Title: The impact of mobility restrictions, sentiment, and deaths on the liquidity and volatility of LQ 45 Index: a comparative study between the first and the second wave of the COVID-19 pandemic

Authors: Sendy Watazawwadu'Ilmi; Dewi Hanggraeni

Addresses: Department of Management, Faculty of Economics and Business, University of Indonesia, Indonesia ' Department of Management, Faculty of Economics and Business, University of Indonesia, Indonesia; Faculty of Economics and Business and Faculty of Communication and Diplomacy, Pertamina University, Indonesia

Abstract: The COVID-19 pandemic has affected Indonesia more significantly than the last crisis. It hit and caused Indonesia to have the highest accumulation rate of confirmed cases in Southeast Asia. This study aims to analyse the impact of the COVID-19 pandemic on the Indonesian stock market during the first and second waves. We mainly used panel data regression on daily market returns and defined the liquidity and volatility dynamic to understand the various dimension of the pandemic. We found a relationship between pandemics and the Indonesian stock market during the first and second waves of the pandemic. Our results suggest that increasing mobility restriction implementation would increase market illiquidity and volatility. In parallel, the rise of negative sentiment and fatality rate caused by COVID-19 provides liquidity and stability failure. This study suggests that investors should closely follow the development of country policies to make decisions related to investing in financial markets.

Keywords: COVID-19; pandemic; mobility restriction; sentiment; stock market.

DOI: 10.1504/GBER.2024.140235

Global Business and Economics Review, 2024 Vol.31 No.2, pp.155 - 180

Received: 19 Sep 2022
Accepted: 17 Feb 2023
Published online: 31 Jul 2024 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article