Electronic Theses and Dissertation

COVID-19 adalah peristiwa yang belum pernah terjadi sebelumnya yang telah menggemparkan dunia dan berdampak terhadap semua sekor termasuk Industri pariwisata dan perhotelan yang paling menderita karena larangan perjalanan travel ban dan penguncian (Lockdown). Dengan demikian, penelitian ini menilai reaksi pasar saham dengan mengukur perbedaan yang terjadi pada harga saham dan volume perdagangan saham di pasar modal Asia Tenggara, yaitu Bursa ASEAN di masa Pandemi COVID-19. Penelitian ini merupakan penelitian kuantitatif dengan metode event study. Reaksi pasar diamati dalam dua peristiwa yaitu pengumuman pertama kasus COVID-19 dan pengumuman Pandemi oleh WHO. Waktu penelitian adalah 180 hari, di mana penelitian dilakukan 90 hari sebelum peristiwa terjadi dan 90 hari saat peristiwa terjadi. Sampel yang digunakan dalam penelitian ini adalah 49 perusahaan dari sektor pariwisata dan Perhotelan yang termasuk dalam ASEAN Exchange. Teknik analisis data menggunakan Paired Sample T-Test dan Wilcoxon Signed Rank Test dengan data kuantitatif. Hasil studi menemukan bukti bahwa perusahaan pariwisata dan perhotelan dari Indonesia, Singapura, dan Thailand bereaksi terhadap pandemi COVID-19, dan Malaysia tidak terpengaruh. Indonesia mengalami perbedaan volume perdagangan saham yang signifikan sebelum dan sesudah pengumuman pandemi oleh WHO. Harga saham Thailand mengalami perbedaan yang signifikan di kedua peristiwa tersebut, dan volume perdagangan mengalami perbedaan yang signifikan di bawah pengumuman pandemi oleh WHO. Singapura mengalami perbedaan harga saham yang signifikan untuk kedua event tersebut.

Keywords: Stock Market, Trading Volume, Stock Price, Tourism and Hospitality, and COVID-19 Pandemic, Southeast Asia. ASEAN.

COVID-19 is an unprecedented event that has devasted the world. Almost all the sectors in the economy were impacted. The tourism and hospitality industry suffered the most due to the travel bans and lockdown. This research thus assesses the reaction of the stock market by measuring the differences that occur in stock prices and stock trading volumes in the South East-Asia capital market, namely the ASEAN Exchange, during the COVID-19 Pandemic. This research is quantitative research with an event study method. The market reaction was observed under two events which were the announcement of the first COVID-19 case and the announcement of the Pandemic by WHO. The research time was 180 days, where the study was conducted 90 days before the event occurred and 90 days after the event occurred. The sample used in this study was 49 companies from the tourism and Hospitality sector included in the ASEAN Exchange. The data analysis technique uses paired sample t-test, and Wilcoxon signed rank test with quantitative data. The study's results found evidence that tourism and hospitality companies from Indonesia, Singapore, and Thailand reacted to the COVID-19 pandemic, and Malaysia was not affected. Indonesia experienced significant differences in stock trading volume before and after the pandemic announcement by WHO. Thailand’s stock price experienced significant differences in both events, and trading volumes experienced significant differences under the announcement of the pandemic by the WHO. Singapore experienced significant differences in share prices for both events. Keywords: Stock Market, Trading Volume, Stock Price, Tourism and Hospitality, and COVID-19 Pandemic, Southeast Asia. ASEAN.