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.

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