Analysis The Effect Of Indonesia's First Covid-19 Case Announcement On Abnormal Return And Trading Volume Activity

Yanti,, Kristin Dwi and Nur Imamah, Dr. SAB., M.AB., Ph.D (2021) Analysis The Effect Of Indonesia's First Covid-19 Case Announcement On Abnormal Return And Trading Volume Activity. Magister thesis, Universitas Brawijaya.

Abstract

Pandemi Covid-19 adalah suatu keadaan wabah penyakit yang menyebar di wilayah yang luas, antar kota, pulau, negara bahkan seluruh dunia. Karena penularan virus corona yang sangat cepat inilah Organisasi Kesehatan Dunia (WHO) menetapkan virus corona sebagai pandemi pada 11 Maret 2020. Status pandemi atau epidemi global menandakan bahwa penyebaran COVID-19 berlangsung sangat cepat hingga hampir tak ada negara di dunia yang dapat memastikan diri terhindar dari virus corona. Pertama kali Indonesia mengumumkan adanya kasus Covid-19 yang menginfeksi 2 warga negara indonesia yaitu pada tanggal 2 maret 2020. Jokowidodo selaku Presiden Republik Indonesia yang memberikan pengumuman tersebut (CNN Indonesia, 2020). Dampak dari penyebaran virus Covid-19 ini tentu mempengaruhi kehidupan masyarakat, baik secara ekonomi, sosial, dan pangan. Penelitian ini menganalisis dampak dari pengumuman kasus pertama Covid-19 di Indonesia terhadap reaksi indeks yang paling likuid dalam pasar modal Indonesia, yaitu indeks LQ-45. Reaksi yang terjadi tersebut dapat diukur dengan Abnormal Return dan Trading Volume Activity. Penelitian ini menggunakan pendekatan kuantitatif dan menggunakan metode event study. Periode penelitian dalam penelitian ini menggunakan data 11 hari dalam periode pengamatan yaitu 5 hari sebelum, 1 hari saat kejadian dan 5 hari setelah kejadian. Data diperoleh dari situs resmi pasar modal Indonesia yaitu www.idx.co.id. Penelitian ini menggunakan teknik purposive sampling untuk menentukan sampel yang akan diuji. Hasil dari penentuan sampel diperoleh 40 perusahaan yang tidak melakukan aksi korporasi selama periode pengamatan. Pengujian yang digunakan dalam penelitian ini adalah uji beda yang meliputi one sample t-test dan paired sample t-test. Dalam metode event study, hasil dari uji one sample t-test mendapati adanya abnormal return yang signifikan pada t-5, , t-1 dan t0 dan adanya trading volume activity yang significant pada tiap hari pengamatan. Akan tetapi, hasil uji paired sample t-test tidak menemukan adanya perbedaan yang signifikan pada abnormal return dan trading volume activity antara sebelum dan setelah terjadinya pengumumuman kasus pertama Covid-19 di Indonesia.

English Abstract

The Covid-19 pandemic is a disease outbreak that spreads over a wide area, between cities, islands, countries and even the whole world. Due to the very fast transmission of the corona virus, the World Health Organization (WHO) declared the corona virus a pandemic on March 11, 2020. The status of a pandemic or global epidemic indicates that the spread of COVID-19 is taking place so fast that almost no country in the world can ensure that it is spared. of the corona virus. The first time Indonesia announced a Covid-19 case that infected 2 Indonesian citizens, namely on March 2, 2020. Jokowidodo as President of the Republic of Indonesia made the announcement (CNN Indonesia, 2020). The impact of the spread of the Covid-19 virus certainly affects people's lives, both economically, socially and in food. This Research analyze the impact of the announcement of the first Covid- 19 case in Indonesia on the reaction of the most liquid index in the Indonesian capital market, the LQ-45 index. The reactions that occur can be measured by the Abnormal Return and Trading Volume Activity. This research uses a quantitative approach and uses the event study method. The research period in this study used 11 days of data in the observation period, in 5 days before, 1 day at the time in the anouncement and 5 days after the announcement. The data is obtained from the official website of the Indonesian capital market, namely www.idx.co.id. This study uses purposive sampling technique to determine the sample to be test. The results of the determination of the sample obtained 40 companies that did not take corporate action during the observation period. The test used in this research is a different test which includes one sample t-test and paired sample t-test. In the event study method, the results of the one sample t-test found significant abnormal returns at t-5, t-1 and t0 and the existence significant of trading volume activity on each observation day. However, the paired sample t-test results did not find any significant differences in abnormal returns and trading volume activity between before and after the announcement of the first case of Covid-19 in Indonesia

Item Type:	Thesis (Magister)
Identification Number:	0421030005
Uncontrolled Keywords:	Covid-19, Abnormal Return, Trading Volume Activity, Event Study.,Covid-19, Abnormal Return, Trading Volume Activity, Event Study
Subjects:	600 Technology (Applied sciences) > 658 General management
Divisions:	Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga
Depositing User:	Unnamed user with username nova
Date Deposited:	03 Feb 2022 08:19
Last Modified:	03 Oct 2024 02:58
URI:	http://repository.ub.ac.id/id/eprint/189274

	Text KRISTIN DWI YANTI 1.pdf Download (2MB)
	Text KRISTIN DWI YANTI 1.pdf Download (2MB)

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