Pengujian Fama & French Three Factor terhadap Return Saham Perusahaan Jasa yang Terdaftar di Indeks IDX80 Saat Pandemi Covid-19

Authors

  • Sheilla Putri Agustin Universitas Padjadjaran
  • Sulaeman Rahman Nidar Universitas Padjadjaran
  • Meinanda Kurniawan Universitas Padjadjaran

DOI:

https://doi.org/10.32832/jm-uika.v13i2.6723

Keywords:

Fama & French Three Factor, Market, Size, Book to Market, Covid-19

Abstract

This study shows the Fama & French Three Factors of weekly stock returns during the pandemic. Of the three variables, only the market variable has a significant effect on returns and has the strongest influence. Meanwhile, the variable size, book to market and the number of Covid-19 cases are not significant to the return. Simultaneously, market variables, size, book to market and the number of Covid-19 cases together or simultaneously have an influence on returns. The magnitude of the simultaneous influence of these variables is 31.02%.

Author Biographies

Sulaeman Rahman Nidar, Universitas Padjadjaran

Economic and Business Faculty

Meinanda Kurniawan, Universitas Padjadjaran

Economic and Business Faculty

References

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. https://doi.org/10.1016/j.jbef.2020.100326

Ambros, M., Frenkel, M., Huynh, T. L. D., & Kilinc, M. (2020). COVID-19 pandemic news and stock market reaction during the onset of the crisis: evidence from high-frequency data. Applied Economics Letters, 00(00), 1–4. https://doi.org/10.1080/13504851.2020.1851643

Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M. C., & Viratyosin, T. (2020). The Unprecedented Stock Market Impact of COVID-19. Review of Corporate Finance Studies, 9(April), 622–655.

Baker, S. R., Farrokhnia, R. A., Meyer, S., Pagel, M., & Yannelis, C. (2020). How does household spending respond to an epidemic? consumption during the 2020 COVID-19 pandemic. Review of Asset Pricing Studies, 10(4), 834–862. https://doi.org/10.1093/rapstu/raaa009

Djamaluddin, S., Rofii, A., & Djumarno. (2017). Fama and French Five-Factors Pricing Model Testing in Indonesia. International Journal of Business and Management Invention.

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5

Fama, E. F., & French, K. R. (2015). A Five-Factor Asset Pricing Model. CFA Digest, 45(4), 1–22. https://doi.org/10.2469/dig.v45.n4.1

Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441–463. https://doi.org/10.1016/j.jfineco.2016.11.004

Horváth, D., & Wang, Y. L. (2021). The examination of Fama-French Model during the Covid-19. Finance Research Letters, 41, 101848. https://doi.org/10.1016/j.frl.2020.101848

Huo, X., & Qiu, Z. (2020). How does China's stock market react to the announcement of the COVID-19 pandemic lockdown? Economic and Political Studies, 8(4), 436–461. https://doi.org/10.1080/20954816.2020.1780695

Komara, E., Febrian, E., & Anwar, M. (2019). Analisis Three Factor Fama and French Model terhadap Return pada Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014. Jurnal Inspirasi Bisnis dan Manajemen Vol 3, (2), 105-116.

Sutrisno, B., & Ekaputra, I. A. (2016). Uji Empiris Model Asset Pricing Lima Faktor Fama-French Di Indonesia. Jurnal Keuangan Dan Perbankan, 20(3), 343–357. https://doi.org/10.26905/jkdp.v20i3.287

Downloads

Published

01-06-2022

How to Cite

Agustin, S. P., Nidar, S. R., & Kurniawan, M. (2022). Pengujian Fama & French Three Factor terhadap Return Saham Perusahaan Jasa yang Terdaftar di Indeks IDX80 Saat Pandemi Covid-19. Jurnal Manajemen (Edisi Elektronik), 13(2), 239–250. https://doi.org/10.32832/jm-uika.v13i2.6723

Issue

Vol. 13 No. 2 (2022): Jurnal Manajemen (Edisi Elektronik)

Section

Articles

License

Authors who publish with this journal agree to the following terms:

  1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
  2. Authors can enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
  3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).