ANALISIS PERUBAHAN ABNORMAL RETURN DAN LIKUIDITAS SAHAM SEBELUM DAN SESUDAH PENGUMUMAN KASUS PERTAMA COVID-19 DI INDONESIA (Event Study Indeks LQ-45 di Bursa Efek Indonesia)

• Main Author: Ferry Julian, - (Author)
• Format: Book
• Published: 2021-08-25.
• Subjects: Thesis; NonPeerReviewed
• Online Access: Link Metadata
• Notes: http://repository.upi.edu/67416/1/S_PEM_1707870_Title.pdf; http://repository.upi.edu/67416/2/S_PEM_1707870_Chapter1.pdf; http://repository.upi.edu/67416/3/S_PEM_1707870_Chapter2.pdf; http://repository.upi.edu/67416/4/S_PEM_1707870_Chapter3.pdf; http://repository.upi.edu/67416/5/S_PEM_1707870_Chapter4.pdf; http://repository.upi.edu/67416/6/S_PEM_1707870_Chapter5.pdf; http://repository.upi.edu/67416/7/S_PEM_1707870_Appendix.pdf
• Keywords: HD28 Management. Industrial Management; L Education (General)

Tujuan dari penelitian ini untuk mengetahui bagaimana gambaran abnormal return dan likuiditas saham sebelum dan sesudah event pengumuman kasus pertama Covid-19 di Indonesia dan untuk mengetahui apakah terdapat perbedaan abnormal return dan likuiditas saham sebelum dan sesudah event pengumuman kasus pertama Covid-19 di Indonesia. Penelitian pada likuiditas saham menggunakan trading volume activity dan abnormal return menggunakan market-adjusted model. Metode penelitian yang digunakan adalah deskriptif dan verifikatif. Data yang digunakan dalam penelitian ini adalah data sekunder yang bersumber dari data Bursa Efek Indonesia. Populasi penelitian ini berjumlah 45 perusahaan yang berada pada indeks LQ-45 dan sampel yang digunakan berjumlah 45 perusahaan yang dipilih menggunakan purposive sampling. Penelitian ini menggunakan teknis analisis data dengan statistik deskriptif dan uji hipotesis. Uji hipotesis yang digunakan adalah uji Wilcoxon Signed Rank Test, hasil uji hipotesis menunjukkan bahwa terdapat perbedaan yang signifikan pada abnormal return sebelum dan sesudah event pengumuman kasus pertama Covid-19 di Indonesia, dan begitupun pada likuiditas saham menunjukkan hasil perbedaan yang signifikan pada trade volume activity sebelum dan sesudah event pengumuman kasus pertama Covid-19 di Indonesia. Kata kunci: Covid-19, Studi Peristiwa, Abnormal Return, Likuiditas Saham, Trading Volume Activity. The purpose of this study is to find out how the abnormal returns and stock liquidity describe before and after the Announcement of the First Case of Covid-19 in Indonesia and to find out whether there are differences in abnormal returns and stock liquidity before and after the Announcement of the First Case of Covid-19 in Indonesia. Research on stock liquidity uses trading volume activity and abnormal returns using a market-adjusted model. The research method used is descriptive and verification. The data used in this study is secondary data sourced from the Indonesia Stock Exchange data. The population of this study amounted to 45 companies that are on the LQ-45 index and the sample used was 45 companies which were selected using purposive sampling. This study uses technical data analysis with descriptive statistics and hypothesis testing. The hypothesis test used is the Wilcoxon Signed Rank Test, the results of the hypothesis test show that there is a significant difference in abnormal returns before and after the Announcement of the First Case of Covid-19 in Indonesia, and similarly stock liquidity also shows significant difference in trade volume activity before and after the Announcement of the First Case of Covid-19 in Indonesia. Keywords: Covid-19, Event Study, Abnormal Return, Stock Liquidity, Trading Volume Activity.