Market Reaction about the Spread of Covid-19 in Indonesia (Study on LQ45 Stock Index)

ABSTRACT: This research was conducted to prove the information content of the Covid-19 spread in Indonesia, which caused a market reaction which was indicated by an abnormal return on the LQ45 stock index around the event. the spread of Covid-19 in Indonesia. The observation period is carried out for 11 working days for the Indonesia Stock Exchange (BEI). This research is a type of event study research using a quantitative approach. The quantitative approach in this research is to measure the market reaction using abnormal returns. The sampling method in this study is a non-probability sampling method with a sampling technique using purposive sampling technique with the following criteria: Companies that join the LQ45 index for the period February – July 2020. The results of this study indicate that during the 11 days of observing the Covid-19 spread in Indonesia The LQ45 stock index contains valuable information that can influence investors in making their investment decisions. This can be seen from the price fluctuations that have occurred and changes in abnormal returns after the spread of Covid-19 in Indonesia.
KEYWORDS : Study event, Market reaction, Covid-19, Abnormal return