Analysis of Differentiation of Abnormal Return, Trading Volume Activity, Bid Ask Spread, Before and After Coronavirus Pandemic was Confirmed in Indonesia

Dini, Rahmadianti (2020) Analysis of Differentiation of Abnormal Return, Trading Volume Activity, Bid Ask Spread, Before and After Coronavirus Pandemic was Confirmed 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), Bid Ask Spread (BAS), before and after Coronavirus Pandemic was Confirmed in Indonesia on March 2, 2020. This research is developed in the kind of event study by using the quantitative approach. Sampling technique in this research is purposive sampling method where 15 days before and 15 days after the event except national free day, Saturday and Sunday. Sample in this research is historical data from LQ-45 Index. The data were obtained by calculate the Abnormal Return (AR), Trading Volume Activity (TVA) and Bid Ask Spread (BAS) for every single of trading days for 30 days. The results of this study showed that Trading Volume Activity (TVA) and Bid Ask Spread (BAS) had significant differences before and after the confirmation. Meanwhile, there is no significant differences of Abnormal Return (AR) before and after the confirmation. Keywords: Abnormal Return, Trading Volume Activity, Bid Ask Spread, Event Study

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