REAKSI PASAR MODAL TERHADAP FLUKTUASI RUPIAH ATAS PANDEMI COVID-19 (Studi Pada Perusahaan Yang Terdaftar Pada LQ45 Di Bursa Efek Indonesia)

Abstract

ABSTRACT

The purpose of this study was to determine and analyze the difference in the average abnormal return on the LQ45 Index in the period before and after the occurrence of fluctuations in the rupiah against the US dollar during the Covid-19 pandemic, as well as to determine and analyze the difference in the average trading volume activity on the LQ45 Index before and after the occurrence of fluctuations in the rupiah against the US dollar during the Covid-19 pandemic. LQ45 Index issuers shares in the period August 2020 to Januari 2021 were selected as samples using purposive sampling. In this study, 7 days before, 1 day of the event, and 7 days after the event were used.

The theoretical basis for this research consists of financial management, investment, capital markets, stocks, and the Covid-19 pandemic. The data collection technique was carried out using secondary data taken from the Indonesia Stock Exchange www.idx.co.id. The analysis tool of this research uses the normality test of the data, the difference test with the paired sample t-test for data with normally distribution, and the wilcoxon sign rank test for data that is not normally distributed.

The results of the hypothesis test I show that there in no significant difference in the average abnormal return on the LQ45 Index before and after the occurrence of fluctuations in the rupiah against the US dollar during the Covid-19 pandemic. Hypothesis II test results show that there is no significant difference in the average trading volume activity on the LQ45 Index before and after the occurrence of flustuations in the rupiah against the US dollar during the Covid-19 pandemic. So it can be concluded that this event does not contain information for the capital market to react and does not influence investors in making investment decisions.