APAKAH SAHAM FARMASI DI BURSA EFEK INDONESIA MENGIKUTI HIPOTESIS RANDOM WALK SAAT PANDEMI COVID-19?

Dwi Tjahjo Purnomo

Abstract


Berbeda dengan saham lain yang turun cukup tajam saat dimulainya pandemi Covid-19, pergerakan harga saham farmasi justru mengalami peningkatan. Kenaikan harga saham farmasi sejalan dengan ekspektasi investor terhadap peningkatan permintaan obat dan suplemen kesehatan yang berdampak pada kenaikan harga saham di pasar. Penelitian ini secara empiris bertujuan untuk menguji perilaku rantai jual beli di Bursa Efek Indonesia (BEI) yaitu PT Indo Farma Tbk (INAF), PT Kimia Farma Tbk (KAEF), PT Kalbe Farma Tbk (KLBF), PT Phapros Tbk (PEHA), PT Pyridam Farma Tbk (PYFA), dan PT Tempo Scan Pacific Tbk (TSPC). Secara khusus, penelitian ini menyelidiki apakah akan melaporkan apakah saham farmasi selama Pandemi Covid-19 mengikuti Random Walk Hypothesis (RWH) atau sebaliknya apakah pergerakan harga dapat diprediksi. Data yang digunakan dalam penelitian ini adalah harga penutupan saham harian dari tanggal 2 Januari 2020 sampai dengan 2 Februari 2021. Data dianalisis menggunakan uji Augmented Dickey-Fuller untuk adanya Uji Unit Root, uji Variance Ratio, dan Autoregressive Moving Average. (ARMA). Hasilnya, berdasarkan Uji Akar Unit, semua data stasioner di tingkat. Pengujian lebih lanjut menggunakan Variance Ratio, baik secara stand alone intersep maupun trend dan antar semua data juga tidak bergerak secara acak dan tidak mengikuti Hipotesis Random Walk. Terakhir, dengan menggunakan model ARMA, pergerakan log return saham farmasi di BEI dapat diprediksi.

In contrast to other stocks that fell quite sharply at the start of the Covid-19 pandemic, pharmaceutical stock price movements have increased. The increase in the price of pharmaceutical stocks is in line with investors' expectations of an increase in demand for medicines and health supplements, which will have an impact on the increase in stock prices in the market. This study empirically aims to examine the behavior of the chain buying and selling on the Indonesia Stock Exchange (IDX), namely PT Indo Farma Tbk (INAF), PT Kimia Farma Tbk (KAEF), PT Kalbe Farma Tbk (KLBF), PT Phapros Tbk (PEHA), PT Pyridam Farma Tbk (PYFA), and PT Tempo Scan Pacific Tbk (TSPC). Specifically, this study investigates whether to report whether pharmaceutical stocks during the Covid-19 Pandemic followed the Random Walk Hypothesis (RWH) or vice versa whether the price movements were predictable. The data used in this study are daily stock closing prices from January 2, 2020, to February 2, 2021. The data were analyzed using the Augmented Dickey-Fuller test for the existence of the Unit Root Test, Variance Ratio test, and Autoregressive Moving Average (ARMA). The result, based on the Unit Root Test, all data is stationary at the level. Further testing using the Variance Ratio, both by stand-alone intercept and trend and between all data also does not move randomly and does not follow the Random Walk Hypothesis. Finally, using the ARMA model, the log return movement of pharmaceutical stocks in IDX can be predicted.


Keywords


Indonesian Market ; Random walk;

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DOI: http://dx.doi.org/10.26623/jreb.v14i1.3170

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