Title: Stock immunity during the COVID-19 pandemic: financial performance, maximum drawdown, and recovery

Authors: Lela Hindasah; Irwan Trinugroho; Atmaji; Doddy Setiawan

Addresses: Faculty of Economics and Business, Universitas Muhammadiyah Yogyakarta, Jl. Lingkar Selatan, Bantul, 55183, Indonesia; Faculty of Economics and Business, Universitas Sebelas Maret. Jl. Ir. Sutami 36A, Surakarta, 57126, Indonesia ' Faculty of Economics and Business, Universitas Sebelas Maret. Jl. Ir. Sutami 36A, Surakarta, 57126 Indonesia ' Faculty of Economics and Business, Universitas Sebelas Maret. Jl. Ir. Sutami 36A, Surakarta, 57126 Indonesia ' Faculty of Economics and Business, Universitas Sebelas Maret. Jl. Ir. Sutami 36A, Surakarta, 57126 Indonesia

Abstract: This study investigates the effect of financial performance on stock immunity during the COVID-19 pandemic, focusing on maximum drawdown (MAX) and stock recovery in the context of Indonesia. The results reveal that firms with stronger financial performance demonstrate higher immunity, as indicated by lower MAXs and faster recovery. However, this relationship is not consistent across beneficial and detrimental sectors. Further analysis indicates that firms experiencing lower operating cash flow, larger market capitalisation, higher trading volumes, and increased volatility face greater challenges with more substantial MAXs. Conversely, firms with more independent commissioners and foreign ownership exhibit greater immunity to the impacts of the COVID-19 pandemic. During stock rebounds, better financial performance, lower MAXs, lower valuations, and higher trading volumes contribute to a faster recovery.

Keywords: stock immunity; financial performance; recovery; MAX; maximum drawdown; market overreaction.

DOI: 10.1504/IJMEF.2025.150822

International Journal of Monetary Economics and Finance, 2025 Vol.18 No.6, pp.395 - 427

Received: 21 Mar 2025
Accepted: 23 May 2025
Published online: 23 Dec 2025 *

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