Research Article
Analysis of Indonesian Capital Market Reaction to the Covid-19
@INPROCEEDINGS{10.4108/eai.26-9-2020.2302740, author={Eka Yulianti and Ifan Wicaksana Siregar}, title={Analysis of Indonesian Capital Market Reaction to the Covid-19}, proceedings={Proceedings of The International Conference on Environmental and Technology of Law, Business and Education on Post Covid 19, ICETLAWBE 2020, 26 September 2020, Bandar Lampung, Indonesia}, publisher={EAI}, proceedings_a={ICETLAWBE}, year={2020}, month={12}, keywords={covid-19 event study stock market abnormal return}, doi={10.4108/eai.26-9-2020.2302740} }- Eka Yulianti
Ifan Wicaksana Siregar
Year: 2020
Analysis of Indonesian Capital Market Reaction to the Covid-19
ICETLAWBE
EAI
DOI: 10.4108/eai.26-9-2020.2302740
Abstract
This study analyzes the reaction of the Indonesian capital market to the Covid-19 incident by using the Liquid-45 market index (LQ-45). The method used to analyze abnormal returns is the event study method. The research period used is 111 stock exchange days consisting of an estimation period and a window period. The results showed that during the Covid-19 pandemic, the Indonesian capital market was said to be efficient in a half-strong form both in information and decisions. Information efficiency means that the market responds quickly and efficiently in a decision meaning that the market responds appropriately. The negative and significant Average Abnormal Return also reflects the Covid-19 Pandemic has had a negative impact on the Indonesian capital market.
