Analysis of Market Reaction on Wall Street Attenuation in Indonesia

ABSTRACT: Events have information content that can affect capital markets. One of the foreign economicevents that has an impact on the capital market is Wall Street Weakening. The purpose of this study was toexamine whether the Wall Street Weakening event had information content that made the capital market inIndonesia react marked by abnormal returns and trading volume activity This research was conducted oncompanies listed in the LQ 45 index. The number of samples used was 44 companies with a nonprobability sampling method with a purposive sampling technique. The model used to calculate abnormalreturns is the market adjusted model. The criteria for determining the sample used are companies that didnot take corporate action in March 2020. Data collection was done by non-participant observation. Theanalysis technique used is paired sample t-test and Wilcoxon signed rank test. The results showed thatthe Wall Street Weakening event had a significant positive effect on the average abnormal return and theaverage trading volume activity before and after the Wall Street weakening event. This shows that there isinformation content on the Wall Street weakening event that made the market react.

Keywords– Abnormal Returns, Market Adjusted Model, Trading Volume Activity, Event Study