Analisis Reaksi Emiten Yang Terdaftar Di Bursa Efek Indonesia Terhadap Dampak Covid-19
DOI:
10.33395/owner.v8i1.1644Keywords:
Abnormal Return, Trading Volume Activity, Announcement of the first Covid-19 case in Indonesia, Micro-Scale PPKM, Emergency PPKMAbstract
The purpose of this study was to find out and analyze differences in Abnormal Return & Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia, Micro-Scale Lockdown and Emergency Lockdown in companies listed on the Indonesia Stock Exchange for the 2020-2021 period. The type of research used is case study research (Event Study). The samples were 48 companies listed in Healthcare, Technology, Transportation & Logistics sectors listed on the Indonesia Stock Exchange for the period 2020-2021, taken by using a purposive sampling technique. The analysis technique used is the Wilcoxon Signed Rank Test. The results showed there was no significant difference in abnormal returns on the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM, and Emergency PPKM in the Healthcare, Technology, Transportation & Logistics sector. There is a significant difference in Trading Volume Activity on the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM but there is no significant difference in Trading Volume Activity before and after Emergency PPKM in the Healthcare sector. There is a significant difference in Trading Volume Activity on Micro-Scale PPKM but there is no significant difference in Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia and Emergency PPKM in the Technology sector. There is no significant difference in Trading Volume Activity on the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM, and Emergency PPKM in the Transportation & Logistics sector.
Downloads
Plum-X Analityc
References
Alam, M. M., Wei, H., & Wahid, A. N. M. (2020). COVID-19 outbreak and sectoral performance of the Australian stock market: An event study analysis. Australian Economic Papers, November, 1–14. https://doi.org/10.1111/1467-8454.12215
Ang, Robbert, 1997, Pasar Modal Indonesia (The Intelligent Guide to Indonesian Capital Market), Mediasoft Indonesia, Jakarta.
Azis, M., Mintarti, S., & Nadir, M. 2015. Manajemen Investasi Fundamental, Teknikal, Perilaku Investor dan Return Saham, (Edisi Kesatu). Yogyakarta: Deepublish.
Bursa Efek Indonesia. 2021. Retrieved from: http://www.idx.co.id
Daily Composite Stock Price & Stock Trading Activity February 2021. (2021). February, 2021.
Daily Composite Stock Price & Stock Trading Activity July 2021. (2021). July, 2021.
Daily Composite Stock Price & Stock Trading Activity March 2020. (2020). March, 2021.
Darmadji, T., & Fakhrudin, H. M. 2011. Pasar Modal Indonesia. Jakarta: Salemba Empat.
Devi, Y. V., & Setya Putra, I. (2020). Reaksi Pasar Terhadap Pengumuman Dividen Perusahaan Yang Termasuk Dalam IDX High Dividend 20 Periode 2019. Jurnal Penelitian Teori & Terapan Akuntansi (PETA), 5(2), 79–95. https://doi.org/10.51289/peta.v5i2.446
Cao Mai PHUONG, L. (2021). The Impact of COVID-19 on Stock Price: An Application of Event Study Method in Vietnam. Journal of Asian Finance, 8(5), 523–0531. https://doi.org/10.13106/jafeb.2021.vol8.no5.0523
Efek diumumkannya kasus pertama Covid-19 terhadap harga saham dan total saham yang diperdagangkan. (2020). Jurnal Akuntansi Keuangan Dan Manajemen, 1(3), 227–238. https://doi.org/10.35912/jakman.v1i3.38
Fama, Eugene, 1970, Efficient Capital Markets – A review of theory and empirical work, Journal of Finance Vol. 25, No. 2.
Fatmariani (2022). Analisis Reaksi Pasar Modal Terhadap Pengumuman Kebijakan PPKM Darurat Pada Indeks Saham LQ-45 di Bursa Efek Indonesia.
Gumanti, T. A., & Utami, E. S. (2002). Bentuk Pasar Efisiensi Dan Pengujiannya. Jurnal Akuntansi Dan Keuangan, 4, 54–68.
Handini, S., & Astawinetu, E. D. 2020. Teori Portofolio dan Pasar Modal Indonesia. Surabaya: Scopindo Media Pustaka.
Hartono, Jogiyanto. 2016. Teori Portofolio dan Analisis Investasi. Edisi Kesepuluh.Yogyakarta
Hindayani, N. (2020). Analisis Reaksi Pasar Saham Atas Peristiwa Covid-19 Di Indonesia. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi, 4(3), 1645–1661. http://journal.stiemb.ac.id/index.php/mea/article/view/647
Ibrahim, Mohammad, & Mohammed. (2020). The Impact of COVID-19 Pandemic on Global Stock Markets: An Event Study. International Journal of Economics and Business Administration, VIII (Issue 4), 505–514. https://doi.org/10.35808/ijeba/602
Indriantoro, Nur and Bambang Supomo. 2014. Metodologi Penelitian Bisnis Untuk Akuntansi & Manajemen. Edisi 1. Cetakan ke-12. Yogyakarta: BPFE.
Kementrian Kesehatan Republik Indonesia. 2020. Retrieved from: https://www.kemkes.go.id
Kusumawati, S. (2021). Analisis Dampak Diumumkannya Kasus Pertama Covid-19 Serta Kebijakan. Around The World. Journal of Finance 54, 471-518.
Lin, S., Kantor, R., & Clark, E. (2021). Coronavirus Disease 2019. In Clinics in Geriatric Medicine (Vol. 37, Issue 4). https://doi.org/10.1016/j.cger.2021.05.001
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 1–19. https://doi.org/10.3390/ijerph17082800
Mittal, S., & Sharma, D. (2021). The impact of COVID-19 on stock returns of the Indian healthcare and pharmaceutical sector. Australasian Accounting, Business and Finance Journal, 15(1 Special Issue), 5–21. https://doi.org/10.14453/aabfj.v15i1.2
Muthaharia, S. A., & Yunita, I. (2021). Analysis of Abnormal Return and Trading Volume Activity Difference Before and After the Announcement of New Normal Implementation by President Joko Widodo: Study on LQ 45 in the Indonesia Stock Exchange. 3(1), 14–20.daf
Panyagometh, K. (2020). The Effects of Pandemic Event on the Stock Exchange of Thailand. Economies, 8(4), 90. https://doi.org/10.3390/economies8040090
Phuong, L. C. M. (2021). How COVID-19 impacts Vietnam’s banking stocks: An event study method. Banks and Bank Systems, 16(1), 92–102. https://doi.org/10.21511/bbs.16(1).2021.09
Putri, D. N., Sadalia, I., & Irawati, N. (2020). Analysis of LQ45 Stock Market Index Reaction on Presidential Election 2019. International Journal of Research and Review (Ijrrjournal.Com), 7(March), 3.
Sahputra, A., . L., Dharma, F., & Amelia, Y. (2022). Analisis Perbandingan Abnormal Return Dan Trading Volume Activity Sebelum Dan Sesudah Diumumkannya Kasus Pertama Covid-19. Jurnal Akuntansi Bisnis, 15(1), 29–40. https://doi.org/10.30813/jab.v15i1.2796
Sambuari, I. B., Saerang, I. S., & Maramis, J. B. (2020). Reaksi Pasar Modal Terhadap Peristiwa Virus Corona (Covid-19) Pada Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia. JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis Dan Inovasi Universitas Sam Ratulangi)., 7(2), 407–415. https://doi.org/10.35794/jmbi.v7i3.30668
Sugiyono, 2011. Metode Penelitian Kuantitaif Kualitatif dan R & B, Bandung: Alfabeta.
Tandelilin, Eduardus. 2010. Portofolio dan Investasi: Teori dan Aplikasi. Edisi 1. Kanisius. Yogyakarta.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 Alwi Ihsan Nababan, Nisrul Irawati, Chairul Muluk

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.