Capital Market Reaction to the Covid-19 Pandemic (Case Study on LQ45 Index Companies on the Indonesia Stock Exchange) Reski Putra Utama 1), Yulinda Hardiana 2)
1) Departement Management, Faculty of Economics and Business, Airlangga University, Surabaya, Indonesia
Abstract
This research endeavors to ascertain the response of the capital market to the occurrence of the Covid-19 pandemic within the corporate entities comprising the LQ45 index on the Indonesia Stock Exchange during the event window encompassing February 17th to March 2020. The subject population under investigation encompassed all enterprises listed within the LQ45 index during this specified event window, constituting a total of 45 corporations. The sample for this research was selected employing the saturated sample technique, resulting in a sample size of 45 enterprises. Data acquisition procedures employed the utilization of documentary analysis. Subsequent to data collection, statistical analyses were conducted, employing both one-sample t-tests and paired-sample t-tests. The empirical findings unveiled the presence of statistically significant abnormal returns in the proximity of the COVID-19 pandemic event announcement, characterized by a noteworthy and negative abnormal return. Additionally, a significant discrepancy was observed in the cumulative average abnormal return before and after the public announcement of the COVID-19 pandemic event.
