Analisis reaksi pasar modal terhadap berbagai pengumuman kasus Covid-19 pada fase awal

Eka Yulianti, Ifan Wicaksana Siregar, Novi Susyani

Abstract


The capital market is an investment place that is developing quite rapidly today. When investing in the capital market, investors are facing a trade off between return and risk. The purpose of this study is to analyze the reaction of the capital market to news related to the Covid-19 case in the early stages of the pandemic by using an event study, part of the theory of market efficiency. The announcements that were studied were the reactions: 1) Announcement of the initial appearance of Covid-19, 2). WHO announcement has declared Covid19 a global pandemic, 3). Announcement of spike in Covid-19 cases to reach 10,000. This study used stocks that join the LQ45 index as the population. Furthermore, the technique of determining the sample is a saturated sample. The results show that the capital market reacts to the 3 series of events studied. In addition, there is an abnormal return. This shows that the market is working efficiently in a semi-strong form. Furthermore, based on the paired sample T-test, there is no difference in TVA and transaction frequency before and after the event. For companies that are expected to develop strategies to minimize the occurrence of a significant decline in stock prices due to force majeure events. In terms of investors, this research provides information signals to them that force majeure events can affect market performance.


Keywords


Abnormal return, Event study, TVA, Trading frequency

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DOI: http://dx.doi.org/10.14414/jbb.v12i1.2951

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