Indonesian Market Volatility During the COVID-19 Pandemic: Foreign versus Domestic Investors

Suhernita, Suhernita (2024) Indonesian Market Volatility During the COVID-19 Pandemic: Foreign versus Domestic Investors. Jurnal REKSA: Rekayasa Keuangan, Syariah, dan Audit, 11 (1). pp. 62-73. ISSN p-ISSN: 2089-6581 | e-ISSN: 2614-3720

Text (J.REKSA_Suhernita) 62-73. Suhernita.pdf - Published Version Available under License Creative Commons Attribution Share Alike. Download (579kB)

Abstract

This study examines the effect of institutional ownership on stock price volatility before and after the announcement of the first confirmed COVID-19 cases in Indonesia. The sample includes all public companies listed on the Indonesian stock exchange minus financial firms. Data for this study were retrieved from the Osiris database. The results of this study indicate that when a market was relatively stable (before the discovery of the COVID-19 pandemic in Indonesia), there was no effect of institutional ownership on stock price volatility. However, after the announcement of confirmed COVID-19 cases, this study finds a positive influence of institutional ownership on stock price volatility. This research contributes in two important ways. First, the previous study predicts that extreme market volatility is a signal of an incoming recession. This situation should alarm various stakeholders to anticipate potential unexpected outcomes. Second, institutional investors play a crucial role in the market. Understanding their trading behavior during the pandemic period provides insight for various stakeholders in the decision-making process.

Item Type:	Artikel Umum
Keyword:	COVID-19 pandemic, Price volatility, Institutional ownership, Domestic investors, Foreign investors
Subjects:	H Social Sciences > HF Commerce > HF5601 Accounting
Depositing User:	S.E., M.Sc Annisa Fithria
Date Deposited:	10 Apr 2025 01:07
Last Modified:	10 Apr 2025 01:07
URI:	http://eprints.uad.ac.id/id/eprint/82871

Actions (login required)

View Item