Abstract
This thesis analyzes
the impact of the COVID-19
pandemic on the performance of pharmaceutical
company stock prices, in which research was conducted on pharmaceutical company
stocks in Indonesia. The impact
of the COVID-19 pandemic felt by the community is a decrease
in income. The decrease in
income has also been felt by investors and owners of industries in various
manufacturing sectors. Some companies have even closed
factories and laid off their workers. Thus this
also affects the stock market
of the manufacturing industry in Indonesia. In this study,
we will analyze the effect of the increase
in the rate of positive
daily cases and the death rate from COVID-
19 on the performance of pharmaceutical companies' stock prices. The selection
of the research sample of 5 (five) pharmaceutical industry stock prices is
based on the size of the market capitalization
value that is included in the top 10 pharmaceutical industries in Indonesia. In analyzing the
performance of pharmaceutical stock prices, the most appropriate GARCH model
will be selected by comparing
the symmetric model (SGARCH) to the a-symmetric model (TGARCH and EGARCH) and the most appropriate model is the Exponential General
Autoregressive Conditional
Heteroskedastic (EGARCH) model.
Daily positive (dailycase) and daily cases of death (deathcase)
have a positive coefficient value,
which means that the impact
of the COVID-19 pandemic has had
a significant effect on the price of these pharmaceutical stocks.
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