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

Research Article

Analysis of Indonesian Capital Market Reaction to the Covid-19

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  • @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
Eka Yulianti1,*, Ifan Wicaksana Siregar1
  • 1: Faculty of Economics and Business, Jenderal Achmad Yani University, Indonesia
*Contact email: eka.yulianti@lecture.unjani.ac.id

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.