Sitorus, Clarissa Amelia (2021) Identifikasi Pengaruh COVID – 19 Terhadap Return Saham Sektor Properti Dan Real Estate Dengan Metoda Event Study & ARMAX – GARCHX. Masters thesis, INSTITUT TEKNOLOGI SEPULUH NOPEMBER.
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Abstract
Organisasi Kesehatan Dunia mengumumkan COVID – 19 menjadi wabah
dalam 11 Maret 2020. COVID – 19 tidak cuman memberikan ancaman kepada
kesehatan manusia tetapi memberikan dampak pertumbuhan perekonomian dunia,
termasuk Indonesia.
Salah satu sektor perekonomian yang sudah merasakan dampak negatif
dari COVID – 19 adalah sektor properti dan real estate yang mengalami
pengurangan revenue sebesar 0,03 % - 0,74 % dan pengurangan saham sebesar
10,37 % - 54,05 %.
Dalam penelitian ini digunakan analisis dampak COVID – 19 dengan
tujuan mengetahui pengaruh COVID – 19 terhadap abnormal return, return dan
trading volume activity sebelum dan sesudah penetapan COVID – 19, menghitung
estimasi risiko saham di 6 perusahaan menggunakan metode ARMAX –
ARCHX/GARCHX, memberikan solusi kepada perusahaan properti dan real estate
untuk meninggkatkan kepercayaan investor dalam menanamkan modalnya
kedalam emiten. Data yang dipakai dalam tesis yaitu data closing prices yang
memiliki kapitalisasi pasar yang tinggi, lalu dipengaruhi variabel eksogen (IHSG)
dan menggunakan dua metode yaitu Metode Event Study dengan durasi penelitian
254 hari bursa (10 September 2019 – 2 September 2020) untuk melihat return,
abnormal return & trading volume activity dari pengumuman suatu peristiwa.
Sedangkan metode ARMAX – ARCHX/GARCHX digunakan untuk mengestimasi
risiko yang akan didapat oleh perusahaan, dimana metode ARMAX digunakan
untuk mengidentifikasi model awal return saham sedangkan ARCHX/GARCHX
digunakan untuk mengetahui adanya fluktuasi yang besar dari pergerakan saham,
setelah didapatkan model akhir ARMAX – ARCHX/GARCHX lalu menghitung
Value at Risk untuk mengetahui risiko dan profit yang didapat dari perusahaan
tersebut.
Hasil yang didapat dalam tesis adalah tidak memiliki perbedaan signifikan
antara rata – rata abnormal return, return dan trading volume activity sebelum dan
sesudah penetapan COVID – 19, Estimasi risiko yang didapat minimum sebesar -
0,16% hingga -59%, maksimum sebesar 1,16% hingga -75,37198%, rata – rata
sebesar -0,0012 hingga -41,36%. Adapun solusi yang diberikan adalah mengubah
strategi penjualan menjadi digital, memberikan promo kepada penyewa jasa dan mengelola keuangan secara efisien.
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The World Health Organization declared COVID-19 as a pandemic on 11
March 2020. COVID-19 not only threatens human health, but also has an impact
on the world’s economic growth, including Indonesia.
One of the economic sectors that have been impacted by pandemic COVID
– 19, is the property and real estate sector with a decline in income and shares of
0,03% - 0,74% and a decline in shares of 10,37% - 54.05% respectively.
In this study, an analysis of the impact of COVID-19 was used with the
aim of knowing the effect of COVID-19 on abnormal returns, returns, trading
volume activity before and after the determination of COVID-19, calculating stock
risk estimates in 6 companies using the ARMAX - ARCHX/GARCHX method,
providing solutions to property and real estate companies to increase investor
confidence in investing in company shares. The data used in this thesisis stock price
closing data which has a high market capitalization, which is then influenced by
exogenous variables (IHSG) and uses two methods, namely the Event Study
Method with a research duration of 254 trading days (10 September 2019 – 2
September 2020) to see trading volume activity, abnormal return, return from the
announcement of an event. Whereas the ARMAX - ARCHX / GARCHX method
is used to estimate the risk that will be obtained by the company, where the
ARMAX method is used to identify the initial model of stock returns, while
ARCHX / GARCHX is used to determine the large fluctuations in stock
movements, after obtaining the final model ARMAX - ARCHX / GARCHX then
Value at Risk was calculated to determine the risks and profits obtained from the
company.
The result that is obtained from the research is that there is no significant
difference between average abnormal return, return dan trading volume activity
before and after COVID – 19, the estimation risk are minimum is -0,16% until -
59%, max is 1,16% until -75,37198%, mean is -0,0012 until -41,36%. and the
solution to be provided are to modify sales becoming digital, providing promotion
to service tenants, and managing finance efficiently.
| Item Type: | Thesis (Masters) |
|---|---|
| Uncontrolled Keywords: | Abnormal Return, ARMAX – ARCH/GARCHX, COVID – 19, Estimasi Resiko, Return, Trading Volume Activity, Abnormal Return, ARMAX – ARCH/GARCHX, COVID - 19, Return, Risk Estimation, Trading Volume Activity |
| Subjects: | Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) |
| Divisions: | Faculty of Creative Design and Digital Business (CREABIZ) > Technology Management > 61101-(S2) Master Thesis |
| Depositing User: | CLARISSA AMELIA SITORUS |
| Date Deposited: | 15 Jul 2021 03:46 |
| Last Modified: | 15 Jul 2021 03:48 |
| URI: | http://repository.its.ac.id/id/eprint/84319 |
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