Reaction Analysis of LQ45, STI and KLCI Price Index Before and After COVID-19 Pandemic Events

Octojaya Abriyoso; Satriadi; Eka Kurnia Saputra; Charly Marlinda; Masyitah As Sahara

Octojaya Abriyoso STIE Pembangunan, Tanjungpinang
Satriadi
Eka Kurnia Saputra
Charly Marlinda
Masyitah As Sahara

Keywords: Covid 19, event study, price index

Abstract

The purpose of this study was to see whether there was a difference in price index of 3 stock exchanges in 3 Asian countries, which are the price indexes of companies with the highest market capitalization rates in their respective countries: LQ4, Strait Times Index (STI) and KLCI, before the Covid 19 pandemic and after the Covid 19 pandemic. This research was done using the event study method. Also, this research was conducted with an observation window for 145 days before and 145 days after the event based on date of the first case reported. The type of data in this study is secondary data, which is obtained from the idx.co.id and Yahoo Finance sites. LQ45, STI, and KLCI price index data were analyzed by using paired t-test, to see whether there is differences in two time frames, and previously the normality test was carried out first. The results showed that there was a difference in the LQ45, STI, and KLCI price index before the Covid 19 pandemic and after the Covid 19 pandemic.