Syah, Aribah Sofia and Setyo Tri Wahyudi,, SE., M.Ec. Ph.D. (2023) Reaksi Pasar Saham Indonesia: Event Study Sepanjang Pandemi Covid-19 Indonesia (Studi Kasus Perusahaan Sektor Konsumsi Bursa Efek Indonesia). Sarjana thesis, Universitas Brawijaya.
Abstract
Tujuan dari penelitian ini adalah mengetahui Abnormal Return sekitar tanggal peristiwa sabagai bentuk reaksi pasar saham Indonesia terhadap peristiwa sepanjang pandemi yakni pengumuman perdana Covid-19, Pembatasan Sosial Berskala Besar (PSBB), dan New Normal. Model yang digunakan untuk menghitung Expected Return pada peneitian ini ialah Market Adjusted Model. Periode estimasi yang digunakan dalam penelitian ini 5 hari sebelum pengumuman, saat pengumuman, dan 5 hari sesudah pengumuman. Sample yang digunakan berjumlah 45 perusahaan pada sektor konsumsi yang terdaftar di Bursa Efek Indonesia (BEI). Metode penelitian menggunakan ANOVA. Hasil penelitian menunjukkan bahwasannya terdapat perbedaan yang signifikan pada Abnormal Returnsebagai bentuk adanya reaksi pasar saham Indonesia sebelum, saat, dan setelah pengumuman peristiwa Covid-19 dan New Normal. Sementara pada peristiwa PSBB tidak terdapat perbedaan signifikan Abnormal Returnsebelum, saat, dan sesudah pengumuman peristiwa.
English Abstract
The research has purpose to determine Abnormal Returns around the event date as a form of the Indonesian stock market to events during the pandemic, there is first announce of Covid-19, Pembatasan Sosial Berskala Besar (PSBB), and New Normal. Expected return is calculated using the market-adjusted model. The estimation periode used in this study is 5 days before the announcement, at time of the announcement, and 5 days after the announcement. The sample used was 45 companies in the consumption sector which are listed on the Indonesia Stock Exchange (IDX). This research method uses ANOVA. The results of the study found that there were significant differences in Abnormal Returns before, during, and after the announcement of the Covid-19 and New Normal events. Meanwhile, during the PSBB event there are no significant differences in Abnormal Returnbefore, during, and after the announcement of that event.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | :0523020125 |
| Uncontrolled Keywords: | Event Study, Abnormal Return, Pandemi Covid-19, PSBB, New Normal |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Fakultas Ekonomi dan Bisnis > Ilmu Ekonomi |
| Depositing User: | Unnamed user with username nova |
| Date Deposited: | 15 Nov 2023 06:14 |
| Last Modified: | 15 Nov 2023 06:14 |
| URI: | http://repository.ub.ac.id/id/eprint/204602 |
![[thumbnail of DALAM MASA EMBAGO]](http://repository.ub.ac.id/style/images/fileicons/text.png) |
Text (DALAM MASA EMBAGO)
Aribah Sofia Syah.pdf Restricted to Registered users only until 31 December 2025. Download (2MB) |
Actions (login required)
 |
View Item |