LQ 45 CAPITAL MARKET REACTION SPEED DURING COVID-19 PANDEMIC

ABSTRACT : The study explored the speed of market reaction on the LQ-45 index on the Indonesia StockExchange before and after the Covid-19 pandemic eventthe estimation period is generally the period before theevent period carried out using the estimation period for 60 days before the event day. The reason for taking theresearch period (event period) t-3 and t4 or in this study t-5 and T+5 is to avoid any confounding effect due to theannouncement of stock splits, mergers, and rights issues.The results of the study using the event study approachin the Covid-19 pandemic event show that this event has information content, the reaction is shown by changesin the price of securities, this is shown by an abnormal increase in stock returns during the pandemic. This can beseen from T-5 to T-0 which moves in a volatile manner. But at the time of t + 2 experienced a drastic increase tot+5.Based on the results of the analysis and testing that has been done previously, there are several things that canbe concluded that there are significant differences in lq45 stock prices and stock returns before and after theNational announcement of the Covid-19 outbreak. The existence of Covid-19 cases in Indonesia caused the stockprice to decline, it was certainly offset by a decrease in the value of stock returns.

KEYWORDS: Reaction speed, LQ-45, Covid-19, Event Study, Abnormal return