Reaksi Pasar Modal Terhadap Pengumuman Pandemi Covid-19 dan Pengumuman PPKM Level 4 Pada Indeks LQ45
Abstract views: 374
,
pdf downloads: 382
Abstract
T
This study aims to identify and analyze the impact of COVID-19 and the implementation of PPKM level-4 on abnormal returns and stock trading on the LQ-45 with 3 time periods, namely 5, 30 and 60 days before after the announcement. The analytical technique used is a different test independent samples. The results of this study are based on 3 time window periods showing the announcement of covid-19 does not show any difference in abnormal returns. The existence of PPKM level-4 indicates an influence on abnormal returns for all windows. The announcement of the presence of covid has an effect for a period of 30 and 60 days, but for 5 days, it does not affect trading volume activity. PPKM level-4 has no impact on trading volume activity for 30 days but does affect 5 and 60 days. Announcement of the existence of covid-19 without tightening activities does not affect abnormal returns and trading volume, but the fact of activity restrictions through PPKM level-4 affects abnormal returns
Downloads
References
Idris M. (2021) PPKM Level 4 Artinya Apa? Simak Penjelasan Aturannya [Internet]. Kompas.com. https://money.kompas.com/read/2021/07/25/203155026/ppkm-level-4-artinya-apa-simak-penjelasan-aturannya?page=all diakses 1 Maret 2022
Irmayani, N. W. D. (2021). Dampak Pandemic Covid 19 Terhadap Reaksi Pasar Pada Sektor consumer goods industry Di Bursa Efek Indonesia. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 9(12), 1127-1240. DOI: https://doi.org/10.24843 /EEB.2020.v09.i12.p05
Spence M. Editorial: Aktuell diskutiert. Q J Econ [Internet]. Available from: http://links.jstor.org/sici?sici=0033-5533%28197308%2987%3A3%3C355%3AJMS%3E2.0.CO%3B2-3.1973;87(3):355–274 DOI https://doi.org/10.2307/1882010
Kodriyah, K., Kurnia, D., & Octaviani, S. (2021). Nilai Perusahaan: Dapatkah Dipengaruhi Oleh Kebijakan Deviden, CSR, Struktur Modal dan Profitabilitas?. Accounthink: Journal of Accounting and Finance, 6 (02). DOI: https://doi.org/10.35706/acc.v6i02
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39.
Dolley, J. C. (1933). Characteristics and procedure of common stock split-ups. Harvard business review, 11(3), 316-326.
Bowman, R. G. (1983). Understanding and conducting event studies. Journal of Business Finance & Accounting, 10(4), 561-584. DOI https://doi.org/10.1111/j.1468-5957.1983.tb00453.x
Hartono, J. (2018). Studi Peristiwa: Menguji Reaksi Pasar Modal Akibat Suatu Peristiwa. Yogyakarta: BPFE.
Jogiyanto, H. (2017). Teori portofolio dan analisis investasi (edisi Kesebelas). Yogyakarta: BPFE-Yogyakarta.
Kusnandar, D. L., & Bintari, V. I. (2020). Perbandingan Abnormal Return Saham Sebelum dan Sesudah Perubahan Waktu Perdagangan Selama Pandemi Covid-19. Jurnal Pasar Modal dan Bisnis, 2(2), 195-202. DOI: https://doi.org/10.37194/jpmb.v2i2.49
Suganda, T. R. (2018). Teori dan Pembahasan Reaksi Pasar Modal Indonesia. Puntadewa.
Nurmasari, I. (2020). Dampak covid-19 terhadap perubahan harga saham dan volume transaksi (Studi kasus pada PT. Ramayana Lestari Sentosa, Tbk.). Jurnal SEKURITAS (Saham, Ekonomi, Keuangan Dan Investasi), 3(3), 230-236. DOI: http://dx.doi.org/10.32493/skt.v3i3.5022
Sagara, A. B., Damayanti, F. F., Pramesti, N., Mawarni, R., Simanjuntak, L. N. S., & Rachman, Y. T. (2021). Analysis Of Stock Prices Movement of Pharmaceutical Companies Listed on The Indonesian Stock Exchange Before and During a Pandemic (2019-2020). Review of International Geographical Education Online, 11(5), 3150-3165.
Permatasari, M. D., Meilawati, S., Bukhori, A., & Luckieta, M. (2021). Analisis Perbandingan Harga Saham Dan Volume Perdagangan Sebelum Dan Selama Pandemi Covid-19. Jurnal Akuntansi Bisnis Pelita Bangsa, 6(02), 99-116. DOI: https://doi.org/10.37366/akubis.v6i02
Kusumawati, S., & Wahidahwati, W. (2021). Dampak Diumumkannya Kasus Covid-19 Serta Kebijakan New Normal Terhadap Perubahan Harga Dan Volume Perdagangan Saham. Jurnal Ilmu Dan Riset Akuntansi (JIRA), 10(2).
Febriyanti, G. A. (2020). Dampak pandemi Covid-19 terhadap harga saham dan aktivitas volume perdagangan (Studi kasus saham LQ-45 di Bursa Efek Indonesia). Indonesia Accounting Journal, 2(2), 204-214. DOI: https://doi.org/10.32400/iaj.30579
Wicaksono, C. A., & Adyaksana, R. I. (2020). Analisis Reaksi Investor Sebagai Dampak Covid-19 Pada Sektor Perbankan di Indonesia. JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi), 6(2), 129-138. DOI: https://doi.org/10.34204/jiafe.v6i2.2227
Alifah, F. N., & Yunita, I. (2021). Capital Market Reaction to The Announcement of COVID-19 Vaccine Clinical Test by PT. Bio Farma Indonesia: Case Study of Pharmaceutical Sub-Sector Listed on The IDX 2020. International Journal of Advanced Research in Economics and Finance, 3(1), 39-47.
Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The outbreak of COVID-19 and stock market responses: An event study and panel data analysis for G-20 countries. Global Business Review, 0972150920957274. DOI: https://doi.org/10.1177%2F0972150920957274
Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H., & Jahanger, A. (2020). The impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. The Journal of Asian Finance, Economics, and Business, 7(7), 463-474. DOI: https://doi.org/10.13106/jafeb.2020.vol7.no7.463
Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 2800. DOI: https://doi.org/10.3390/ijerph17082800
Alzyadat, J. A., & Asfoura, E. (2021). The Effect of COVID-19 Pandemic on Stock Market: An Empirical Study in Saudi Arabia. The Journal of Asian Finance, Economics and Business, 8(5), 913-921. DOI: https://doi.org/10.13106/jafeb.2021.vol8.no5.0913
Camba, A. L., & Camba Jr, A. C. (2020). The effect of Covid-19 pandemic on the Philippine stock Exchange, Peso-Dollar rate and retail price of diesel. The Journal of Asian Finance, Economics, and Business, 7(10), 543-553. DOI: https://doi.org/10.13106/jafeb.2020.vol7.no10.543
TU, T. H. L., & HOANG, T. M. (2021). The Impact of COVID-19 on individual industry sectors: Evidence from Vietnam stock exchange. The Journal of Asian Finance, Economics and Business, 8(7), 91-101.
Phuong, L. C. M. (2021). The impact of COVID-19 on stock price: An application of event study method in Vietnam. The Journal of Asian Finance, Economics and Business, 8(5), 523-531. DOI: https://doi.org/10.13106/jafeb.2021.vol8.no5.0523
Gamal, A. A. M., Al-Qadasi, A. A., Noor, M. A. M., Rambeli, N., & Viswanathan, K. K. (2021). The Impact of COVID-19 on the Malaysian Stock Market: Evidence from an Autoregressive Distributed Lag Bound Testing Approach. The Journal of Asian Finance, Economics and Business, 8(7), 1-9. DOI: https://doi.org/10.13106/jafeb.2021.vol8.no7.0001
Vierlboeck, M., & Nilchiani, R. R. (2021). Effects of COVID-19 Vaccine Developments and Rollout on the Capital Market--A Case Study. arXiv preprint arXiv:2105.12267.
Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock market response during COVID-19 lockdown period in India: An event study. The Journal of Asian Finance, Economics, and Business, 7(7), 131-137. DOI: https://doi.org/10.13106/jafeb.2020.vol7.no7.131
Pangumpia, A. W., Murni, S., & Tulung, J. E. (2021). Reaksi Pasar Modal Terhadap Peristiwa Jatuhnya Pesawat Sriwijaya Air Sj 182 Pada 09 Januari 2021 (Studi Kasus Pada Perusahaan Sub Sektor Transportasi Yang Terdaftar Pada Bursa Efek Indonesia). Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis dan Akuntansi, 9(4), 368-375. DOI: https://doi.org/10.35794/emba.v9i4.36280
Copyright (c) 2022 Aliya Ningsih, Abdul Basyith, Randy Hidayat
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
