ANALISIS PERBEDAAN ABNORMAL RETURN SEBELUM DAN SESUDAH PENGUMUMAN COVID-19 SEBAGAI PANDEMI GLOBAL OLEH WHO (Studi pada Pasar Modal Negara-Negara ASEAN)

Abstract

Event study is a research methodology used to analyze market reactions and
responses to certain events. This research uses the object of research in the capital
markets of ASEAN countries. The purpose of this research is to analyze the
difference in abnormal returns between before and after the announcement of
COVID - 19 as a global pandemic by WHO. The population used is the capital
market of ASEAN countries using the purposive sampling method as a sampling
technique and the analysis using the paired samples t-test test for 39 days of
observation period consisting of 10 days of estimation period and 29 days of event
period (14 days before the event). 1 day event date, 14 days after the event). The
results of this research stated that descriptively there was an abnormal return
between before and after the WHO event officially declared COVID-19 as a global
pandemic, then using the paired samples t-test test proved that there was no
difference in abnormal returns before and after the WHO event which officially
declared COVID -19 as a global pandemic.