Analysis of Indonesian Capital Market Reaction to the Covid-19

Yulianti, Eka and Siregar, Ifan Wicaksana (2020) Analysis of Indonesian Capital Market Reaction to the Covid-19. In: ICETLAWBE 2020, 26 September 2020, Bandar Lampung, Indonesia.

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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.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: covid-19 event study stock market abnormal return
Subjects: H Social Sciences > H Social Sciences (General)
Depositing User: EAI Editor IV
Date Deposited: 09 Apr 2021 10:24
Last Modified: 09 Apr 2021 10:24
URI: https://eprints.eudl.eu/id/eprint/2521

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