Analisis Perbandingan Abnormal Return Antara 3 Aset Komoditas Berjangka Dan Saham Yang Tergabung Dalam Indeks Lq45 Dalam Masa Pandemi Covid-19 (periode 2 Maret 2020 Sampai Dengan 30 Juni 2020)

Gina Handayani, Muhammad Azhari

Abstract

Abstrak
Virus COVID-19 menjadi wabah yang melanda dunia. Penyebaran virus yang sangat cepat membuat
seluruh sektor perdagangan terkena dampak. Seluruh lini perekonomian merasakan dampak dengan adanya
pandemi COVID-19. Pelaku pasar perlu menanggapi bagaimana investasi saat terjadi pandemi yang melanda
dunia. Seiring perkembangan zaman muncul berbagai alternatif investasi lainnya seperti Cryptocurrency. Negara
Indonesia sendiri telah menetapkan jual beli aset kripto ini disamakan dengan komoditas yang diperdagangkan di
Bursa Berjangka pada tanggal 8 April 2019. Maka, peneliti ingin melihat perbedaan tingkat abnormal return pada
pasar berjangka dan pasar modal karena adanya masa pandemi COVID-19 di Indonesia.
Tujuan Penelitian ini yaitu mengetahui bagaimana bagaimana abnormal return pada portofolio di pasar
berjangka (Bitcoin, Ether,Emas) dan portofolio di pasar saham (Indeks LQ45) selama masa pandemi COVID-19
di Indonesia serta mengetahui apakah terdapat perbedaan antara abnormal return LQ45 dan portofolio di bursa
berjangka (Bitcoin, Ether,Emas) selama periode pandemic COVID-19.Dengan menggunakan data Time series
berupa data harian selama tujuh puluh sembilan hari dimulai dari bulan Maret 2020 hingga Juni 2020. Kemudian,
untuk menjawab pertanyaan penelitian menggunakan uji asumsi klasik dan uji beda t. Hasil penelitian
menunjukkan bahwa tidak terdapat perbedaan abnormal return pada portofolio komoditas berjangka dan portofolio
saham Indeks LQ45 selama periode pandemi COVID-19 2 Maret 2020 sampai dengan 30 Juni 2020. Dengan
portofolio komoditas berjangka menunjukkan nilai rata- rata abnormal return positif dan portofolio Indeks LQ45
menunjukkan nilai rata- rata abnormal return negatif terhadap aktivitas perdagangan berdasarkan abnormal return
selama masa pandemi COVID-19.
Kata kunci: Abnormal return, Bitcoin, Ethereum, indeks LQ45.
Abstract
The COVID-19 virus has become an epidemic that hit the world. The rapid spread of the virus has affected
the entire trade sector. All the lines of economy are feeling the impact of the COVID-19 pandemic. Market
participants need respond how to invest when a pandemic hits the world. Along with the times, various other
investment alternatives such as Cryptocurrency have emerged. The Indonesian state itself has determined that the
sale and purchase of crypto assets is equated with commodities traded on the Futures Exchange on April 8, 2019.
So, researchers want to see the difference in abnormal returns on the futures market and the capital market due
to the COVID-19 pandemic in Indonesia.
This research was done to find out how abnormal returns are on portfolios in the futures market (Bitcoin,
Ether, Gold) and portfolios on the stock market (LQ45 index) during the COVID-19 pandemic in Indonesia and
also find out if there is a difference between abnormal return of LQ45 and portfolios on futures exchanges (Bitcoin,
Ether, Gold) during the COVID-19 pandemic period. By using Time series data in the form of the daily data for
eighty days starting from March 2020 to June 2020. Then, to answer research questions using the classical
assumption test and t-difference test. The results showed that there was no difference abnormal returns on
commodity futures portfolios and LQ45 Index stock portfolios during the COVID-19 pandemic period March 2,
2020 to June 30, 2020. With commodity futures portfolios showing the average positive abnormal return value
and the LQ45 Index portfolio shows the average negative abnormal return value to trading activities based on the
abnormal return during the COVID-19 pandemic.
Keywords: Abnormal return, Bitcoin, Ethereum, indeks LQ45.

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