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Abstract
Pandemi Covid-19 melanda dunia, tidak terkecuali Indonesia. Di Indonesia kasus Covid-19 pertama kali diumumkan oleh pemerintah pada tanggal 2 Maret 2020. Pandemi Covid-19 berdampak pada berbagai sektor. Penelitian ini bertujuan untuk mengetahui dan menganalisis pengaruh dari jumlah kasus Covid-19 selama pandemi terhadap abnormal return di Bursa Efek Indonesia. Penelitian ini melakukan observasi selama periode bulan 1 Maret 2019 hingga 30 November 2021. Penelitian ini menggunakan pendekatan Kuantitatif dengan teknik purposive sampling. Sampel yang digunakan 10 perusahaan manufaktur dengan valuasi terbesar. Teknik analisis yang digunakan untuk menguji jumlah kasus terhadap abnormal return di Bursa Efek Indonesia adalah analisis regresi Linear. Hasil penelitian ini menunjukkan bahwa kasus terkonfirmasi Covid-19 tidak berpengaruh signifikan terhadap abnormal return pada 10 perusahaan manufaktur dengan valuasi terbesar.
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References
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References
Apergis, N. dan Apergis, E. (2022) “The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model,” Asia-Pacific Journal of Accounting & Economics, 29(5), hal. 1175–1183. Tersedia pada: https://doi.org/10.1080/16081625.2020.1816185.
Badan Pusat Statistik (2021) Pertumbuhan Ekonomi Indonesia Triwulan IV-2020, Badan Pusat Statistik. Jakarta. Tersedia pada: https://www.bps.go.id/pressrelease/2021/02/05/1811/ekonomi-indonesia-2020-turun-sebesar-2-07-persen--c-to-c-.html.
Bergh, D.D. et al. (2014) “Signalling Theory and Equilibrium in Strategic Management Research: An Assessment and a Research Agenda,” Journal of Management Studies, 51(8), hal. 1334–1360. Tersedia pada: https://doi.org/https://doi.org/10.1111/joms.12097.
Darmayanti, N., Mildawati, T. dan Dwi Susilowati, F. (2021) “Dampak COVID-19 terhadap Perubahan Harga dan Return Saham,” EKUITAS (Jurnal Ekonomi dan Keuangan), 4(4), hal. 462–480. Tersedia pada: https://doi.org/10.24034/j25485024.y2020.v4.i4.4624.
Goodell, J.W. (2020) “COVID-19 and finance: Agendas for future research,” Finance Research Letters, 35, hal. 101512. Tersedia pada: https://doi.org/https://doi.org/10.1016/j.frl.2020.101512.
Lahmiri, S. dan Bekiros, S. (2020) “The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets,” Chaos, Solitons & Fractals, 138, hal. 109936. Tersedia pada: https://doi.org/https://doi.org/10.1016/j.chaos.2020.109936.
Nippani, S. dan Washer, K.M. (2004) “SARS: a non-event for affected countries’ stock markets?,” Applied Financial Economics, 14(15), hal. 1105–1110. Tersedia pada: https://doi.org/10.1080/0960310042000310579.
Salisu, A.A. dan Akanni, L.O. (2020) “Constructing a Global Fear Index for the COVID-19 Pandemic,” Emerging Markets Finance and Trade, 56(10), hal. 2310–2331. Tersedia pada: https://doi.org/10.1080/1540496X.2020.1785424.
Seto, A.A. dan Septianti, D. (2019) “Dampak Kenaikan Harga Tiket Pesawat Terhadap Return dan Harga Saham pada PT. Garuda Indonesia Tbk di Bursa Efek Indonesia,” Jurnal Ilmiah Ekonomi Global Masa Kini, 10(1), hal. 1–7. Tersedia pada: https://doi.org/10.36982/jiegmk.v10i1.718.
Shehzad, K., Xiaoxing, L. dan Kazouz, H. (2020) “COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact?,” Finance Research Letters, 36, hal. 101669. Tersedia pada: https://doi.org/https://doi.org/10.1016/j.frl.2020.101669.
Sriwulandari, N.S. (2009) Faktor-faktor yang mempengaruhi dividend payout ratio berdasarkan stakeholder theory : analisis empiris terhadap perusahaan-perusahaan LQ-45 periode 2004-2007. Universitas Indonesia. Tersedia pada: https://www.lontar.ui.ac.id/detail?id=126951&lokasi=lokal.
Zhang, D., Hu, M. dan Ji, Q. (2020) “Financial markets under the global pandemic of COVID-19,” Finance Research Letters, 36, hal. 101528. Tersedia pada: https://doi.org/https://doi.org/10.1016/j.frl.2020.101528.