DAMPAK COVID-19 TERHADAP INDEKS HARGA SAHAM SEKTORAL DI BURSA EFEK INDONESIA

YAFITRI, LAVERISA TIARA DITA (2021) DAMPAK COVID-19 TERHADAP INDEKS HARGA SAHAM SEKTORAL DI BURSA EFEK INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to show empirical evidence whether there are differences in abnormal returns and trading volume activity in sectoral industries both before and after the announcement of the Covid-19 virus in Indonesia. The population in this study are issuers listed in the sectoral index on the IDX with a total of 639 issuers accumulated into 9 sectors consisting of agriculture, mining, basic-industry, misc-industry, consumer goods, property, infrastructure, finance, and trades. The method used in this research is event study. The research period was chosen for 161 days which was divided into two periods, namely an estimated 140-day period and a 21-day window period including 10 days before the event and 10 days after the event, and 1 day was chosen as the event date on March 2, 2020 when the Covid-19 case was announced. 19 first in Indonesia. The data used are secondary data, namely daily closing stock prices and daily stock trading volumes during the study period. The statistical test used to test the hypothesis is the paired sample t-test and the Wilcoxon signed ranks test. The results of statistical tests carried out show that there is no difference in average abnormal returns before and after Covid-19, while there are differences in average trading volume activity, significant average abnormal returns in sectoral industries, which are significant for the basic industry, consumer goods, and trade sectors and average Significant trading volume activity in the sectoral industry, which is significant for the mining, consumer good, property, and finance sectors shows that there are differences before and after the announcement of Covid-19. Keywords: Abnormal Return, Trading Volume Activity, Event Study, Covid-19 Penelitian ini memiliki tujuan untuk memperlihatkan bukti empiris apakah ada perbedaan abnormal return dan trading volume activity pada industri sektoral baik sebelum maupun sesudah pengumuman virus Covid-19 di Indonesia. Populasi dalam penelitian ini ialah emiten-emiten yang tercatat dalam indeks sektoral di BEI dengan total 639 emiten yang diakumulasi ke dalam 9 sektor yang terdiri dari sektor agriculture, minning, basic-industry, misc-industry, consumer goods, property, infrastructure, finance, dan trade. Metode yang digunakan dalam penelitian ini adalah event study. Periode penelitian dipilih selama 161 hari yang dibagi menjadi dua periode, yaitu periode estimasi 140 hari dan periode jendela 21 hari termasuk 10 hari sebelum peristiwa dan 10 hari sesudah peristiwa, serta 1 hari dipilih sebagai event date pada tanggal 02 Maret 2020 saat pengumuman kasus Covid-19 pertama di Indonesia. data yang digunakan adalah data sekunder, yaitu harga saham penutupan harian dan volume perdagangan saham harian selama periode penelitian. Uji statitistik yang digunakan untuk menguji hipotesis adalah uji paired sample t-test dan uji wilcoxon signed ranks. Hasil uji statistik yang dilakukan menunjukkan bahwa tidak terdapat perbedaan average abnormal return sebelum dan sesudah Covid-19, sedangkan terdapat perbedaan average trading volume activity, average abnormal return yang signifikan pada industri sektoral yaitu signifikan untuk sektor basic industry, consumer good, dan trade dan average trading volume activity yang signifikan pada industri sektoral yaitu signifikan untuk sektor mining, consumer good, property, dan finance menunjukkan bahwa terdapat perbedaan sebelum dan sesudah pengumuman Covid-19. Kata Kunci: Abnormal Return, Trading Volume Activity, Studi Peristiwa, Covid-19

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