Analisis Perbedaan Harga, Return, Risiko dan Volume Perdagangan Saham Subsektor Bank pada Indeks InfoBank15 Sebelum dan Selama COVID-19

Sabanari, Angelica Stefanny (2022) Analisis Perbedaan Harga, Return, Risiko dan Volume Perdagangan Saham Subsektor Bank pada Indeks InfoBank15 Sebelum dan Selama COVID-19. S1 thesis, Universitas Kristen Indonesia.

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Abstract

Merebaknya pandemi COVID-19 di seluruh dunia menimbulkan dampak signifikan pada menurunnya perekonomian Indonesia. Ketidakpastian atas dampak ekonomi dari krisis COVID-19 mendorong investor domestik maupun asing menjauhi aset berisiko sehingga menekan pasar saham. Saham industri perbankan mengalami tekanan yang sangat berat akibat dampak COVID-19. Investor saham perlu melakukan analisis saham sebelum mengambil keputusan investasi. Analisis tersebut, antara lain harga saham, return saham, risiko saham, dan volume perdagangan saham. Penelitian ini bermaksud untuk menganalisis perbedaan harga saham, return saham, risiko saham, dan volume perdagangan saham subsektor bank yang berada dalam Indeks InfoBank15 sebelum dan selama COVID-19. Metode deskriptif dengan pendekatan kuantitatif digunakan dalam penelitian ini. Sampel yang digunakan berupa saham subsektor bank yang termasuk dalam indeks InfoBank15 periode Agustus 2021 sampai Desember 2021. Periode penelitian dimulai September 2017 sampai Agustus 2022 dengan menggunakan data harian dirangkum menjadi 30 data bulanan. Penelitian ini menunjukkan hasil signifikan pada perbedaan harga saham dan volume perdagangan saham subsektor bank yang termasuk dalam indeks InfoBank15 antara sebelum dan selama COVID-19. Hasil lainnya, tidak adanya perbedaan return, beta, dan varians saham subsektor bank yang termasuk dalam indeks InfoBank15 antara sebelum dan selama COVID-19. Kesimpulannya adalah pandemi COVID-19 memberikan dampak yang signifikan terhadap penurunan harga saham dan peningkatan volume perdagangan saham. Kata Kunci: COVID-19, harga saham, return saham, risiko saham, volume perdagangan saham. / The wave of the COVID-19 worldwide has had a significant affect in declining in the Indonesian economy. Uncertainty over the economic affect of the COVID-19 crisis pushed both domestic and foreign investors away from risky assets, putting pressure on the stock market. Banking industry stocks came under ponderous pressure due to the influence of COVID-19. Stock investors need to do stock analysis before making investment options. The analysis includes stock prices, stock returns, stock risk, and stock trading volume. The aims of this study are to analyze the distinctions in stock prices, stock returns, stock risk, and trading volume of bank subsector stocks that are in the InfoBank15 index before and during COVID-19. Descriptive method with a quantitative approach is utilized in this study. The sample used is bank subsector stocks included in the InfoBank15 index for the period August 2021 to December 2021. The research period starts September 2017 to August 2022 using daily data summarize into 30 months data. This study shows that there is a significant distinction in stock prices and stock trading volume of the bank subsector included in the InfoBank15 index between before and during COVID-19. Other results, there is no differences in returns, betas, and stock variances of the bank subsector included in the InfoBank15 index between before and during COVID-19. The conclusion is that the COVID-19 pandemic is significantly impact on decreasing share prices and increasing stock trading volume. Keywords: COVID-19, stock price, stock return, stock risk, stock trading volume

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