Academia Open
Vol 5 (2021): December
Business and Economics

The Reaction Of The Indonesian Capital Market When Indonesia Experiences Recession In 2020 
Reaksi Pasar Modal Indonesia Pada Saat Indonesia Mengalami Resesi Tahun 2020


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  • Rony Yulian Putra Santoso,
  • Heri Widodo*
Rony Yulian Putra Santoso
Universitas Muhammadiyah Sidoarjo, Indonesia
Heri Widodo
Universitas Muhammadiyah Sidoarjo, Indonesia *

(*) Corresponding Author
Picture in here are illustration from public domain image or provided by the author, as part of their works
DOI: https://doi.org/10.21070/acopen.5.2021.2210
Published December 31, 2021
Keywords
  • Abnormal Return,
  • Event Study,
  • Security Return Variability,
  • Trading Volume Activity,
  • Recession
How to Cite
Santoso, R. Y. P., & Widodo, H. (2021). The Reaction Of The Indonesian Capital Market When Indonesia Experiences Recession In 2020 . Academia Open, 5, 10.21070/acopen.5.2021.2210. https://doi.org/10.21070/acopen.5.2021.2210

Copyright (c) 2021 Rony Yulian Putra Santoso, Heri Widodo

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Abstract

This study aims to explain whether or not there is evidence of differences in abnormal return, trading volume activity, and security return variability of companies listed in the LQ45 index on the IDX before and after the November 2020 recession announcement. This study uses quantitative research approach. The LQ45 index is the research population used in this study. Meanwhile, to determine the research sample in this study using purposive sampling technique. The Wilcoxon Signed Rank Test is a data analysis technique used. Based on the results of the research, the abnormal return indicator gives a change with sig. 0.012. Trading volume activity changes with sig. 0.000. Security return variability provides changes with the value of sig. 0.026. So it can be concluded that in the event of an announcement of a recession there is a capital market reaction to companies listed in the LQ45 index.

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