Reaksi Pasar Perusahaan LQ 45 pada Masa Pandemi COVID-19 di Bursa Efek Indonesia
Abstract
The stock market usually reacts to an event both economic and non-economic events such as the COVID-19 pandemic. The aim of the study is to test whether there is a market reaction to key events during the COVID-19 pandemic. The research was conducted on LQ45 companies, which are companies that have the largest market capitalization and are the most liquid companies on the Indonesia Stock Exchange. The analysis technique used is one sample t-test. The test is carried out by analyzing whether there are abnormal returns after important events during the COVID-19 pandemic. Based on the research results, it is known that investors responded negatively to the announcement of the first COVID-19 patient in Indonesia and the announcement of large-scale social restrictions (PSBB) but did not respond to the announcement of the new normal era. The positive market response was shown at the start of the COVID-19 vaccination program.
Keywords: COVID-19; Abnormal Return; LQ45
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References
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Xue, Q. C., & Ouellette, L. L. (2020). Innovation policy and the market for vaccines. Journal of Law and the Biosciences, 7(1). https://doi.org/10.1093/jlb/lsaa026
Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The unprecedented stock market reaction to COVID-19. In Review of Asset Pricing Studies (Vol. 10, Issue 4). https://doi.org/10.1093/rapstu/raaa008
Bash, A. (2020). International Evidence of COVID-19 and Stock Market Returns: An Event Study Analysis. International Journal of Economics and Financial Issues, 10(4). https://doi.org/10.32479/ijefi.9941
Burdekin, R. C. K., & Harrison, S. (2021). Relative Stock Market Performance during the Coronavirus Pandemic: Virus vs. Policy Effects in 80 Countries. Journal of Risk and Financial Management, 14(4). https://doi.org/10.3390/jrfm14040177
Cox, J. D. L. G. S. C. L. (2020). What Explains The COVID-19 Stock Market. NBER Working Paper Series, 53(9).
Dewi, C. K., & Masithoh, R. (2020). JKSE and Trading Activities Before After Covid-19 Outbreak. Journal of Accounting and Business Management, 4(1).
Febriyanto, F. (2019). Korelasi Pasar Modal Negara ASEAN-5 Di Era Masyarakat Ekonomi Asean Terhadap Peluang Diversifikasi Investasi Internasional. Fidusia: Jurnal Keuangan dan Perbankan, 2(1). https://doi.org/10.24127/jf.v2i1.361
Hartono, H. (2021). Covid-19 Vaccine: Global Stock Market “Game Changer.” Journal of Asian Multicultural Research for Economy and Management Study, 2(2). https://doi.org/10.47616/jamrems.v2i2.102
Haryanto. (2020). Dampak Covid-19 terhadap Pergerakan Nilai Tukar Rupiah dan Indeks Harga Saham Gabungan (IHSG). Jurnal Perencanaan Pembangunan: The Indonesian Journal of Development Planning, 4(2). https://doi.org/10.36574/jpp.v4i2.114
Isnaini, N. G. (2013). Analisis Risiko Investasi Saham Pada Perusahaan Yang Go Publik Di Jakarta Islamic Index (Jii). Media Ekonomi Dan Manajemen, 28(2).
Jogiyanto. (2007). Metode Penelitian Bisnis: Salah Kaprah dan Pengalaman–Pengalaman. In Akuntansi dan Penelitian.
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). https://doi.org/10.3390/ijerph17082800
Machmuddah, Z., Utomo, S. D., Suhartono, E., Ali, S., & Ghulam, W. A. (2020). Stock market reaction to COVID-19: Evidence in customer goods sector with the implication for open innovation. Journal of Open Innovation: Technology, Market, and Complexity, 6(4). https://doi.org/10.3390/joitmc6040099
Ngwakwe, C. (2020). Effect of COVID-19 Pandemic on Global Stock Market Values: A Differential Analysis. Acta Universitatis Danubius. Œconomica, 16(2).
Onali, E. (2020). COVID-19 and Stock Market Volatility. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3571453
Purba, F., & Handayani, S. (2017). Analisis Perbedaan Reaksi Pasar Sebelum dan Sesudah Peristiwa Non Ekonomi (Studi pada Peristiwa Politik Pilkada DKI Jakarta 2017 Putaran Kedua). Jurnal Administrasi Bisnis S1 Universitas Brawijaya, 51(1).
Rahmayani, D., & Oktavilia, S. (2020). Does the Covid-19 pandemic affect the stock market in Indonesia? Jurnal Ilmu Sosial Dan Ilmu Politik, 24(1). https://doi.org/10.22146/JSP.56432
Rusyida, W. Y., & Pratama, V. Y. (2020). Prediksi Harga Saham Garuda Indonesia di Tengah Pandemi Covid-19 Menggunakan Metode ARIMA. Square : Journal of Mathematics and Mathematics Education, 2(1). https://doi.org/10.21580/square.2020.2.1.5626
Saraswati, N. M. A. W., & Mustanda, I. K. (2018). Reaksi Pasar Modal Indonesia Terhadap Pengumuman Hasil Penghitungan Suara Pemilihan Umum dan Pelantikan Presiden Amerika Serikat. E-Jurnal Manajemen Universitas Udayana, 7(6). https://doi.org/10.24843/ejmunud.2018.v07.i06.p05
Shanaev, S., Shuraeva, A., & Ghimire, B. (2020). The Financial Pandemic: COVID-19 and Policy Interventions on Rational and Irrational Markets. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3589557
Senol, Z & Zeren, F. (2020). Coronavirus (COVID-19) and Stock Markets: The Effects of Pandemic on The Global Economy. Eurasian Journal of Researches in Social and Economics (EJRSE), 7(4), 1–16.
Sihaloho, E. D. (2020). Dampak Covid-19 Terhadap Perekonomian Indonesia Dampak Covid-19 Terhadap Perekonomian Indonesia. ResearchGate, April. https://doi.org/10.13140/RG.2.2.13651.94241/1
Tahu, G. P. (2019). Reaksi Pasar Modal Indonesia Terhadap Pelemahan Rupiah Terhadap Dolar AS (Event Study yang Terdaftar di BEI. Widya Manajemen, 1(1). https://doi.org/https://doi.org/10.32795/widyamanajemen.v1i1.204
Tambunan, D. (2020). Investasi Saham di Masa Pandemi COVID-19. Widya Cipta: Jurnal Sekretari Dan Manajemen, 4(2). https://doi.org/10.31294/widyacipta.v4i2.8564
Trisnowati, Y., & Muditomo, A. (2021). COVID-19 and Stock Market Reaction in Indonesia. Journal of Accounting and Investment, 22(1). https://doi.org/10.18196/jai.v22i1.8859
Xue, Q. C., & Ouellette, L. L. (2020). Innovation policy and the market for vaccines. Journal of Law and the Biosciences, 7(1). https://doi.org/10.1093/jlb/lsaa026
Published
2022-06-26
How to Cite
JAYA KUSUMA, Putu Sri Arta.
Reaksi Pasar Perusahaan LQ 45 pada Masa Pandemi COVID-19 di Bursa Efek Indonesia.
E-Jurnal Akuntansi, [S.l.], v. 32, n. 6, p. 1647-1660, june 2022.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/73869>. Date accessed: 02 nov. 2024.
doi: https://doi.org/10.24843/EJA.2022.v32.i06.p19.
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