AMIRIA, HANA DHIA (2022) ANALISIS KINERJA INDEKS SAHAM SEBELUM DAN SESUDAH PERISTIWA PENGUMUMAN KASUS PERTAMA COVID-19 DAN PEMBATASAN SOSIAL BERSKALA BESAR DI INDONESIA. S1 thesis, Universitas Mercu Buana Jakarta.
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Abstract
This study aims to determine the effect of the Covid-19 pandemic with indicators of the announcement of the first case of Covid-19 in Indonesia and the implementation of the Large-scale social restrictions or LSSR (Indonesian: PSBB) on the Indonesia Composite Index (ICI, or IDX Composite), basic industry sectoral index and property sectoral index. on the Indonesia Stock Exchange (IDX). The sampling technique used in this study was a saturated sample. This type of research uses descriptive research using event study where the event window in this study consists of 7 days before and 7 days after the event. The approach used in this research is a quantitative approach. Hypothesis testing was carried out using the paired sample t-test. The results show that the announcement of the first case of Covid-19 in Indonesia has an impact on stock prices in general, which is reflected in the IDX Composite, property sectoral index and basic industry sectoral index. However, the implementation of the Large-Scale Social Restrictions (LSSR) policy did not affect stock prices in general as reflected in the IDX Composite, property index and basic industry index. Keywords: COVID-19 Pandemic, Indonesian Capital Market, Event Study, Stock Price Penelitian ini bertujuan untuk mengetahui pengaruh pandemi Covid-19 dengan indikator peristiwa pengumuman kasus pertama Covid-19 di Indonesia dan penerapan kebijakan Pembatasan Sosial Berskala Besar (PSBB) terhadap Indeks Harga Saham Gabungan (IHSG), indeks sektoral basic industry dan indeks sektoral property yang terdaftar di Bursa Efek Indonesia (BEI). Teknik pengambilan sampel yang digunakan dalam penelitian ini adalah sampel jenuh. Jenis penelitian ini menggunakan penelitian deskriptif dengan menggunakan studi peristiwa (Event Study) dimana event window dalam penelitian ini terdiri dari 7 hari sebelum dan 7 hari sesudah peristiwa. Pendekatan yang digunakan dalam penelitian ini adalah pendekatan kuantitatif. Pengujian hipotesis yang dilakukan menggunakan uji paired sample t-test. Hasil penelitian menunjukkan bahwa peristiwa pengumuman kasus pertama Covid-19 di Indonesia berdampak terhadap harga saham secara umum yang tercermin dalam Indeks Harga Saham Gabungan (IHSG), harga saham indeks sektoral property dan harga saham indeks sektoral basic industry. Namun, peristiwa penerapan kebijakan Pembatasan Sosial Berskala Besar (PSBB) tidak berdampak terhadap harga saham secara umum yang tercermin dalam Indeks Harga Saham Gabungan (IHSG), harga saham indeks sektor property dan harga saham indeks sektor basic industry. Kata Kunci: Pandemi COVID-19, Pasar Modal Indonesia, Event Study, Harga Saham.
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