Analisis Volatilitas Return Saham Emiten Sektor Keuangan di Bursa Efek Indonesia (BEI) pada Periode Terjadinya Unusual Market Activity (UMA) Tahun 2023 - 2025 Menggunakan Model GARCH

Abstract

This study aims to analyze the stock return volatility of financial sector issuers listed on the Indonesia Stock Exchange (IDX) during periods of Unusual Market Activity (UMA) between 2023 and 2025, utilizing the GARCH model. The research employs a descriptive-comparative design with a quantitative approach. The sample comprises 30 financial sector issuers selected via purposive sampling, using an event window of t−5 to t+5. Analytical techniques include the ADF test, ARCH effect test, GARCH(1,1) model estimation, the Friedman Test, and the Wilcoxon Signed-Ranks Test. The results indicate that: (1) Stock return volatility exhibits characteristics of volatility clustering and leptokurtosis that can be modeled using GARCH(1,1), as evidenced by the significant ARCH coefficient (α = 0.3280; prob = 0.0012); (2) There are significant differences in volatility patterns across the periods before, during, and after the UMA announcement (Chi-Square = 40.267; Sig. < 0.001); (3) Volatility is non-persistent, characterized by a low persistence coefficient (λ = 0.1628), indicating that the impact of the UMA announcement is merely temporary and the market is capable of efficiently returning to normal conditions.