A CASE STUDY OF LQ-45 INDEX IN INDONESIA STOCK EXCHANGE ALYANUR Primary Author mixed material bibliography Banda Aceh Universitas Syiah Kuala 2021 id Indonesia

Null

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. 0 ELECTRONIC THESES AND DISSERTATION Universitas Syiah Kuala 94267 2021-09-23 08:50:29 2021-09-27 09:23:52 machine generated