Analysis Of Differentiation of Abnormal Return, Trading Volume Activity, and Bid-Ask Spread Before and After Initial Injection of The Vaccine COVID-19 in Indonesia.

Dinny, Firvidiani (2021) Analysis Of Differentiation of Abnormal Return, Trading Volume Activity, and Bid-Ask Spread Before and After Initial Injection of The Vaccine COVID-19 in Indonesia. Diploma thesis, Universitas Andalas.

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Abstract

This study aims to analyze the differentiation of Abnormal Return (AR), Trading Volume Activity (TVA), and Bid-Ask Spread (BAS) Before and After the Initial Injection of The Vaccine COVID-19 in Indonesia. This research is developed in the kind of event study by using the quantitative approach. The sample in this research is historical data from IDX is companies listed on the IDXHEALTH index and companies with subsidiaries engaged in the health sector. The event window in this research is 10 days before and 10 days after the event. Technique of analyzed for examining the hypothesis is Paired Sample T-Test. The result of this research show that Abnormal Return (AR) and Bid-Ask Spread (BAS) has significant differences before and after the event. Meanwhile, there is no significant differences of Trading Volume Activity (TVA) before and after the event studied.

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