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Comparison Analysis of Abnormal Return, Cumulative Abnormal Return, Trading Volume Activity, and Bid-Ask Spread of Shares: Event Study of Announcement of COVID-19 Virus, Delta Variant, and Omicron Variant

Author

Listed:
  • Alghifari Muhammad Dzar

    (Indonesia Open University, Indonesia)

  • Tubagus Ismail

    (Indonesia Open University, Indonesia)

  • Ira Geraldina

    (Indonesia Open University, Indonesia)

Abstract

The spread of the COVID-19 virus has caused panic and affected the economy, including the Indonesia’s capital market. This study aims to analyze the reaction of the Indonesian capital market and its implications for efficient market theory at 3 events, namely the announcement of COVID-19, the Delta variant, and the Omicron variant by the Indonesian Government. This capital market reaction is seen through abnormal returns, cumulative abnormal returns, trading volume activity, and bid-ask spreads in the 5 days before and after the announcement. The study population was all tourism and healthcare sector companies listed on the IDX, with a total sample of 15 companies from the healthcare sector and 13 companies from the tourism sector. The results showed no significant differences in abnormal returns, cumulative abnormal returns, trading volume activity, and bid-ask spreads in the tourism sector at all three events. For the healthcare sector, there were significant differences in abnormal returns and cumulative abnormal returns in the announcement of COVID-19 and the Omicron variant but not in the announcement of the Delta variant. Furthermore, there was no significant difference in trading volume activity and bid-ask spread on all events. Indonesia's capital market shows a semi-strong form of efficient market.

Suggested Citation

  • Alghifari Muhammad Dzar & Tubagus Ismail & Ira Geraldina, 2023. "Comparison Analysis of Abnormal Return, Cumulative Abnormal Return, Trading Volume Activity, and Bid-Ask Spread of Shares: Event Study of Announcement of COVID-19 Virus, Delta Variant, and Omicron Variant," European Journal of Business and Management Research, European Open Science, vol. 8(2), pages 189-196, March.
    • Handle: RePEc:epw:ejbmr0:v:8:y:2023:i:2:id:51862
    DOI: 10.24018/ejbmr.2023.8.2.1862
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