Electronic Theses and Dissertation

This study aims to find empirical evidence of the reaction of indonesian capital market investors to the first announcement of covid-19. this study uses an event study approach to evaluate the performance of indonesian capital market represented by 38 companies listed in the lq-45 index during the event period. the period in this study consisted of 160 days of estimation period and 61 days of event period (30 days before the event, 1 day during the event, and 30 days after the event). the statistical tests use to test the hypothesis are one-sample t-test, one-sample signed rank test, paired sample t-test and wilcoxon signed rank test. the result of the study using one-sample t-test and one-sample signed rank test indicates that there was a significant abnormal return around the date of the event, which means that the market reacted to the event. the results of the paired sample t-test shows that there was a significant difference in the average abnormal return (aar) before and after the event, and the results of the wilcoxon signed rank test shows that there was a significant difference in the average trading volume activity before and after the event.