Capital Market Reaction to Covid-19 Pandemic on LQ45 Shares at Indonesia Stock Exchange (IDX)

ABSTRACT : Information contained in a non-economic event and not directly related to the capital market caninfluence investors in making investment decisions. Outbreaks of infectious diseases can cause seriouseconomic disruption. The purpose of this study is to test whether the announcement of the first case of COVID19 in Indonesia contains information that can make the market react marked by an abnormal return in theobservation period. This research was conducted on issuers that are members of the LQ45 Index with a samplesize of 40 companies through non-probability sampling, namely purposive sampling technique. This study usesthe event study method with an event window period of five months before (t-5) to five months after (t + 5)including the day of the event announcement, the estimated return in this study uses the market adjusted model.The data analysis technique of this research is the paired sample t test parametric statistical test. The resultsshow that the announcement of the first case of COVID-19 in Indonesia had a negative impact on the IndonesiaStock Exchange but it was not significant, as evidenced by the absence of differences in abnormal returns beforeand after the announcement of the first case of COVID-19 in Indonesia.

Keywords -covid-19, event study, abnormal return, efficient market hypothesis