Analisis Reaksi Pasar atas Pengumuman Covid-19 di Indonesia pada Perusahaan LQ45 yang Terdaftar di Bursa Efek Indonesia

Aldrian, Vanesa (2022) Analisis Reaksi Pasar atas Pengumuman Covid-19 di Indonesia pada Perusahaan LQ45 yang Terdaftar di Bursa Efek Indonesia. Undergraduate thesis, Universitas Katolik Musi Charitas Palembang.

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Abstract

This study aims to analyze the market reaction to the announcement of covid-19 in Indonesia. The observed market reactions are differences in abnormal return, trading volume activity, and security return variability before and after the announcement to LQ45 companies listed on the Indonesia Stock Exchange. The research is conducted using the event study method with a window period of 15 days, namely 7 days before, 1 day during, and 7 days after. The research data used is secondary data in the form of stock price data (closed price), LQ45 index, number of outstanding shares and number of shares traded. The population of this research is LQ45 company which consists of 45 companies and the sample collection used is purposive sampling, namely companies registered in February-July 2020 and all companies fulfill the sample criterias. The hypotheses are tested by paired sample t-test and the wilcoxon signed rank test. The results of this study indicate that there is no difference in abnormal return and security return variability before and after the announcement of covid-19 in Indonesia. However, there is a difference in trading volume activity before and after the announcement of covid-19 in Indonesia. Investors can buy stocks soon because stock prices become cheaper (down). Keywords: Abnormal Return, Security Return Variability, Trading Volume Activity.

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