ANALISIS REAKSI PASAR SAHAM SEBELUM DAN SAAT PANDEMI COVID-19 PADA CONSUMER GOODS INDUSTRY LISTING DI BEI PERIODE 2018-2021 --Ed. 1

ANALISIS REAKSI PASAR SAHAM SEBELUM DAN SAAT PANDEMI COVID-19 PADA CONSUMER GOODS INDUSTRY LISTING DI BEI PERIODE 2018-2021

Nama Mahasiswa : Afaf Azizah Riani
NIM : 18 651 012
Dosen Pembimbing : 1. Dr. H. Sabri Nurdin, S.E., M.M.
2. Achmad Rudzali, S.Si., M.Si.

ABSTRAK
Penelitian ini bertujuan untuk mengindentifikasi, menguji dan mengetahui reaksi pasar saham yang dilihat dari pergerakan abnormal return, security return variability, dan trade volume activity sebelum dan saat pandemi COVID-19 pada sektor Consumer Goods Industry yang terdaftar di Bursa Efek Indonesia. Data sekunder yang digunakan dalam penelitian ini yaitu data harga penutupan saham dan volume perdagangan saham perusahaan sektor Consumer Goods Industry yang terdaftar di bursa efek indonesia sebelum dan saat pandemi COVID-19 . Metode pengambilan sample dalam penelitian ini adalah purposive sampling dengan sampel sebanyak 39 perusahaan Consumer Goods Industry. Analisis statistik yang digunakan dalam penelitian ini adalah analisis statistika deskriptif, uji asumsi klasik dengan uji normalitas, dan uji hipotesis menggunakan uji beda yaitu uji paired sample t-test dan uji wilcoxon signed rank test. Penelitian ini menunjukkan hasil tidak terdapat perbedaan abnormal return dan security return variability sedangkan untuk trading volume activity menunjukkan hasil adanya perbedaan 21 bulan sebelum dan 21 bulan sesudah pandemi COVID-19 di Indonesia pada tanggal 2 Maret 2020.

Kata Kunci : Abnormal return, security return variability, trade volume activity dan pandemi COVID-19
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ANALISIS REAKSI PASAR SAHAM SEBELUM DAN SAAT PANDEMI COVID-19 PADA CONSUMER GOODS INDUSTRY LISTING DI BEI PERIODE 2018-2021

Name of Student : Afaf Azizah Riani
Student ID Number : 18 651 012
Examiner : 1. Dr. H. Sabri Nurdin, S.E., M.M
2. Achmad Rudzali, S.Si., M.Si

ABSTRACT
This study aims to identify, test and determine the stock market reaction as seen from the movement of abnormal returns, security return variability, and trade volume activity before and during the COVID-19 pandemic in the Consumer Goods Industry sector listed on the Indonesia Stock Exchange. The secondary data used in this study are data on closing prices and trading volumes of shares of the Consumer Goods Industry sector companies listed on the Indonesian stock exchange before and during the COVID-19 pandemic. The sampling method in this research is purposive sampling with a sample of 39 companies Consumer Goods Industry. Statistical analysis used in this study is descriptive statistical analysis, classical assumption test with normality test, and hypothesis testing using different tests, namely paired sample t-test and Wilcoxon signed rank test. This study shows that there are no differences in abnormal returns and security return variability, while for trading volume activity, the results show that there are differences 21 months before and 21 months after the COVID-19 pandemic in Indonesia on March 2, 2020.

Keyword : Abnormal return, security return variability, trade volume activity and pandemi COVID-19