PENGARUH PENGUMUMAN NASIONAL PANDEMI COVID-19 TERHADAP REAKSI PASAR MODAL SYARIAH DI INDONESIA TAHUN 2020 (STUDI KASUS PADA PERUSAHAAN YANG TERCATAT DI BURSA EFEK INDONESIA)

Delina Restiani, NIM.: 17108030002 (2021) PENGARUH PENGUMUMAN NASIONAL PANDEMI COVID-19 TERHADAP REAKSI PASAR MODAL SYARIAH DI INDONESIA TAHUN 2020 (STUDI KASUS PADA PERUSAHAAN YANG TERCATAT DI BURSA EFEK INDONESIA). Skripsi thesis, SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Research on the effect of the national announcement of the COVID-19 pandemic on the reaction of the Islamic capital market in Indonesia in 2020 was conducted using the event study method. The event study method is used as a tool to observe stock price movements in the Islamic capital market when an event or event occurs and to find out whether there will be a return on investment that cannot be obtained by investors due to these events. This study aims to determine the differences in abnormal returns, Trading Volume Activity, and bid ask spread between the time before and after the first national announcement of the COVID-19 pandemic in Indonesia. This research is classified as an event study research. The population in this study are Islamic stocks that are listed and not delested on the Indonesia Stock Exchange during 2016-2020. The sampling technique used purposive sampling, in order to obtain a sample of 28 Islamic companies. The technique for analyzing the data used to answer the hypothesis of the study was using the paired sample t-test. The results of the research with the standard requirement of 5% significance indicate that there is no abnormal return before and after the national announcement of the COVID-19 pandemic in Indonesia. However, the test results for Trading Volume Activity and bid ask spread show a difference between the time before and after the national announcement of the COVID-19 pandemic in Indonesia. This is evidenced from the results of data processing, abnormal return accepts the null hypothesis (H0) because the results of the significance of 0.774 are greater than the standard set at 0.05. Meanwhile, the Trading Volume Activity and the bid ask spread have a significance result of 0.000 where the result is smaller than 0.05 which accepts the provisional hypothesis (Ha). The existence of a national announcement of the COVID-19 pandemic contains signaling about future returns. In addition to containing signaling for investors, the results of the research data are able to reflect that the market efficiency level is in the form of a semi-strong form.

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