Perbandingan Reaksi Pasar Sebelum dan Sesudah Pengumuman Kasus Covid-19 Pertama (Event Study Pada Perusahaan Sektor Agrikultur yang Terdaftar di Bursa Efek Indonesia)

Indah Kusumawati, I. Purnamawati, Resha Dwiayu Pangesti Mulyono
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引用次数: 1

Abstract

This study was conducted to examine and analyze the differences in market reactions before and after the announcement of the first COVID-19 case in Indonesia. This type of research is comparative quantitative using secondary data on stock prices, outstanding shares and trading volume of shares of agricultural sector companies listed on the Indonesia Stock Exchange in 2020. The research sample selection used purposive sampling technique, so that the number of samples from agriculture sector companies was 21 observational data. Hypothesis testing in this study used the paired samples t-test with the normality test using the Kolmogorov-Smirnov test. The results showed that the market reaction proxied by cumulative abnormal return and trading volume activity did not have a significant difference between before and after the announcement of the first Covid-19 case in Indonesia in agricultural sector companies. Based on these results, there is a tendency that market participants do not capture the information content of the announcement of the Covid-19 case that makes the market react.
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第一病例Covid-19发布前后市场反应比较(在印尼证券交易所注册的农业部门企业研究项目)
本研究旨在检查和分析印度尼西亚宣布第一例COVID-19病例前后市场反应的差异。这类研究是比较定量的,使用的是2020年在印度尼西亚证券交易所上市的农业部门公司的股票价格、流通股和交易量的二手数据。本研究样本选取采用有目的抽样技术,选取了21个农业部门公司的观测数据作为样本。本研究的假设检验采用配对样本t检验,正态性检验采用Kolmogorov-Smirnov检验。结果显示,以累计异常收益和交易量活动为代表的市场反应,在印尼公布首例新冠肺炎病例前后,农业类企业无显著差异。根据这些结果,市场参与者有一种趋势,即没有捕捉到导致市场反应的新冠肺炎病例宣布的信息内容。
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