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All Journal Jurnal Bisnis dan Manajemen Jurnal Administrasi Bisnis Journal of Business & Banking Sains: Jurnal Manajemen dan Bisnis Journal of Economic, Bussines and Accounting (COSTING)
Eka Yulianti
Universitas Jenderal Achmad Yani
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Journal : Journal of Business

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Analisis reaksi pasar modal terhadap berbagai pengumuman kasus Covid-19 pada fase awal Eka Yulianti; Ifan Wicaksana Siregar; Novi Susyani
Journal of Business & Banking Vol 12, No 1 (2022): Mei - Oktober 2022
Publisher : Universitas Hayam Wuruk Perbanas

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14414/jbb.v12i1.2951

Abstract

The capital market is an investment place that is developing quite rapidly today. When investing in the capital market, investors are facing a trade off between return and risk. The purpose of this study is to analyze the reaction of the capital market to news related to the Covid-19 case in the early stages of the pandemic by using an event study, part of the theory of market efficiency. The announcements that were studied were the reactions: 1) Announcement of the initial appearance of Covid-19, 2). WHO announcement has declared Covid19 a global pandemic, 3). Announcement of spike in Covid-19 cases to reach 10,000. This study used stocks that join the LQ45 index as the population. Furthermore, the technique of determining the sample is a saturated sample. The results show that the capital market reacts to the 3 series of events studied. In addition, there is an abnormal return. This shows that the market is working efficiently in a semi-strong form. Furthermore, based on the paired sample T-test, there is no difference in TVA and transaction frequency before and after the event. For companies that are expected to develop strategies to minimize the occurrence of a significant decline in stock prices due to force majeure events. In terms of investors, this research provides information signals to them that force majeure events can affect market performance.
Co-Authors Dwi Jayanti Esi Fitriani Komara Ifan Wicaksana Siregar Novi Susyani Selly Pramesti Yohana Dwi Gita Sirait