DAMPAK PANDEMI COVID-19 TERHADAP ABNORMAL RETURN, TRADING VOLUME ACTIVITY DAN SECURITY RETURN VARIABILITY (STUDI KASUS: INDEX SAHAM SYARIAH PADA BURSA EFEK INDONESIA)

Rosyatil Hamdani, NIM.: 17108040002 (2021) DAMPAK PANDEMI COVID-19 TERHADAP ABNORMAL RETURN, TRADING VOLUME ACTIVITY DAN SECURITY RETURN VARIABILITY (STUDI KASUS: INDEX SAHAM SYARIAH PADA BURSA EFEK INDONESIA). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This research is based on the announcement of the First Case of COVID-19 in Indonesia in 2020, where the event is considered to have information content that is able to influence investor decisions in the capital market. The purpose of this study was to determine the effect of the announcement of COVID-19 events in Indonesia on the market response to companies that are members of the Indonesian Sharia Stock Index (ISSI) during the H-30 day period before the announcement of the first COVID-19 case in Indonesia and H+30 days after the announcement of the first case of COVID-19 in Indonesia announcement of the first case of COVID-19 in Indonesia. The research population is issuers that are included in the Indonesian Sharia Stock Index (ISSI) using a sample of the Islamic stock index and 18 issuers belonging to 9 sectors listed on the Indonesia Stock Exchange obtained through purposive sampling method. The data used in this study is secondary data on the official website www.idx.id. The data obtained were then analyzed using the Paired Sample T-Test/Wilcoxon-Signed Rank Test. The test results obtained in the study, namely the announcement of the First Case of COVID-19 before and after had no effect on abnormal returns (AR). Furthermore, the results of the study revealed that the announcement of the First Case of COVID-19 had a significant positive effect on security return variability and had a significant negative effect on trading volume activity.

Item Type: Thesis (Skripsi)
Additional Information: Pembimbing: Hasan Al-Banna, SEI.M.E
Uncontrolled Keywords: Abnormal Return, Trading Volume Activity, Security Return Variability, Event Study, Covid-19.
Subjects: Ekonomi Islam > Akuntansi Syari'ah
Covid-19
Divisions: Fakultas Ekonomi dan Bisnis Islam > Akuntansi Syari'ah (S1)
Depositing User: Muh Khabib SIP.
Date Deposited: 12 Jan 2022 14:38
Last Modified: 12 Jan 2022 14:38
URI: http://digilib.uin-suka.ac.id/id/eprint/48398

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