COVID-19 OUTBREAK, ABNORMAL RETURN DAN VOLATILITAS HARGA SAHAM : STUDI KASUS PADA PASAR SAHAM DI INDONESIA

AIPAMA, WIDYA (2020) COVID-19 OUTBREAK, ABNORMAL RETURN DAN VOLATILITAS HARGA SAHAM : STUDI KASUS PADA PASAR SAHAM DI INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

Covid-19 outbreak is spreading around the world at a very fast pace. The Covid-19 problem is not just a health problem but has also become an economic problem. the announcement of the spread of Covid-19 in Indonesia affected the composite stock price index. To prove a quantitative analysis that the announcement of the spread of Covid-19 in Indonesia affects the Indonesian capital market, it still needs further study. This study focuses more on the stock market reaction, there are abnormal return analysis, JCI volatility and forecasting using the event study approach and using the GARCH model.The study found that the stock market reacted negatively to Covid-19 characterized by negative abnormal returns, JCI volatility had a positive effect on abnormal returns during the Covid- 19 event and the GARCH model, which can be used in assessing volatility and forecasting abnormal returns on stocks on the Indonesian Stock Exchange when the covid-19 incident occurred. Keywords: COVID-19; Event Studies; GARCH; Abnormal Return; Stock Price Volatility; JCI; Indonesia stock exchange Wabah Covid-19 menyebar ke seluruh dunia dengan sangat cepat. Masalah Covid-19 ini bukanIhanyaimasalahikesehatanitetapi juga telah menjadi masalahiekonomi. peristiwa pengumuman menyebarnya Covid-19 di Indonesia mempengaruhi indeks harga saham gabungan. Untuk membuktikan secara analisis kuantitatif bahwa pengumuman menyebarnya covid-19 di Indonesia mempengaruhi pasar modal Indonesia masih perlu pengkajian lebih dalam. Penelitian ini lebih memfokuskan pada reaksi pasar saham yaitu analisis abnormal return, volatilitas IHSG dan forecasting dengan menggunakan pendekatan studi peristiwa dan menggunakan model GARCH. Studi tersebut menemukan bahwa pasar saham bereaksi negatif terhadap Covid-19 ditandai dengan abnormal return yang negatif, volatilitas IHSG berpengaruh positif terhadap abnormal return disaat peristiwa Covid-19 dan model GARCH, dapat digunakan dalam melakukan penilaian volatilitas serta peramalan terhadap abnormal return saham di Bursa Efek Indonesia ketika terjadi peristiwa covid-19. Kata Kunci: COVID-19; Studi Peristiwa; GARCH; Abnormal Return; Volatilitas Harga Saham; IHSG; Bursa Efek Indonesia

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