MARKET REACTION TO THE COVID-19 VACCINE ARRIVES IN INDONESIA

ABSTRACT: This study aims to examine whether there has been a market reaction to the COVID-19 vaccine event arriving in Indonesia. The market correction in this study is seen from the abnormal return obtained from the difference between the expected return and the realized return. The model in determining the expected return in this study uses a market-adjusted model. This research was conducted on all shares of companies listed on the LQ45 Index using purposive sampling technique. Determination of the date of the event on Monday, December 7, 2020. The window of events in this study was carried out for 5 days, namely 2 days before the event date, on the event date, and 2 days after the event. The results of the analysis in this study indicate that there is no abnormal return around the event window. The conclusion of this study is that there is no market reaction to the COVID-19 vaccine arriving in Indonesia. This indicates that the COVID-19 vaccine event arriving in Indonesia does not contain information. Keywords: information content, abnormal return, COVID-19 vaccine