REAKSI PASARAKIBAT WABAH VIRUS FLU BURUNG, MERS, DAN CORONA TERHADAP RETURN SAHAM PERUSAHAAN SUB-SEKTOR FARMASI

DIAS AGUNG RIZKIAWAN, Satriyo Dwicahyo S.E., M.Sc.

2020 | Tugas Akhir | D3 MANAJEMEN

Penelitian ini bertujuan untuk meneliti dan melihat reaksi pasar akibat wabah virus flu burung, mers, dan corona (covid-19) terhadap return saham perusahaan sub-sektor farmasi yang tergabung di Bursa Efek Indonesia. Sampel dalam penelitian ini adalah 10 perusahaan sub sektor farmasi terdiri dari PT Darya Varia Laboratoria Tbk, PT Indofarma (Persero) Tbk, PT Kimia Farma (Persero) Tbk, PT Kalbe Farma Tbk, PT Merck Indonesia Tbk, PT Phapros Tbk, PT Pyridam Farma Tbk, PT Merck Sharp Dohme Pharma Tbk, PT Industri Jamu & Farmasi Sido Muncul Tbk, dan PT Tempo Scan Pasific Tbk. Metodologi Event Study digunakan untuk melakukan analisa Abnormal Returnselama periode jendela yaitu t-10hari sebelum peristiwa dan t+10hari setelah peristiwa dan pengujian menggunakan uji One Sample T-test dan Paired Sample T-test. Hasil dari pengujian hipotesis menunjukkan bahwa pengumuman wabah virus flu burung tidak terdapat pengaruh yang signifikan terhadap return saham atau return sahamdalam keadaan normal, dan pengumuman wabah virus mers berpengaruh negatif(abnormal return negative) terhadap return saham. Sedangkan, pengumuman wabah virus Corona (covid-19) berpengaruh positif terhadap return saham atau return saham dalam keadaan abnormal return positive. Hasil perbandingan pengaruh pengumuman wabah virus flu burung, mers, dan coronadapat diurutkan mulai dari pengaruh terbaik sampai pengaruh terburuk adalah 1). Peristiwa wabah virus Corona (Covid-19) yang menunjukkan abnormal Return positif sebesar 0,01650atau 2,21%, 2). Peristiwa wabah virus Flu Burung yang menunjukkan Normal Return, dan 3). Peristiwa wabah virus mers yang menunjukkan abnormal return negative sebesar -0,00835 atau -1,15%.

This study aims to examine and compare the effect of avian influenza, mers, and corona (covid-19) viruses on stock returns of pharmaceutical sub-sector companies incorporated in the Indonesia Stock Exchange. The sample in this study were 10 pharmaceutical sub-sector companies consisting of PT Darya Varia Laboratoria Tbk, PT Indofarma (Persero) Tbk, PT Kimia Farma (Persero) Tbk, PT Kalbe Farma Tbk, PT Merck Indonesia Tbk, PT Phapros Tbk, PT Pyridam Farma. Tbk, PT Merck Sharp Dohme Pharma Tbk, PT Sido Muncul Herbal Medicine & Pharmaceutical Industry Tbk, and PT Tempo Scan Pasific Tbk. The Event Study methodology is used to analyze the Abnormal Return during the window period ie t-10 days before the event and t + 10 days after the event and testing using the One Sample T-test and Paired Sample T-test. The results of hypothesis testing indicate that the announcement of avian influenza virus outbreak has no significant effect on stock returns or stock returns in normal circumstances, and the announcement of the Mers virus outbreak has a negative effect (negative abnormal return) on stock returns. Meanwhile, the announcement of the Corona virus outbreak (covid-19) has a positive effect on stock returns or stock returns in a positive abnormal return. The results of the comparison of the effects of the announcement of the bird flu virus outbreak, MERS, and Coronavirus can be sorted from the best effect to the worst effect is 1). Corona virus outbreak (Covid-19) which shows a positive abnormal return of 0.01650 or 2.21%, 2). Avian Influenza virus outbreak event showing Normal Return, and 3). The Mers virus outbreak which shows a negative abnormal return of -0.00835 or -1.15%.

Kata Kunci : Abnormal Return, Corona (Covid-19), Event Study, Flu Burung, Mers.