ANALISIS RETURN SAHAM SEBELUM DAN SELAMA PANDEMI COVID-19 (Studi Terhadap Indeks Harga Saham Gabungan Dan LQ 45 Di Bursa Efek Indonesia)

Batista Sufa Kefi (STIE Dharmaputra Semarang)
Mochammad Taufiq
Sutopo .

JURNAL EKONOMI MANAJEMEN AKUNTANSI
Vol 27, No 49 (2020)

AbstractThis study will examine any changes in stock prices, especially the JCI and LQ 45 Index on the Indonesia Stock Exchange due to external factors, namely the impact of the Covid-19 Pandemic that hit Indonesia and all countries in the world. The study population was all daily data on the IHSG and the LQ 45 Index (BEI). The sample in this study was taken as many as 120 daily data before the Covid-19 Pandemic and 120 daily data during the Covid-19 Pandemic. The data is retrieved by downloading from the Indonesia Stock Exchange. To test the hypothesis of this study using Paired Sample Test. The analysis shows that there is a significant difference in stock returns from the JCI between before and during the Covid-19 Pandemic. So hypothesis 1 (H1) that there is a difference in stock returns from the JCI before and during the Covid-19 Pandemic is accepted. The analysis results also show that there is a significant difference in stock returns from the LQ 45 Index between before and during the Covid-19 Pandemic so that hypothesis 2 (H2) that there is a difference in stock returns on the LQ 45 Index before and during the Covid-19 Pandemic is accepted. Keywords: Return JCI, return LQ 45 Index, event study  AbstrakPenelitian ini akan mengkaji adanya perubahan harga saham khususnya IHSG dan Indeks LQ 45 Di Bursa Efek Indonesiakibat dari faktor eksternal yaitu dampak dari Pandemi Covid-19 yang melanda Indonesia dan seluruh negara di dunia.Populasi penelitian adalah seluruh data  harian IHSG dan Indeks LQ 45   di  (BEI). Sampel pada penelitian ini diambil  sebanyak 120 data harian sebelum ada Pandemi Covid-19 dan 120 data harian selama Pandemi Covid-19. Data tersebut diambil dengan melakukan download dari Indonesia Stock Exchange.Untuk menguji hipotesis penelitian ini menggunakan Paired Sample Test.Hasil analisis menunjukkan adanya perbedaan yang signifikan dari return saham dari IHSG antara sebelum dan selama  Pandemi Covid-19. sehingga  hipotesis 1 (H1) bahwa ada perbedaan return saham dari IHSG sebelum dan selama Pandemi Covid-19   diterima.Hasil analisis juga menunjukkan  adanya perbedaan yang signifikan return saham dari Indeks LQ 45 antara sebelum dengan selama  Pandemi Covid-19 sehingga  hipotesis 2 (H2) bahwa ada perbedaan return saham Indeks LQ 45 sebelum dan selama Pandemi Covid-19  diterima. Kata kunci : Return IHSG, return LQ 45 Index, analisis situasi.