ANALISIS RETURN SAHAM, LIKUIDITAS SAHAM DAN VOLATILITAS HARGA SAHAM PADA IDX30 SEBELUM DAN SETELAH PENGUMUMAN WABAH COVID-19

HARDI, NUR KAMRI (2022) ANALISIS RETURN SAHAM, LIKUIDITAS SAHAM DAN VOLATILITAS HARGA SAHAM PADA IDX30 SEBELUM DAN SETELAH PENGUMUMAN WABAH COVID-19. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

Kasus Covid-19 pertama kali di Indonesia diumumkan pada tanggal 02 Maret 2020. Penelitian ini bertujuan untuk menganalisis pengaruh wabah Covid-19 terhadap return saham, likuiditas saham dan volatilitas harga saham pada Indeks IDX30. Populasi dalam penelitian ini adalah 30 perusahaan yang terdaftar pada Indeks IDX30 periode Februari 2020 - Juli 2020. Teknik pengambilan sampel menggunakan purposive sampling. Pengumpulan data dilakukan dengan mendokumentasikan data yang dibutuhkan pada website pasar modal. Teknik analisis data yang digunakan adalah uji normalitas dengan menggunakan Jarque Bera dan pengujian hipotesis menggunakan uji Paired Pample T-Test yang diolah menggunakan aplikasi EViews 12. Hasil penelitian ini menunjukkan bahwa tidak terdapat perbedaan pada return saham IDX30 sebelum dan setelah pengumuman kasus Covid-19 pertama kali di Indonesia. Sedangkan untuk likuiditas saham dan volatilitas harga saham terdapat perbedaan sebelum dan setelah pengumuman kasus Covid-19. Kata Kunci: Covid-19, IDX30, return saham, likuiditas saham, volatilitas harga saham. The first Covid-19 case in Indonesia was announced on March 2, 2020. This study aims to analyze the effect of the Covid-19 outbreak on stock returns, stock liquidity and stock price volatility on the IDX30 Index. The population in this study are 30 companies listed on the IDX30 Index for the period February 2020 - July 2020. The sampling technique used was purposive sampling. Data collection is done by documenting the required data on the capital market website. The data analysis technique used is the normality test using Jarque Bera and hypothesis testing using the Paired Sample T-Test which is processed using the EViews 12 application. The results of this study indicate that there is no difference in IDX30 stock returns before and after the announcement of the first Covid-19 case in Indonesia. As for stock liquidity and stock price volatility, there are differences before and after the announcement of the Covid-19 case. Keywords: Covid-19, IDX30, stock returns, stock liquidity, stock price volatility.

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