Determinants of Stock Liquidity during COVID-19
Evidence from Indonesian Listed Firms
Keywords:
Stock Liquidity, Dividend Policy, Market-To-Book, Leverage, Inflation
Abstract
The COVID-19 pandemic has heightened awareness among Indonesian citizens regarding the significance of investing. The increased market capitalization of the IHSG has contributed to enhanced stock liquidity during this period. Prospective investors assess both internal and external factors of companies to make informed investment decisions, aligning their capital allocation with the perceived potential of the target firms. The objective of this research is to empirically analyze the determinants of stock liquidity, including firm size, profitability, leverage, firm growth, inflation, and dividend policy, focusing on non-financial companies listed in Indonesia during the COVID-19 period. The empirical results indicate a negative and significant relationship between stock liquidity and company size, profitability, leverage, growth, inflation, and dividend policy among non-financial firms listed on the IDX30 for the period February to July 2023.
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References
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[1] https://www.djkn.kemenkeu.go.id/artikel/baca/16064/Pandemi-Covid-19-Dan-Menurunnya-Perekonomian-Indonesia.html
[2] Chikwira, C., Mohammed, J. I. (2023). The Impact of the Stock Market on Liquidity and Economic Growth: Evidence of Volatile Market. Economies, 11(6), 155.
[3] PT Kustodian Sentral Efek Indonesia. (2022). Investor Pasar Modal Tembus 10 Juta.
[4] https://investasi.kontan.co.id/news/jumlah-sid-naik-tapi-transaksi-terbatas-ini-upaya-bei-untuk-tingkatkan-keaktifan-sid
[5] https://www.wapresri.go.id/tutup-perdagangan-bei-2022-wapres-apresiasi-bei-jaga-pasar-modal-2022/
[6] Smales, L. A. (2024). Stock market liquidity during crisis periods: Australian evidence. Accounting & Finance, 64(2), 1849–1878.
[7] Mardhiah, D. V., & Yunita, I. (2021). Capital Market Reaction on the Announcement of the First COVID-19 Case in Indonesia by the President of The Republic Indonesia: Case Study of Telecommunication Sub Sectors Listed on the IDX. International Journal of Advanced Research in Economics and Finance, 3(1), 32–38.
[8] Ghibran, N., Effendy, L., Lenap, I. P. (2021). Reaksi Pasar Atas Pandemi Virus Corona Pada Perusahaan LQ45 di Bursa Efek Indonesia. Jurnal Bisnis Terapan, 5(1), 125–138.
[9] https://investor.id/market-and-corporate/305664/pemeringkatan-sahamsaham-terbaik-2022
[10] Sari, A., Yolanda, F., Ardelilla, S. R., Waseso, W. J. (2023). Analisis Efisiensi Pasar Modal Pada Indeks Idx30 Di Bursa Efek Indonesia. Research In Accounting Journal, 3(1).
[11] Taher, F. N. A., Al-Shboul, M. (2022). Dividend policy, its asymmetric behavior and stock liquidity. Journal of Economic Studies.
[12] Herlambang, A., Mahadwarta, P. A., & Christianto, S. A. (2017). The Effect Stock Liquidity to Cash Dividend for Non-Finance Company Listed on BEI In 2012-2016. Journal of Management and Business, 16(2), 1412.
[13] https://money.cnn.com/interactive/investing/best-performing-global-markets/index.html
[14] Yardeni, E., Quintana, M. (2023). Performance 2023: Global Stock Markets thinking outside the box
[15] Sawitri, A. N., Sulistyowati, C. (2018). Stock Liquidity and Dividend Policy. KnE Social Sciences, 3(10).
[16] Farooque, O. Al, Baghdadi, G., Trinh, H. H., Khandaker, S. (2023). Stock liquidity during COVID-19 crisis: A cross-country analysis of developed and emerging economies, and economic policy uncertainty. Emerging Markets Review, 55, 101025.
[17] Rahman, A., Syafii, M., Hakim, S. H. (2021). Kesejahteraan dan Indikator Kunci Pembangunan. Merdeka Kreasi Group.
[18] Alamsyahbana, M. I. (2022). Suku Bunga SBI, Kurs Valuta Asing, dan Inflasi Terhadap Kinerja Saham Indeks Pada Perusahaan LQ45. CV. Azka Pustaka.
[19] Kusumaningtyas, E., Subagyo, E., Adinugroho, W. C., Jacob, J., Berry, Y., Nuraini, A., Sudjono, Syah, S. (2022). Konsep dan Praktik Ekonometrika Menggunakan Eview. Academia Publication.
[20] Hussain, W., Asif Khan, M., Gemici, E., Oláh, J. (2021). Governance, Firm Internationalization, and Stock Liquidity Among Selected Emerging Economies from Asia*. Judit OLÁH / Journal of Asian Finance, 8(9), 287–0300.
[21] Cakici, N., & Zaremba, A. (2021). Liquidity and the cross-section of international stock returns. Journal of Banking & Finance, 127, 106123.
[22] Salim, L. M., Dillak, V. J. (2018). Pengaruh Profitabilitas, Likuiditas, Solvabilitas, Dan Ukuran Perusahaan Terhadap Likuiditas Saham (Studi Kasus Pada Perusahaan Non Perbankan Yang Termasuk Dalam Indeks LQ 45 Pada Tahun 2011-2016). Jurnal Riset Akuntansi, 10(2).
[23] Ritonga, N., Wardani, W. (2021). Pengaruh Kinerja Keuangan Untuk Menilai Likuiditas Saham Pada Perusahaan Yang Terdaftar Di Index Saham Syariah Indonesia (ISSI). Jurnal Manajemen Akuntansi (JUMSI).
[24] Mughni, G., Waspada, I., Sari, M. (2021). Impact of Leverage, Profitability on Stock Liquidity. The International Journal of Business Review (The Jobs Review), 4(1), 85–92.
[25] Anggiani, I., Tasha, N., Munawaroh, R. (2021). Analisis Perilaku Investor Pemula Dalam Pengambilan Keputusan Investasi Saham Di Masa Pandemi Covid-19. Jurnal Pendidikan Tambusai.
[26] Syukran, Muh. Z., Faozan, M. (2020). Pengaruh Kinerja Keuangan Untuk Menilai Likuiditas Saham Pada Perusahaan Yang Terdaftar Di Index Saham Syariah Indonesia (ISSI). TAFAQQUH: Jurnal Hukum Ekonomi Syariah Dan Ahwal Syahsiyyah, 5(2).
[27] Ellahi, N., Ur Rehman, J., Sulehri, A., Ahmad, M. A., Qureshi, T. (2021). Investigating the Impact of COVID 19 Outbreak on Stock Market Returns: Evidence from Pakistan. International Journal of Innovation, Creativity and Change., 15(5).
[28] Khan, B., Tahir, M., Nasir, A. M., Mushtaq, M. (2019). The impact of companies’ internal factors on stock liquidity in Pakistan. Afro-Asian Journal of Finance and Accounting, 9(4).
[29] Abdulkadir, R. I., Olatinwo, O. H., & Afolabi, H. O. (2022). Determinants of Stock Market Liquidity in Nigeria. Labuan Bulletin of International Business and Finance (LBIBF), 20(2), 1–15.
[30] Kristanti, F. T., & Akhmad, W. (2023). Surviving the Storm: An Analysis of Financial Distress in Asia’s Dominant Telecommunications Companies. Polish Journal of Management Studies, 28(2).
[31] https://www.uobgroup.com/asean-insights/articles/uob-business-outlook-study-2024-regional.page
[32] Pratama, A. P., & Ginting, A. L. (2024). Inflasi Dan Suku Bunga Terhadap Minat Investasi Saham Gen Z. Jurnal Rumpun Manajemen Dan Ekonomi, 1(3).
[33] Ebrahim, R. (2023). Does Stock Liquidity Determine Dividend Policy? New Evidence From an Emerging Market. Asian Economic and Financial Review, 13(9).
Published
2024-11-27
How to Cite
Gushendri, A. H. E., & Yunita, I. (2024). Determinants of Stock Liquidity during COVID-19: Evidence from Indonesian Listed Firms. International Journal of Science, Technology & Management, 5(6), 1298-1303. https://doi.org/10.46729/ijstm.v5i6.1186
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Articles
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