Pengaruh Kebijakan New Normal Terhadap Abnormal Return, Trading Volume Activity, Dan Risiko Sistematis (Studi Kasus Pada Perusahaan LQ45)
Abstract
Abstrak
Tujuan penelitian untuk mengetahui pengaruh penerapan kebijakan new normal tanggal 1 Juni 2020 terhadap abnormal return, trading volume activity, dan risiko sistematis. Sampel penelitian berjumlah 40 perusahaan yang diambil dari indeks LQ45 dan kemudian dipilih menggunakan metode purposive sampling, yakni dengan persyaratan selama periode penelitian perusahaan yang dijadikan sampel tidak melakukan corporate action dan memiliki history price yang lengkap.
Hasil penelitian menunjukkan adanya perbedaan rata-rata abnormal return sebelum dan setelah adanya kebijakan new normal pada indeks saham LQ45, adanya perbedaan rata-rata trading volume activity antara sebelum dan setelah kebijakan new normal pada indeks saham LQ45, dan pada risiko sistematis tidak menunjukkan adanya perbedaan antara sebelum dan sesudah kebijakan new normal pada indeks LQ45 yang disebabkan karena periode pengamatan selama 5 hari sebelum dan 5 hari setelah belum cukup merepresentasikan perubahan risiko yang disebabkan adanya penerapan kebijakan new normal.
Kata Kunci: Kebijakan New Normal, Abnormal Return, Trading Volume Activity, Risiko Sistematis.
Abstract
The purpose of the research is to determine the impact of the implementing the new normal policy on June 1, 2020 on abnormal returns, trading volume activity, and systematic risk. The research sample, about 40 companies taken from the index LQ45 and then selected by using purposive sampling method, namely with the requirements during the research period of the company that was sampled did not perform corporate action and has a complete history price.
The results showed a difference in the average abnormal return before and after the new normal policy on the LQ45 stock index, there is a difference in the average trading volume activity between before and after the new normal policy on the LQ45 stock index, and at systematic risk does not show any difference between before and after the new normal policy on the LQ45 index caused by the observation period for 5 days before and 5 days after not sufficiently repressive changes in risk caused by the implementation of the new normal policy.
Keywords : New Normal Policy, Abnormal Return, Activity Trading Volume, Systematic Risk
