Event Study Dampak Covid-19 terhadap Perubahan Harga Saham, Abnormal Return dan Trading Volume Activity

Az Zahra, Yayat Supriyatna, Imas Purnamasari


This study aims to determine the impact of the Covid-19 pandemic on stock prices, abnormal returns, and trading volume activity in banking sub-sector financial companies listed on the Indonesia Stock Exchange. The research method used in this study is the event study method by comparing data before and after an event occurs. The sampling technique used purposive sampling with the type of judgment sampling, to obtain a sample of 13 banks with observational data totaling 169. The data used is secondary data published by the IDX. The parametric statistical test technique used is the Paired Sample T Test. The results of this study indicate that the Covid-19 pandemic does not affect stock prices, abnormal returns, and trading volume activity in banking sub-sector companies.


abnormal returns; trading volume activity; stock price

Full Text:



Alam, M. N., Alam, S., & Chavali, K. (2020). Stock Market Response During Covid-19 Lockdown Period in India: An Event Study. The Journal f Asian Finance, Economics, And Business, 131-137.

Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The Unprecedented Stock Market Reaction to Covid-19. The Review of Asset Pricing Studies, 742–758.

Fadly, S. R. (2021, Maret 31). Aktivitas Pasar Modal Indonesia Di Era Pandemi. Diambil kembali dari Kementrian Keuangan Republik Indonesia: https://www.djkn.kemenkeu.go.id/kpknl-kupang/baca-artikel/13817/Aktivitas-Pasar-Modal-Indonesia-Di-Era-Pandemi.html (Diakses 1 Juni 2022)

Hartono, J. (2019). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE UGM.

He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market. Emerging Markets Finance and Trade, 2198–2212.

Höhler, J., & Lansink, A. O. (2020). Measuring the impact of COVID‐19 on stock prices and profits in the food supply chain. Agribusiness, 171–186.

Junaidi, L. D., Siregar, L. H., & Anan, M. (2021). Dampak Covid-19 terhadap Fluktuasi Harga Saham dan Volume . Ekonomis: Journal of Economics and Business, 73-77.

Lee, M. E., & Setiawati , L. (2021). Analisa Dampak Pengumuman Corona Virus di Indonesia Tahun 2020 Terhadap Abnormal Return dan Trading Volume Activity Event Study Pada Perusahaan Yang Terdaftar Pada LQ45 di Bursa Efek Indonesia. Jurnal Indonesia Sosial Teknologi, 92-103.

Meilani, M., Nur, D., & Mawardi, M. C. (2021). Dampak Covid-19 terhadap Harga Saham Gabungan yang Terdaftar di Bursa Efek Indonesia. Jurnal Ilmiah Riset Akuntansi, 78-89.

Pamungkas, A., Suhadak, & N.P, W. E. (2015). Pengaruh Pemilu Presiden Indonesia Tahun 2014 Terhadap Abnormal Return dan Trading Volume Activity (Studi Pada Perusahaan Pada Perusahaan Yang Tercatat Sebagai Anggota Indeks Kompas100). Jurnal administrasi bisnis, 1-9.

Suganda, T. R. (2018). Event Study Teori dan Pembahasan Reaksi Pasar Modal Indonesia. Malang: CV. Seribu Bintang.

Tandelilin, E. (2017). Pasar Modal Manajemen Portofolio dan Investasi. Yogyakarta: VPP AMP YKPN.

Wenno, M. (2020). Dampak Covid-19 Terhadap Perubahan Harga Saham dan Volume Transaksi (Studi Kasus pada PT. Bank Mandiri Tbk.). Jurnal SOSO2, 84-91.


  • There are currently no refbacks.