PENGARUH REAKSI PASAR MODAL ATAS PERISTIWA COVID-19 TERHADAP HARGA SAHAM DI INDONESIA TAHUN 2020

Abstract

This research aimed to find out the effect of capital market’s reaction towards COVID-19 on stock price in
Indonesia. The research used variables of Average Abnormal Return (AAR) and Cumulative Average Abnormal
Return (CAAR). Moreover, the population was LQ-45 companies at Indonesia Stock Exchange. The research was
quantitative. There were 39 companies as the sample when the government announced cases of COVID-19 for the
first time. At that time, Large-Scale Social Restriction (LSCR) was implemented for 34 companies; 31 companies
at the new normal. Furthermore, at the second period of LSCR, there were 34 companies. Additionally, the analysis
method used event study with observation during 11 days. Moreover, the data analysis technique used a statistical
test of one sample t-test with SPSS 26. The research result that the confirmation cases of COVID- 19 for the first
time in Indonesia had a negative effect on stock price. Nevertheless government rule of LSCR within COVID-19
had a positive effect on stock price. In contrast, the announcement of a new normal by the local government of DKI
Jakarta had a negative effect on stock price. Likewise, the second period of LSCR announcement had a negative
effect on stock price.