CD Skripsi
Stock Market Reaction Before And After The Announcement Of Covid-19 March 2nd, 2020 (Study On Issuers Jii70 And Sri-Kehati Listed On The Idx)
ABSTRACT
This study aims to analyze the effect of COVID-19, which announced on March
2nd, 2020 in Indonesia on abnormal return, volatility, trading volume and market
capitalization of companies 10 days before and after the announcement. This type
of research is an event study with a population of 70 firms listed on the JII70
issuer and 12 firms in SRI-Kehati on the Indonesian Stock Exchange and take all
firms in the issuer under study as samples. Hypothesis testing will use the paired
sample t-test for abnormal return and volatility variables then Wilcoxon signedrank
test for trading volume and market capitalization variables. The results of
the study show that there is no difference in abnormal return but there is a
difference in volatility, trading volume and market capitalization before and after
the announcement of COVID-19 in Indonesia.
Keywords: COVID-19, Eventstudy, Abnormal Return, Volatility, Trading volume,
Market Capitalization.
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