Analisis Perbedaan Harga Saham, Volume Perdagangan, Dan Volatilitas Return Pada Saham Sektor Consumer Goods Yang Terdaftar Di BEI Sebelum dan Sesudah Perubahan Kebijakan Auto Rejection

Yusran, Cynthia (2022) Analisis Perbedaan Harga Saham, Volume Perdagangan, Dan Volatilitas Return Pada Saham Sektor Consumer Goods Yang Terdaftar Di BEI Sebelum dan Sesudah Perubahan Kebijakan Auto Rejection. Undergraduate thesis, Universitas Katolik Musi Charitas Palembang.

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Abstract

This study is categorized as an event study with observation period 5 day stocks day before and 5 day stocks day after auto rejection policy change event issued by IDX on March 13, 2020. The purpose of this study is to find out the amount of Indonesia capital market reaction toward auto rejection policy change event with stock price, trading volume activity and stock return volatility as the indicators. The data used in this study are secondary data with a population consumer goods industry listed on Indonesia Stock Exchange. The sampling technique used is purposive sampling method and obtained 41 companies due to the criteria, with 53 total of samples. The result of this study showed that the stock price and stock volatility return variables have a significant difference before and after the auto rejection policy change, while the trading volume activity variable does not have a significant difference. Key words: Event Study, Auto Rejection, Stock Price, Trading Volume, Stock Return Volatility

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