Reactions

of Indonesia Stock Market to Covid-19 Pandemic

Estimation window of this study is 100 days prior to event window, while event window ranges seven days prior to the event (t-7) and seven days after event (t+7).

4.2.Descriptive

Statistics

Analysis of stock return data used as samples generated abnormal return data of sample group, including average abnormal return (AAR) and cumulative average abnormal return (CAAR) during the event window. These values were calculated at each event so that hypothesis test could be performed in the following stage. AAR and CAAR prior to, during, and after announcement of the first COVID-19 case in Indonesia are presented in Table 4.1 and Figure 4.1.

Table 4.1: AAR and CAAR Calculation Results during Event Window (prior to, during, and after Announcement of the First COVID-19 Case in Indonesia)