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Reaksi Pasar Modal dalam Menyikapi Pengumuman Kasus Covid-19 Perdana di Indonesia
Author(s) -
Ignatius Lysander,
Yanuar Yanuar
Publication year - 2022
Publication title -
jurnal manajemen bisnis dan kewirausahaan
Language(s) - English
Resource type - Journals
ISSN - 2598-0289
DOI - 10.24912/jmbk.v6i1.16356
Subject(s) - humanities , indonesian , political science , business , philosophy , linguistics
This study intends to determine the significance of the Indonesian Capital Market reaction, through average abnormal returns and average trading volume activity in responding to the announcement of the Indonesia Covid-19 first case on March 2, 2020. This research is limited to 45 companies of LQ-45 stock index constituents which are listed on the Indonesia Stock Exchange during the 21 days of the window period. This study reveals an interesting finding that in an increasingly uncertain situation, investors' decisions are mainly based on existing information, and perceptions of that information also vary. The research also found that average trading volume activity does not always differ significantly after the occurrence of an event. The results of this study are authentic in the analyzed event related to the Covid-19 pandemic in the context of the Indonesian Capital Market. Penelitian ini hendak menguji signifikansi reaksi pasar modal Indonesia, melalui tingkat pengembalian abnormal rata-rata dan aktivitas volume perdagangan rata-rata dalam menyikapi pengumuman kasus Covid-19 perdana di Indonesia pada tanggal 2 Maret 2020. Penelitian ini dibatasi hanya pada 45 emiten konstituen indeks saham LQ-45 yang tercatat di Bursa Efek Indonesia selama 21 hari periode penelitian. Penelitian mengungkap temuan yang menarik, bahwa dalam situasi yang semakin tidak pasti, keputusan investor sangat ditentukan berdasarkan informasi yang sudah ada dan persepsi terhadap informasi tersebut juga beragam. Penelitian juga menemukan bahwa perbedaan aktivitas volume perdagangan rata-rata tidak selalu signifikan pasca terjadinya suatu peristiwa. Hasil penelitian ini otentik dalam peristiwa yang dianalisis bertalian dengan pandemi Covid-19 dalam konteks pasar modal Indonesia.

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