YAHYA, Riamdhani Silmia (2022) The Impact of The Covid-19 First Case Announcement in Indonesia on Abnormal Return, Trading Volume Activity, and Return Variability (Event Study on The Indonesia Stock Exchange LQ-45 Index). Skripsi thesis, Universitas Jenderal Soedirman.

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Abstract

This research aims to examine the impact of the Covid-19 first case announcement in Indonesia on abnormal return, trading volume activity, and return variability. This research conducts through the event study method with a quantitative approach. The event is the Covid-19 first case announcement in Indonesia by Indonesian President Joko Widodo on March 2, 2020. This research uses 200 days of estimation period and 15 days of event period. The data was obtained as secondary data and collected through Indonesia Stock Exchange (IDX). The sample of this research uses purposive sampling which aims to filter the required data. The research sample obtained 35 stocks that are listed in the LQ45 Index and have never been removed from the LQ45 Index from February 2019 to March 2020. The results of this study indicate that the Covid-19 first case announcement in Indonesia has no impact on Abnormal Return (R), Trading Volume Activity (TVA), and Return Variability (RV). Keywords: Event Study, Abnormal Return, Trading Volume Activity, Return Variability, Covid-19 Announcement.

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