The Analysis of Differences in Abnormal Return and Trading Volume Activity Before and Immediately After the Covid 19 Pandemic (Study of the Lq45 Index Group Listed on The BEI for the 2018-2020 Period)
Analisis Perbedaan Abnormal Return dan Trading Volume Activity Sebelum dan Sesaat Pandemi Covid 19 (Studi Pada Kelompok Saham Indeks Lq 45 yang Terdaftar di BEI Periode 2018 – 2020)
DOI:
https://doi.org/10.21070/ups.2514Keywords:
Abnormal Return, Event Study, Index Lq45, Covid 19Abstract
This research is an event study research that aims to find out how much Indonesian capital market has difference and reacted to the Covid-19 pandemic by using indicators of abnormal returns and trading volume activity in the Lq45 index stock group for the 2018-2020 period. This study uses secondary data in the form of daily stock price data, daily data on the LQ45 index, daily trading volume data, and, daily data on the volume of shares outstanding during the period of five days before and five days after.Sampling used the purposive sampling method. The type of data used quantitative data. Data collection techniques in this study by way of documents. Testing the hypothesis use a different test method Paired Sample t-Test. The results showed that there were differences in abnormal returns before and during the event. There is a difference in the trading volume activity before and during the event.
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