ANALISIS ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SELAMA WABAH VIRUS CORONA (Studi Komparasi pada Saham yang Terdaftar di Jakarta Islamic Index)

MAYSSY, RESA SAFITRI (2023) ANALISIS ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SELAMA WABAH VIRUS CORONA (Studi Komparasi pada Saham yang Terdaftar di Jakarta Islamic Index). Diploma thesis, UIN Raden Intan Lampung.

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Abstract

ABSTRAK Pengumuman kasus wabah virus corona yang merupakan wabah penyakit merupakan informasi dari luar konteks ekonomi dan memungkinkan dapat mempengaruhi aktivitas pasar modal. Aktivitas pasar modal dapat dilihat dari reaksi pasar yang terjadi melalui abnormal return dan trading volume activity pada perusahaan. Rumusan masalah pada penelitian ini yaitu ( )Apakah terdapat perbedaan abnormal return sebelum dan selama wabah virus corona pada saham yang terdaftar di Jakarta Islamic Index? ( ) Apakah terdapat perbedaan trading volume activity sebelum dan selama wabah virus corona pada saham yang terdaftar di Jakarta Islamic Index? Dan ) Bagaimana pandangan prespektif ekonomo Islam mengenai perbedaan trading volume activity sebelum dan selama wabah virus corona pada saham yang terdaftar di Jakarta Islamic Index?. Penelitian ini bertujuan untuk ( ) Untuk mengetahui apakah terdapat perbedaan abnormal return sebelum dan selama wabah virus corona pada saham yang terdaftar di Jakarta Islamic Index,( ) Untuk mengetahui apakah terdapat perbedaan trading volume activity sebelum dan selama wabah virus corona pada saham yang terdaftar di Jakarta Islamic Index. Dan ) mengetahui prespektif ekonomi islamnya. Metode Penelitian ini menggunakan pendekatan kuantitatif deskriptif. Sumber data adalah sekunder diperoleh dari website IDX dan yahoo finance. Populasi penelitian sebanyak perusahaan dengan sampel yang di peroleh yaitu perusahaan yang terdaftar pada Index Saham Syariah. Teknik analisis data dengan menggunakan uji sampel paired t-test. Hasil terdapat perbedaan nilai abnormal return sebelum dan selama wabah virus corona. Sebelum terjadinya wabah virus corona pasar modal mengalami nilai positif pada abnormal return yang artinya banyak investor yang membeli saham dan aktivitas jual beli terpantau normal. Namun selama terjadinya wabah virus corona setelah pengumuman resmi oleh presiden RI nilai abnormal return semakin tinggi dan negatif. Artinya banyak investor yang khawatir akan saham nya, dan bertindak untuk menjual saham mereka. Selanjutnya trading volume activity pada perusahaan yang terdaftar di Jakarta Islamic Index tidak mengalami perbedaan sebelum dan selama wabah virus corona. Hal ini dikarenakan adanya pengumuman berita wabah tidak membuat memberikan reaksi yang diperdagangkan dipasar saham. Kata Kunci: Abnormal Return, Trading Volume Activity, Dan wabah virus corona. ABSTRACK Announcement of cases of the corona virus outbreak which is a disease outbreak is information from outside the economic context and may affect capital market activity. Capital market activity can be seen from the market reaction that occurs through abnormal returns and trading volume activity in companies. The formulation of the problem in this study is ( ) Is there a difference in abnormal returns before and during the corona virus outbreak in stocks listed on the Jakarta Islamic Index? ( ) Was there a difference in trading volume activity before and during the coronavirus outbreak in stocks listed on the Jakarta Islamic Index? This study aims to ( ) To find out whether there were differences in abnormal returns before and during the corona virus outbreak in stocks listed on the Jakarta Islamic Index, ( ) To find out whether there were differences in trading volume activity before and during the corona virus outbreak in stocks listed on the Jakarta Islamic Index. This research method uses a descriptive quantitative approach. The secondary data source was obtained from the IDX website and yahoo finance. The research population consisted of companies with samples obtained, namely companies listed on the Sharia Stock Index. Data analysis technique using sample test paired t-test. The results of the study show that there are differences in the value of abnormal returns before and during the corona virus outbreak. Before the outbreak of the corona virus, the capital market experienced a positive value on abnormal returns, which meant that many investors bought shares and buying and selling activities were monitored normally. However, when the corona virus outbreak occurred after the official announcement by the president of the Republic of Indonesia, the abnormal return value was getting higher and negative. This means that many investors are worried about their shares, and act to sell their shares. Furthermore, the trading volume activity of companies listed on the Jakarta Islamic Index did not experience any difference before and during the coronavirus outbreak. This is because the announcement of the outbreak news did not make a reaction that was traded on the stock market. Keywords: Abnormal Return, Trading Volume Activity, and the corona virus outbreak.

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