Analysis for Evaluating the Impact of COVID-19 on the Indonesian Composite Stock Price Index

Abstract

Currently the world is facing a global problem in the form of the COVID-19 pandemic. The spread of the COVID-19 outbreak continues to move significantly, especially in Indonesia. Since it was announced by President Joko Widodo in early March until now, the number of positive cases of COVID-19 has reached 418.375 cases. The impact of COVID-19 is a serious threat to the global economy. COVID-19 attacks the movement of stocks on global exchanges. The Composite Stock Price Index (IHSG) has touched its lowest level in history due to COVID-19. COVID-19 can be considered as an event that occurs out of control, so of course it will affect various sectors, particularly the economic sector, by spreading fear for investors and creating uncertainty in the global economy. The purpose of this study is to determine the impact of COVID-19 on the IHSG and to build a model that can be used for forecasting. The analytical method used is intervention analysis. The intervention model is used to model data that contains shocks. In this case, the suspected shock is the COVID-19. The intervention function used is the step function. Furthermore, risk measurement will be carried out so that risk is at a controllable level. Measurable risk can reduce the chance of loss that may be borne by investors. The method used is Value at Risk (VaR). The risk measurement is applied to the outcome forecasting data from the intervention model. Based on the results analysis, intervention model shows that COVID-19 has had an impact and a harsh slap on IHSG. Forecasting results from the intervention model have a good accuracy, with MAPE from in-sample is 0,76%. Then the forecasting results from the intervention model have a Value at Risk (VaR) which ranges from 0,45% to 1,96% with a confidence level of 95%.