Abstract: The capital market has an important role for the economy of a country because of two functions as a means of funding and a means of investing in financial instruments. Information plays an important role in the capital market, both internal and external information. One of the external information is the announcement of a global pandemic related to the Covid-19 virus. This study aims to analyze the information content by looking at the reaction of the capital market in Indonesia to the announcement of a global pandemic related to the Covid-19 virus by the World Health Organization (WHO) on March 11, 2020 based on the type of industry and to examine the influence of foreign investors on this reaction. This research is an event study with an observation period of 5 exchange working days, namely two days before (t-2), event date (t0), and two days after the event (t + 2). The samples in this study were all companies listed on the Indonesia Stock Exchange based on the industrial sector in 2020. The sampling method was purposive sampling technique. The data analysis technique used the mean difference test (two way ANOVA) and simple linear regression. The results showed that there was a significant difference in the mean cumulative abnormal return before and after the announcement of the global pandemic related to the Covid-19 virus by the World Health Organization (WHO) on March 11, 2020 based on different types of industry. Meanwhile, with two linear regression tests for cumulative abnormal returns before and after the event, foreign share ownership had no effect on cumulative abnormal returns due to the announcement of a global pandemic related to the Covid-19 virus by the World Health Organization (WHO) on March 11, 2020 in Indonesia.
Keywords: event study, Covid-19 Pandemic, cumulative abnormal return, type of industry, foreign share ownership.
Title: The Effect of Industry Types and Foreign Investors on Capital Market Reaction due to Covid-19 in Indonesia
Author: Komang Indah Kusuma Putri, I Gusti Ngurah Agung Suaryana
International Journal of Management and Commerce Innovations
ISSN 2348-7585 (Online)
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