The Effect of Macroeconomic, Market Return, and Financial Performance with Moderating Variable of Covid-19 Pandemic on Stock Return: A Case Study of Mobile Operator Companies Listed in IDX Period 2012-2021

Ihsan, Fajrul and Sembel, Roy and Malau, Melinda (2023) The Effect of Macroeconomic, Market Return, and Financial Performance with Moderating Variable of Covid-19 Pandemic on Stock Return: A Case Study of Mobile Operator Companies Listed in IDX Period 2012-2021. South East Asia Journal of Contemporary Business, Economics and Law, 28 (3). pp. 58-68. ISSN 2289-1560

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Abstract

There are variances in the stock returns of mobile operator companies listed on the IDX, and earlier study on the impact of fundamental factors on the stock returns of mobile operator companies did not account for the existence of the COVID-19 pandemic that entered Indonesia in early 2020. The objective of this study is to analyse, evaluate, and comprehend the impact of external fundamental factors, such as macroeconomic factors and market returns as well as internal fundamental factors, such as financial ratios, on the stock return of a mobile operator companies listed on the IDX period 2012 to 2021, with the COVID-19 pandemic serving as a moderating variable. GDP growth (GDP), Exchange Rate (ER), Market Return (MR), Return on Equity (ROE), Net Profit Margin (NPM), Current Ratio (CR), Debt-to-Equity Ratio (DER), and COVID-19 are utilized as independent variables. This study used companies' stock returns as the independent variable and COVID-19 as the moderating variable. This study used a quantitative approach. The methodology being used was panel data regression using the Common Effect Model (CEM), through 157 observations. This study found that partially MR and ROE had a positive and significant effect on the companies' stock returns. The COVID-19 pandemic moderates the effect of ER on the companies' stock returns. Simultaneously GDP, ER, MR, ROE, NPM, CR, DER, and COVID-19 affected the companies' stock return. The result of this study supports the efficient market hypothesis, which states that stock prices reflect all available information, including fundamental information. Furthermore, the results of this study can be used as a reference for investors and management who run the cellular operator company. They must consider MR, ROE, and COVID-19 which moderates the impact of ER on stock returns. Keywords: Macroeconomic, JKSE, Financial Ratio, Stock Return, COVID-19 Pandemic

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