan Saat Pandemi Covid-19.

Suryanto. (2015). Analysis Of Abnormal Return Before and After The Announcement Of Investment Grade Indonesia. In International Journal of Business and Management Review (Vol. 3, Issue 1).

The Jakarta Post. (2020). COVID-19 Impacts Across Indonesia’s Business Sectors: A recap.

Ţiţan, A. G. (2015). The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research. Procedia Economics and Finance, 32, 442–449.

Wardani, S., & Katti, B. (2018). Pengaruh Peristiwa Politik (Pemilu Presiden dan Pengumuman Susunan Kabinet) Terhadap Saham Sektor Industri Di Bursa Efek Indonesia.

Watts, Ross L.; Zimmerman, J. L. (1986). Positive Accounting Theory.

Wibowo, A., & Darmanto, S. (2019). Impact of Quick Count Result of President Election on Stock Prices and Trade Activities in the Indonesian Capital Market. Saudi Journal of Business and Management Studies, 4(6), 487–493.

World Health Organization. (2020). Novel Coronavirus - World Health Organization. Www.Who.Int.


Article Metrics

Abstract view : 863 times


  • There are currently no refbacks.

Copyright (c) 2021 International Journal of Social Science and Business

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

International Journal of Social Science and Business (IJSSB)  is published by:



Jl. Udayana, Kampus Tengah, Singaraja-Bali
Kode Pos 81116
Telp. 0362-22928

International Journal of Social Science and Business (IJSSB) indexed by:

  Crossref                  Akreditasi SINTA     


Creative Commons License

International Journal of Social Science and Business is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.