Capital Market Reaction to Several Announcements Related to COVID-19 Vaccine in LQ-45 Index


  • Suwinto Johan President University
  • Erika Victoria President University



abnormal return, COVID-19 vaccine, trading volume activity, LQ-45, event study


COVID-19 has caused many losses to stock markets worldwide, including in Indonesia. All industrial sectors' stock prices have declined significantly from December 2019 to May 2020. Due to the pandemic, the COVID-19 vaccine brings hope and optimism to the country's economy, which will cause a reaction in the capital market. This study aims to test is there any market reaction to several cases related to the COVID-19 vaccine. Those events are: the government received the first dose Covid-19 vaccine, the government canceled the paid individual vaccination program, and COVID-19 vaccination has penetrated more than 100 million people. This study was measured by abnormal return and trading volume activity within two different periods, i.e., a day before (D-1) to a day after (t-1) and three days before (t-3) to three days after (t+3) of each event. This research was conducted on companies listed on LQ-45 that were determined using the purposive sampling technique and will be analyzed using a one-sample Kolmogorov Smirnov test, Paired sample t-test, and Wilcoxon signed-rank test. This study indicates a capital market reaction to all the cases related to the COVID-19 vaccine researched in this study, which causes changes in abnormal returns and a significant increase in volume after the announcement.


Agustiawan, K. E., & Sujana, E. (2020). Reaksi Pasar Modal Indonesia Sebelum Dan Sesudah Pengumuman Kebijakan Pemerintah Tentang Status Darurat Bencana COVID-19. Jurnal Akuntansi Profesi, 11(2), 293–302.

Cakranegara, P. A. (2020). Pandemi COVID-19 dan Pengaruhnya Terhadap Pasar Tenaga Kerja di Indonesia. Prosiding Working Paper Series in Management, 12.

Darmadji, T., & Fakhruddin, H. M. (2012). Pasar Modal di Indonesia (3rd ed.). Salemba Empat.

Fama, E. (1970) ‘Efficient Capital Markets: A Review of Theory and Empirical Work’, The Journal of Finance, 25(2), p. 421. doi: 10.2307/2325488.

Ganiarto, E., Farida, K., & Lucia, E. L. M. (2020). The Change of Investment Behavior During COVID-19 Pandemic in Indonesia Stock Market. International Conference on Social and Political Enquiries 2020. 2020.2304782

Ghozali, I. (2011). Aplikasi Analisis Multivariate Dengan Program SPSS. Badan Penerbit Universitas Diponegoro.

Halim, A., & Hidayat, N. (2000). Studi Empiris Tentang Pengaruh Volume Perdagangan dan Return terhadap Bid-Ask Spread Saham Industri Rokok di Bursa Efek Jakarta Dengan Model Koreksi Kesalahan. Jurnal Riset Akuntansi Indonesia, 3.

Sholichah, H. and Johan, S. (2021) ‘The Effect of First Case Covid-19 Announcement on Average Trading Volume Activity of Pharmaceutial Sector Companies’, Jurnal Manajemen Bisnis dan Kewirausahaan, 6(2), pp. 218–224.

Husnan, S. (2005). Dasar-Dasar Teori Portofolio dan Analisis Sekuritas (4th ed.). AMP YKPN.

IDX (Indonesia Stock Excange) (2021) ‘IDX Stock Index Handbook’, Idx.Co.Id, p. 55.

IDX (Indonesia Stock Exchange) (2020, May). IDX Monthly Statistics MAY 2020. IDX.

Jogiyanto, H. (2010). Studi Peristiwa: Menguji Reaksi Pasar Modal Akibat Suatu Peristiwa (1st ed.). BPFE Yogyakarta.

Johan, S. (2020). Potential Systemic Risk Effects Of Credit Relaxation In The Financial Industry As The Effect The COVID-19. Jurnal Manajemen Bisnis Dan Kewirausahaan, 4(4), 87–93.

Kewei, X., & Yuanyuan, L. (2020). A-share Stock Reactions to the Approval of COVID19 Vaccine Clinical Trial: An Event Study Model of Listed Pharmaceutical Firms’ Returns. 2nd International Conference on Economic Management and Model Engineering (ICEMME).

Khanthavit, A. (2021). Measuring COVID-19 Effects on World and National Stock Market Returns. Journal of Asian Finance, 8(2).

Khoiriah, M., Amin, M., & Fauzi Kartikasari, A. (2020). Pengaruh Sebelum Dan Saat Adanya Pandemi Covid-19 Terhadap Saham LQ-45 Di Bursa Efek Indonesia Tahun 2020. Jurnal Ilmiah Riset Akuntansi, 09(11).

Kritzman. M. P. (1994). What Practitioners Need to Know Event Studies.

Financial Analysts Journal, 50(6), 17–20.

M. Alam., Shabbir. M, A., & Chavali, K. (2020). Stock Market Response during COVID- 19 Lockdown Period in India: An Event Study. Journal of Asian Finance, 7(7), 131–137.

Michelle, A. A., & Joy, A. (2021). The Effect of COVID-19 Vaccine Rollout on Stock Returns: An Event Study based on the Philippine Stock Market. proceedings/2021/EBM-05.pdf

Pitaloka, H., Al Umar, A. U. A., Hartati, E. R., & Fitria, D. (2020). The economic impact of the COVID-19 outbreak: Evidence from Indonesia. Jurnal Inovasi Ekonomi, 5(02), 71–76.

Ryandono, M. N. H., Muafi, M., & Guritno, A. (2021). Sharia Stock Reaction Against COVID-19 Pandemic: Evidence from Indonesian Capital Markets. Journal of Asian Finance, Economics , and Business, 8(2).

Sugiyono. (2013). Metode Penelitian Kuantitatif Kualitatif dan R&D. Alfabeta.

Tandelilin, E. (2010). Portofolio Dan Investasi: Teori Dan Aplikasi (1st ed.). Kanisius.

Utami, D. N. (2020, July 22). Laporan OJK: kuartal i/2020, 58 persen emiten alami penurunan laba. 58-persen-emiten-alami-penurunan-laba

World Health Organization. (2019). Ten threats to global health in 2019. WHO.