PENGARUH SENTIMEN INVESTOR DAN MARKET ANOMALY TERHADAP HARGA SAHAM INDEKS LQ-45 PADA MASA PEMILIHAN PRESIDEN RI TAHUN 2019

PRANASARI, DINA (2020) PENGARUH SENTIMEN INVESTOR DAN MARKET ANOMALY TERHADAP HARGA SAHAM INDEKS LQ-45 PADA MASA PEMILIHAN PRESIDEN RI TAHUN 2019. S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to analyze the effect of investor sentiment and market anomaly on the stock price of the LQ-45 index during the 2019 presidential election. The sample used in this study is 45 companies listed in the LQ-45 index for the period February - July 2019. Sampling method using purposive sampling. The data collection method uses archival data. Methods of data analysis using the Paired T Test. This study proves that investor sentiment has a significant effect on stock prices on the LQ-45 index during the 2019 Indonesian presidential election. Market anomaly does not have a significant effect on stock prices on the LQ-45 index during the 2019 Indonesian presidential election. Keywords : Investor Sentiment, Market Anomaly, Stock Price, LQ-45, Efficient Market Hypothesis (EMH), Paired Sample T Test, Indonesian Presidential Election 2019 Penelitian ini bertujuan menganalisis pengaruh sentimen investor dan market anomaly terhadap harga saham indeks LQ-45 pada masa pemilihan presiden RI tahun 2019. Sampel yang digunakan dalam penelitian ini adalah 45 perusahaan yang terdaftar dalam indeks LQ-45 periode Februari – Juli 2019. Metode penarikan sample menggunakan purposive sampling. Metode pengumpulan data menggunakan data arsip. Metode analisis data menggunakan Uji paired t test. Penelitian ini membuktikan bahwa sentiment investor berpengaruh signifikan terhadap harga saham di indeks LQ-45 pada masa pemilihan presiden RI tahun 2019. Market anomaly tidak berpengaruh signifikan terhadap harga saham di indeks LQ-45 pada masa pemilihan presiden RI tahun 2019. Kata Kunci : Sentimen Investor, Market Anomaly, Harga Saham, LQ-45, Hipotesis Pasar Efisien (EMH), Paired Sample T Test, Pemilihan Presiden RI 2019

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