Analisis Komparasi Abnormal Return, Trading Volume Activity Dan Security Return Variability Sebelum Dan Sesudah Pengumuman Pandemi Covid-19 Pada Pasar Saham Indonesia. Studi Kasus: Indeks Saham LQ45

Menyebarnya virus covid-19 ke seluruh penjuru dunia menyebabkan ketidakstabilan pasar saham dunia, khususnya di Indonesia. Adanya pandemi menyebabkan investor harus membuat respon cepat dengan membuat keputusan berinvestasi yang tepat untuk meminimalisir kerugian. Penelitian ini menggunakan event study yang berfokus pada reaksi pasar saham Indonesia yang diukur dengan melihat abnormal return, trading volume activity dan security return variability. Studi kasus yang digunakan adalah indeks saham LQ45. Waktu yang digunakan terdiri atas t-5 dan t+5 di ketiga pengumuman. Pengumuman pertama terjadi pada kisaran November 2020-Januari 2021, pengumuman kedua pada rentang Mei 2021-Juli 2021 serta pengumuman ketiga terjadi pada Desember 2021-Februari 2022. Jumlah sampel yang digunakan sebanyak 38 perusahaan dengan pengambilan data sekunder pada Bursa Efek Indonesia, Yahoo Finance serta jurnal-jurnal terkait. Analisis data yang digunakan adalah paired sample t-test dan wilcoxon signed rank test. Hasil penelitian menunjukkan bahwa: (1) pada gelombang pertama tidak terdapat perbedaan rata-rata abnormal return dan trading volume activity pada pasar saham Indonesia sebelum dan sesudah pengumuman covid-19 sedangkan rata-rata security return variability memiliki perbedaan sebelum dan sesudah pengumuman. (2) pada gelombang kedua tidak terdapat perbedaan rata-rata abnormal return dan trading volume activity pada pasar saham Indonesia sebelum dan sesudah pengumuman covid-19 sedangkan rata-rata security return variability memiliki perbedaan sebelum dan sesudah pengumuman. (3) pada gelombang ketiga tidak terdapat perbedaan rata-rata abnormal return, trading volume activity dan security return variability pada pasar saham Indonesia sebelum dan sesudah pengumuman covid-19 ================================================================================================================================ The spread of the COVID-19 virus to all corners of the world has caused instability in the world stock market, especially in Indonesia. The existence of a pandemic causes investors to have to make a quick response by making the right investment decisions to minimize losses. This research uses an event study that focuses on the reaction of the Indonesian stock market which is measured by looking at abnormal returns, trading volume activity and security return variability. The case study used is the LQ45 stock index. The time used consists of t-5 and t+5 in the three announcements. The first announcement occurred in the range of November 2020-January 2021, the second announcement in the range of May 2021-July 2021 and the third announcement occurred in December 2021-February 2022. The number of samples used was 38 companies with secondary data collection on the Indonesia Stock Exchange, Yahoo Finance and related journals. Data analysis used was paired sample t-test and Wilcoxon signed rank test. The results of the study show that: (1) in the first wave there is no difference in the average abnormal return and trading volume activity on the Indonesian stock market before and after the announcement of COVID-19, while the average security return variability has differences before and after the announcement. (2) in the second wave there is no difference in the average abnormal return and trading volume activity in the Indonesian stock market before and after the announcement of covid-19, while the average security return variability has differences before and after the announcement. (3) in the third wave there is no difference in the average abnormal return, trading volume activity and security return variability in the Indonesian stock market before and after the announcement of covid-