REAKSI PASAR TERHADAP SAHAM PERUSAHAAN FARMASI ATAS PENGUMUMAN KASUS POSITIF PERTAMA VIRUS CORONA (COVID-19) DI INDONESIA

G., ENRICO FERNANDA SAPUTRA (2021) REAKSI PASAR TERHADAP SAHAM PERUSAHAAN FARMASI ATAS PENGUMUMAN KASUS POSITIF PERTAMA VIRUS CORONA (COVID-19) DI INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to determine whether there are differences in the average abnormal return, trading volume activity, and trading frequency activity of pharmaceutical stocks before and after the announcement of the first corona virus case (Covid-19) in Indonesia. Samples were selected using a purposive sampling method and 9 pharmaceutical companies were listed on the Indonesia Stock Exchange during 2019 - 2020. The data used in this study are secondary data in the form of daily data of the closing price of shares, Indonesia Composite Index (ICI), trading volume of shares, number of shares outstanding, and frequency of share trading obtained from the Indonesia Stock Exchange. This research is an event study with an observation period of 14 days, 7 days before and 7 days after the announcement of the first positive case of corona virus in Indonesia. Hypothesis testing uses the paired sample t-test method if the data are normally distributed, whereas if the data is not normally distributed will use the Wilcoxon signed rank test. Based on the results of this study it was found that there was no difference in the average abnormal return of pharmaceutical stocks before and after the announcement of the first corona virus case (Covid-19) in Indonesia, but there were differences in average trading volume activity and average trading frequency activity of pharmaceutical stocks before and after announcement of the first case of corona virus (Covid-19) in Indonesia. Keywords: Covid-19, Event Study, Abnormal return, Trading volume activity, Trading frequency activity Penelitian ini bertujuan untuk mengetahui apakah terdapat perbedaan rata-rata abnormal return, trading volume activity, dan trading frequency activity saham perusahaan farmasi sebelum dan sesudah pengumuman kasus pertama virus corona (Covid-19) di Indonesia. Sampel dipilih dengan menggunakan metode purposive sampling dan terkumpul sebanyak 9 perusahaan farmasi yang tercatat di Bursa Efek Indonesia selama tahun 2019 - 2020. Data yang digunakan dalam penelitian ini adalah data sekunder berupa data harian harga penutupan saham, Indeks Harga Saham Gabungan (IHSG), volume perdagangan saham, jumlah saham beredar, dan frekuensi perdagangan saham yang diperoleh dari Bursa Efek Indonesia. Penelitian ini merupakan event study dengan periode pengamatan selama 14 hari yaitu 7 hari (bursa) sebelum dan 7 hari (bursa) sesudah pengumuman kasus positif pertama virus corona di Indonesia. Pengujian hipotesis menggunakan metode paired sample t-test jika data yang terdistribusi secara normal, sedangkan jika data tidak terdistribusi secara tidak normal akan menggunakan uji wilcoxon signed rank test. Berdasarkan hasil penelitian ini ditemukan bahwa tidak terdapat perbedaan rata-rata abnormal return saham perusahaan farmasi sebelum dan sesudah pengumuman kasus pertama virus corona (Covid-19) di Indonesia, namun terdapat perbedaan rata-rata trading volume activity dan rata-rata trading frequency activity saham perusahaan farmasi sebelum dan sesudah pengumuman kasus pertama virus corona (Covid-19) di Indonesia. Kata Kunci: Covid-19, Event Study, Abnormal return, Trading volume activity, Trading frequency activity

Item Type: Thesis (S2)
NIM/NIDN Creators: 55118320025
Uncontrolled Keywords: Covid-19, Event Study, Abnormal return, Trading volume activity, Trading frequency activity
Subjects: 300 Social Science/Ilmu-ilmu Sosial > 380 Commerce, Communications, Transportation (Perdagangan, Komunikasi, Transportasi)
300 Social Science/Ilmu-ilmu Sosial > 380 Commerce, Communications, Transportation (Perdagangan, Komunikasi, Transportasi) > 381 Commerce, Trade/Perdagangan
300 Social Science/Ilmu-ilmu Sosial > 380 Commerce, Communications, Transportation (Perdagangan, Komunikasi, Transportasi) > 381 Commerce, Trade/Perdagangan > 381.1 Retail Trade/Perdagangan Ritail, Pasar
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan
Divisions: Pascasarjana > Magister Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 02 Dec 2021 03:56
Last Modified: 12 Jul 2024 06:43
URI: http://repository.mercubuana.ac.id/id/eprint/51295

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