Respons Investor Indeks SRI-KEHATI Terhadap Penetapan Status Pandemi COVID-19 di Indonesia

Abstract

Penetapan COVID-19 sebagai pandemi di Indonesia melalui Keputusan Presiden Nomor 11 tahun 2020 tentang Penetapan Kedaruratan Kesehatan Masyarakat Coronavirus Disease 2019 berpotensi menghasilkan reaksi pasar terutama pada indeks SRI-KEHATI yang dinilai relatif lebih stabil dan diharapkan mampu bertahan pada kondisi sulit. Penelitian dilakukan untuk mengetahui apakah indeks SRI-KEHATI dapat digolongkan berkinerja baik pada kondisi tidak normal selama pandemi COVID-19. Penelitian menggunakan metode event study dengan metode penarikan sampel purposive sampling diukur dengan rentang waktu 5 hari sebelum dan 5 hari sesudah peristiwa serta 120 hari periode estimasi. Teknik analisis data menggunakan uji normalitas Shapiro-Wilk uji beda dengan pendekatan Paired Sample T-test dan Wilcoxon Signed rank test dengan peranti lunak SPSS 25. Hasil dari penelitian ini menunjukan bahwa penetapan pandemi COVID-19 di Indonesia tidak memberikan reaksi yang signifikan pada abnormal return dan trading volume activity pada perusahaan yang terdaftar dalam Indeks SRI-KEHATI di Bursa Efek Indonesia.

The Declaration of COVID-19 as a pandemic in Indonesia through Presidential Decree No. 11 of 2020 on the Declaration of a Public Health Emergency for Coronavirus Disease 2019 had the potential to trigger market reactions, particularly on the SRI-KEHATI index, which was considered relatively stable and expected to withstand challenging conditions. This research was conducted to determine whether the SRI-KEHATI index could be classified as performing well during abnormal conditions amid the COVID-19 pandemic. The study utilized the event study method with purposive sampling, measured within a 5-day window before and after the event, and a 120-day estimation period. Data analysis employed the Shapiro-Wilk test for normality, paired sample T-test, and Wilcoxon signed-rank test using SPSS 25 software. The findings of this study indicated that the declaration of the COVID-19 pandemic in Indonesia did not significantly affect abnormal return and trading volume activity for companies listed in the SRI-KEHATI Index on the Indonesia Stock Exchange.