ANALISIS PERBANDINGAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SEBELUM DAN SESUDAH DIUMUMKANNYA KASUS PERTAMA COVID-19 - Arif Sahputra; Lindrianasari .; Fitra Dharma; Yunia Amelia (Jurnal Akuntansi Bisnis, 2022)
ABSTRACT: The purpose of this study was to examine the information content of the announcement of the first Covid-19 case in Indonesia by looking at the differences in Abnormal Return and Trading Volume Activity both before and after the event. The method used in this research is an event study. The research period used was 6 stock exchange days, namely 3 days before and 3 days after the announcement of the first Covid-19 case in Indonesia. The statistical test used to test the hypothesis is the One Sample t-test and the Wilcoxon Signed Rank Test. The results of the One Sample t-test show that there are significant negative abnormal returns at t + 1 and t + 2 after the announcement event, which indicates that the Covid-19 pandemic has a negative impact on company operations. Meanwhile, the results of the Wilcoxon Signed Rank test show that there is a significant difference between the Abnormal Return before and after the announcement of the first Covid-19 case in Indonesia. However, the results of the Wilcoxon Signed Rank Test on Trading Volume Activity (TVA) show that there is no significant difference between before and after the announcement of the first Covid-19 case in Indonesia.Keywords: Abnormal Return, Trading Volume Activity, Event Study, Covid-19ABSTRAK: Tujuan dari penelitian ini adalah untuk menguji kandungan informasi dalam pengumuman kasus Covid-19 pertama di Indonesia, menganalisis perbedaan antara abnormal return dan volume perdagangan baik sebelum maupun sesudah peristiwa. Metode yang digunakan dalam penelitian ini adalah studi peristiwa. Periode penelitian yang digunakan adalah 6 hari bursa, masing-masing 3 hari sebelum dan 3 hari setelah pengumuman kasus Covid-19 pertama di Indonesia. Uji statistik yang digunakan untuk menguji hipotesis adalah uji One Sample dan uji Wilcoxon Signed Rank. Hasil uji One Sample menunjukkan bahwa terdapat abnormal return negatif yang signifikan pada t+1 dan t+2 setelah peristiwa pengumuman, yang mengindikasikan bahwa pandemi Covid-19 berdampak negatif terhadap operasional perusahaan. Sementara itu, hasil uji Wilcoxon Signed Rank menunjukkan terdapat perbedaan yang signifikan antara abnormal return sebelum dan sesudah pengumuman kasus Covid-19 pertama di Indonesia. Namun, hasil Wilcoxon Signed Rank Test pada Trading Volume Activity (TVA) menunjukkan tidak ada perbedaan yang signifikan antara sebelum dan sesudah pengumuman kasus Covid-19 pertama di Indonesia. Kata Kunci: Abnormal Return, Trading Volume Activity, Studi Peristiwa, Covid-19