Skip to main navigation menu Skip to main content Skip to site footer
Academia Open

Business and Economics

Vol 5 (2021): December

The Reaction Of The Indonesian Capital Market When Indonesia Experiences Recession In 2020 
Reaksi Pasar Modal Indonesia Pada Saat Indonesia Mengalami Resesi Tahun 2020



(*) Corresponding Author
DOI
https://doi.org/10.21070/acopen.5.2021.2210
Published
December 31, 2021

Abstract

This study aims to explain whether or not there is evidence of differences in abnormal return, trading volume activity, and security return variability of companies listed in the LQ45 index on the IDX before and after the November 2020 recession announcement. This study uses quantitative research approach. The LQ45 index is the research population used in this study. Meanwhile, to determine the research sample in this study using purposive sampling technique. The Wilcoxon Signed Rank Test is a data analysis technique used. Based on the results of the research, the abnormal return indicator gives a change with sig. 0.012. Trading volume activity changes with sig. 0.000. Security return variability provides changes with the value of sig. 0.026. So it can be concluded that in the event of an announcement of a recession there is a capital market reaction to companies listed in the LQ45 index.

References

  1. E. Tandelilin, Portofolio dan Investasi: Teori dan Aplikasi, Edisi 1. Yogyakarta: Kanisius, 2010.
  2. M. Fauzia, “Indonesia Resmi Resesi, Ekonomi Kuartal III-2020 Minus 3,49 Persen,” Kompas, Jakarta, Nov 05, 2020.
  3. J. Hartono, Teori Portofolio dan Analisis Investasi, Edisi 10. Yogyakarta: BPFE, 2015.
  4. T. N. A. Putri, “REAKSI PASAR MODAL INDONESIA TERHADAP FLUKTUASI RUPIAH ATAS PANDEMI COVID-19 (Studi pada Perusahaan yang terdaftar pada LQ45 di Bursa Efek Indonesia),” vol. 19, hal. Jurnal Ilmiah Mahasiswa FEB, 8(2), 2020.
  5. N. R. Pratiwi, “Kontroversi Pengesahan Revisi UU KPK 2019 Terhadap Reaksi Pasar Modal Indonesia,” J. Ilm. Akunt. dan Keuang., vol. 9, no. 2, hal. 96–104, 2020, doi: 10.32639/jiak.v9i2.410.
  6. D. P. Milanda dan T. A. Kurniawan, “ANALISIS KOMPARATIF RETURN SAHAM DAN VOLUME PERDAGANGAN SAHAM SEBELUM DAN SESUDAH HARBOLNAS PADA PERUSAHAAN DAGANG YANG TERDAFTAR di BEI,” J. Akunt. Manaj. Akmenika Vol. 17 No. 2 Tahun 2020, vol. 16, no. 2, hal. 255–270, 2019.
  7. J. Hartono, Teori Portofolio dan Analisis Investasi Edisi Kedelapan. Yogyakarta: BPFE, 2013.
  8. J. Hartono, Teori Protofolio dan Analisis Investasi, Edisi 9. Yogyakarta: BEP, 2014.
  9. S. Husnan, Dasar-Dasar Teori Portofolio dan Analisis Sekuritas, Edisi 5. Yogyakarta: UPPN STIM YKPN, 2015.
  10. J. Hartono, Teori Portofolio Dan Analisis Investasi. Yogyakarta: BPFE, 2012.
  11. J. Hartono, Teori Portofolio dan Analisis Investasi, 10 ed. Yogyakarta, 2016.
  12. A. Musyarrofah, “Reaksi Pasar Modal Indonesia Sebelum dan Sesudah Reshuffle Kabinet 12 Agustus 2015 (Event Study pada Saham Anggota LQ 45 Tahun 2015),” J. Akunt. Unesa, vol. 4, no. 3, hal. 1–18, 2016, [Daring]. Tersedia pada: https://jurnalmahasiswa.unesa.ac.id/index.php/jurnal-akuntansi/article/view/15084.

Downloads

Download data is not yet available.