Analysis of Differences in Abnormal Returns and Corporate Profits During and After the Coronavirus Pandemic in Season 2019 (COVID-19) for Crude Palm Oil (CPO) Companies Listed on the Indonesia Stock Exchange
DOI:
https://doi.org/10.5281/Keywords:
Covid-19, Abnormal return, Corporate profit, CPOAbstract
This study aims to analyze the Differences in Abnormal Returns and Company Profits During and After the 2019 Coronavirus Diseases (Covid-19) Pandemic in Crude Palm Oil (CPO) companies listed on the Indonesia Stock Exchange. The data source used in this study is secondary data, namely external data obtained from the official IDX website www.idx.co.id. The population in this study is 28 Crude Palm Oil companies listed on the IDX. In this study using a purposive sampling method or technique. The sample in this study is 19 Crude Palm Oil companies listed on the IDX and that have met the criteria. The data used for the study is balanced panel data, with the pandemic period taken from 2020-2021 and post-pandemic data taken from 2022-2023. The results of the study using the Wilcoxon signed rank test show that there are differences in abnormal returns during and after the Covid-19 pandemic in Crude Palm Oil companies and there are also differences in Company Profits during and after the Covid-19 pandemic.
References
According to Palm Oil Agribusiness Strategic Policy Institute. (2025) Crude Palm Oil (CPO) companies play a strategic role in the global food, renewable energy, cosmetics, and oleochemical industries. Crude Palm Oil (CPO) is crude palm oil extracted from the mesocarp of the oil palm fruit through a sterilization and mechanical pressing process. Indonesia, as the world's largest producer, produces more than 47 million tons of CPO annually, with exports reaching $22 billion, meeting 58% of the world's vegetable oil needs.
The palm oil (CPO) industry must be able to face increasingly competitive market conditions. (News, 2023)
Indonesia is one of the world's largest and most productive palm oil producers, attracting many countries to cooperate in exports and imports. Palm oil is Indonesia's third-largest foreign exchange earner. (Batubara, 2023)
Studies have shown significant differences in abnormal stock returns for crude palm oil companies in Indonesia during the New Normal announcement and lockdowns in export destination countries, indicating the market's response to policy changes and global conditions. (Kiroyan et al., 2022).
These changes impact trading volumes and stock price spreads, reflecting market uncertainty and dynamics during times of crisis. (Kiroyan et al., 2022).
(Salim, 2022) In his research, he said that the Covid-19 pandemic had an impact on stock investment and company profits due to a decline in financial performance.
Investors are encouraged to invest because the return can be obtained as a reward for investors for taking investment risks (Arridho, 2020).
A positive abnormal return occurs when the actual return is greater than the expected return, and a negative abnormal return occurs when the actual return is smaller than the expected return (Ong & Ng, 2018).
Abnormal Return is usually associated with certain events in a company's life or market conditions, such as mergers and acquisitions, stock splits, dividend announcements, unexpected events such as COVID-19, or even macroeconomic events that affect a company's stock value (Pintu.co.id).
The Covid-19 pandemic, as a major and unexpected event, will result in a market reaction. This reaction can be seen in changes in stock prices, both increases and decreases. (Herlina & Ilyas, 2024).
Before the pandemic, company activities were running normally, which, overall, could influence the company's revenue or profit. Net profit is income before taxes minus income taxes (Hery, 2018). Net profit provides users of financial statements with a summary of the company's total profit for the current period (including primary and secondary activities) and after income taxes are calculated (Hery, 2018).
Another definition explains that net profit is profit minus recurring expenses to the company in a given period, including taxes (Kasmir, 2018).
Based on the understanding of these experts, we can conclude that net profit is gross profit minus operating expenses such as interest and taxes. In terms of profitability, the Covid-19 pandemic, fluctuations in CPO prices, and government policies such as export bans also affect the profits of CPO companies. Crude Palm Oil is not solely utilized as cooking oil. It is also processed into mare than 120 derivative products.Furthermore, the increasing demand for exports has contributed to higher market demand and prices levels. Based on trading margin data, the price of cooking oil shows a slight increase when comparing the average prices before the covid-19 pandemic with those after the pandemic (Yudha, 2023) .
Previous studies indicate that variables such as inventory turnover and sales growth significantly influence corporate profitability, while the implementation of good corporate governonce plays a crucial role in enabling companies to adapt to uncertain economic conditions. (Azzahra et al., 2023).
The confirmed COVID-19 cases in Indonesia are a sign of bad news, affecting the share prices of various companies, thus impacting their returns (Amin & Ramdhani, 2020).
An event study refers to an analysis of stock price movements in the capital market aimed at identifying whether investors obtain abnormal returns as a result of a particular event (Hartono, 2017: 643)
Abnormal return represents the difference between actual return and expected return, which may occur either prior to official announcement due to information leakage or after the announcement is made. The difference can be either positive or negative. A positive abnormal return occurs when actual return exceeds the expected return, encouraging investors to trade around the announcement period in anticipation of earning returns above the normal level. Conversely, if the actual returns is lower than expected, the market response tends to be negative. (Herlina & Ilyas, 2024).
Market reactions to information are crucial, as they lead to price adjustments that influence abnormal returns and shape investor perceptions in making investment decisions. Abnormal returns serve as an important indicator for evaluating prevailing market conditions. Information is considered valuable by investors when it generates a response in the form of trading activity in the capital market (Jogiyanto, 2020)
To determine the expected return, you can use the Risk Market. The formula for calculating the expected return used in this study uses a market-adjusted model. The return used in the expected return is derived from the market index return at the time in question, this is called the Market-adjusted model (Nadia Sri Wahyuni and Wahyudi, 2023).
In the study (Aperlina & Sulistianingsih, 2022), the results of the one simple t-test showed no significant abnormal returns before and after the first COVID-19 announcement, and no significant trading volume activity before the first COVID-19 announcement. The one-sample Wilcoxon signed-rank test showed no significant trading volume activity after the first COVID-19 announcement. The paired sample t-test and the paired sample Wilcoxon signed-rank test both showed no difference in abnormal returns before and after the first COVID-19 announcement, nor was there a difference in trading volume activity before and after the first COVID-19 announcement in Indonesia.
Research results (Amin, 2022) showed that there was a difference in abnormal returns before and after the dividend announcement, as well as a difference in trading volume activity before and after the dividend announcement at PT. Kalbe Farma.
In the study (Wahyuni & Wahyudi, 2023), the results obtained were that there was a difference in Abnormal Return between before and during the COVID-19 Omicron Variant, before the occurrence of the COVID-19 Omicron variant in Indonesia there was a significant Abnormal Return, there was no significant Abnormal Return during the COVID-19 Omicron variant.
Research (Azzahra et al., 2023) shows differences in stock prices and profits of transportation sub-sector companies before and during the COVID-19 pandemic in Indonesia. This is demonstrated by significance values of 0.002 <0.05 and 0.001 <0.05. However, of the 10 transportation sub-sector companies, there was no overall decrease; some companies experienced increases during the COVID-19 pandemic.
The results of the study (Napitupulu, 2019) show the results of multiple linear regression analysis with a significance level of 5% indicating that the PER variable partially has a significant positive effect on future profit predictions.
A study by Sahputra et al. (2022) found that a one-sample test showed significant negative abnormal returns at t+1 and t+2 after the announcement, indicating that the Covid-19 pandemic negatively impacted the company's operations. Meanwhile, the Wilcoxon Signed Rank test showed a significant difference between abnormal returns before and after the announcement of the first Covid-19 case in Indonesia. However, the Wilcoxon Signed Rank Test on Trading Volume Activity (TVA) showed no significant difference between before and after the first Covid-19 announcement in Indonesia.
In a study (Badzlina & Bintoro, 2023), the results of a significance level of <0.005 showed a significant difference in both abnormal returns and trading volume activity of pharmaceutical stocks in the 30-day period before and 30-day period after the announcement of the first Covid-19 case in Indonesia.
Quantitative methods are used because the research requires data that can be directly measured or calculated, in the form of information or explanations expressed in numbers (Sugiono, 2010, 15)
The data source was obtained from the official website. IDX www.idx.go.id.
Net profit is income before taxes minus income taxes (Hery, 2019). Net profit provides users of financial statements with a summary of the company's total profit for the current period (including primary and secondary activities) and after income taxes are calculated (Hery, 2019).
Another definition explains that net profit is profit minus expenses owed to the company in a certain period, including taxes (Kasmir, 2018)
According to Ghozali (2018), the data analysis conducted in this study includes descriptive statistics, normality tests, and hypotheses. The tests were conducted using SPPS 25 (Statistical Package for Social Science 25) software.
1) Descriptive Statistics
According to Ghozali (2018), descriptive statistics provide a description of data based on the average (mean), mode (mode), and standard deviation of each sample data. Furthermore, comparative descriptive statistics describe data to provide clearer and more easily understood information.
2) Normality Test
According to Ghozali (2018), the normality test is used to determine whether the data obtained and used are normally distributed. The researcher used the Kolmogorov-Smirnov Normality Test. The Kolmogorov-Smirnov test is a commonly used normality test because it is considered simpler and does not cause differences in perception. The criteria for the normality test are as follows:
• If the Asymp.Sig. (2-tailed) > 0.05, then the data is declared normally distributed.
• If the Asymp.Sig. (2-tailed) value is < 0.05, then the data is declared not normally distributed.
3) Hypothesis Testing
a) Paired Sample T-Test
According to Ghozali (2018), the paired simple t-test is a test of difference and paired samples. Paired samples are the same subjects all undergoing different treatments. This test model is used to analyze pre-post or during and after research models.
b) Wilcoxon Signed Ranks Difference Test
The Wilcoxon Signed Ranks Difference Test is used as an alternative to the Paired Sample T-Test if the data used as samples in this study are declared not normally distributed based on the results of the normality test.
Kolmogorov-Sminov or Asymp. Sig. (2-tailed) value is less than 0.05. According to Ghozali (2018), the Wilcoxon Signed Ranks difference test is used to evaluate a particular treatment in two observations, before and during the presence of a particular treatment.
Similar to the Paired Simple T-Test, this test also has a significance level of α = 5%, as follows:
• If the p-volume (in the sig. column) is <α = 0.05, then Ho is rejected and Ha is accepted, indicating a difference in abnormal returns before and during the coronavirus pandemic.
• If the p-volume (in the sig. column) is >α = 0.05, then Ho is accepted and Ha is rejected, indicating no difference in abnormal returns before and during the coronavirus pandemic.
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Copyright (c) 2025 Azlina Azlina, Niena Suryani, Agustina, Yudiansyah Saleh, Daudy Sukma
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