Respon Jangka Pendek Pasar Saham Indonesia terhadap Wabah Pandemi COVID-19

Abstract

Respon pasar saham Indonesia terhadap wabah pandemi COVID-19 menggunakan metode event study dengan alat teknikal abnormal return. Penelitian ini bertujuan untuk mengetahui respon pasar saham terhadap COVID-19 yaitu merespon negatif signifikan atau tidak karena banyak di negara lain sahamnya terdampak akibat COVID-19. Metode event study ini di mana telah melakukan pengamatan 12 hari sebelum pengumuman dan 30 hari setelah pengumuman COVID-19. Hasil data menunjukkan data tidak berpengaruh signifikan jika sebelum dan setelah pengumuman dengan analisis t-statistik. Dalam uji signifikansi dengan menggunakan data pengamatan tiap hari average abnormal return tidak berpengaruh signifikan saat sebelum pengumuman kemudian setelah adanya pengumuman average normal return di hari ke 5, 8, 15 dan 26 merespon negatif signifikan meskipun tidak keseluruhan. Hasil penelitian ini sehingga menunjukkan bahwa respon pasar saham Indonesia negatif signifikan terhadap wabah COVID-19.

The Indonesian stock market's response to the pandemic Covid-19 outbreak uses the event study method with abnormal return technical tools. This study aims to determine the stock market response to Covid-19, namely responding significantly negative and not because many stocks in other countries were affected by Covid-19. This event study method had carried out observations from 12 days before the announcement to 30 days after the announcement of Covid-19. The results of the data show that the data has no significant effect before and after the announcement by t-statistical analysis. In the significance test with daily observation data, the average abnormal return has no significant effect before the announcement. Then, after the announcement, the average normal return on the 5th, 8th, 15th and 26th day responded significantly negative, although not entirely. The results of this study indicate that the response of the Indonesian stock market is significantly negative due to the Covid-19 outbreak.