Reaksi Pasar Modal Terhadap Penetapan Bencana Skala Nasional Wabah COVID-19
Abstract
Abstract
The COVID-19 outbreak in the city of Wuhan, China began at the end of 2019 and spread to several countries in 2020 indicating a state of emergency not only for health but also for the global economy. The purpose of this study is to test whether the official determination of the COVID-19 disaster nationally can affect the capital market in Indonesia. The research method used is quantitative research using an event study approach. Samples were taken from companies listed on the Indonesian Capital Market belonging to the LQ45. The event period for calculating abnormal return and trading volume activity is 7 days (3 days before and 3 days after, including event date), with abnormal return and trading volume activity as a measure of market reaction. The results showed that there were differences in the average abnormal return (AAR) and trading volume activity (ATVA) on the 3 days before and after the determination. This finding shows that the official designation of Covid 19 as a national disaster by the Indonesian government is seen as bad news for capital market players in Indonesia.
Abstrak
Wabah COVID-19 di kota Wuhan, China yang dimulai pada akhir tahun 2019 dan menyebar ke beberapa negara pada tahun 2020 menandakan keadaan darurat tidak hanya bagi kesehatan tetapi juga bagi perekonomian global. Tujuan dari penelitian ini adalah untuk menguji apakah penetapan resmi bencana COVID-19 secara nasional dapat mempengaruhi pasar modal di Indonesia. Metode penelitian yang digunakan adalah penelitian kuantitatif dengan menggunakan pendekatan event study. Sampel diambil dari perusahaan yang terdaftar di Pasar Modal Indonesia yang tergabung dalam LQ45. Periode peristiwa untuk menghitung aktivitas abnormal return dan volume perdagangan adalah 7 hari (3 hari sebelum dan 3 hari setelah, termasuk tanggal peristiwa), dengan aktivitas abnormal return dan volume perdagangan sebagai ukuran reaksi pasar. Hasil penelitian menunjukkan bahwa terdapat perbedaan rata-rata abnormal return (AAR) dan trading volume activity (ATVA) pada 3 hari sebelum dan sesudah penetapan. Temuan ini menunjukkan bahwa penetapan resmi Covid 19 sebagai bencana nasional oleh pemerintah Indonesia dipandang sebagai kabar buruk bagi pelaku pasar modal di Indonesia.
Keywords
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DOI: https://doi.org/10.24167/jab.v20i1.4292
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