Capital market reaction to the announcement of COVID-19 vaccine clinical test by pt. Bio Farma Indonesia: Case study of pharmaceutical sub-sector listed on the IDX 2020
List of Authors
  • Firya Nur Alifah , Irni Yunita

Keyword
  • Capital Market, Capital Market Efficiency, COVID-19, Abnormal Return, Trading Volume Activity, Pharmaceutical Sub-Sector

Abstract
  • The COVID-19 pandemic is one of the external factors for companies that can affect stock price movements, one of which is the announcement of a COVID-19 vaccine clinical trial in Indonesia. The effect of information that causes market reactions can be measured by abnormal returns and measuring the effect of stock movements that affect stock trading volume activity can be measured using the trading volume activity parameter. One of the methods used to calculate abnormal returns in this study is the Market-adjusted Model. The object of this research is one of the consumer goods industry stock groups, namely the pharmaceutical sub-sector stock index listed on the Indonesia Stock Exchange. The results showed that there was no difference in abnormal return on the pharmaceutical sub-sector stocks before and after the announcement of the COVID-19 vaccine clinical trial by PT. Bio Farma Indonesia. The trading volume activity test results show that there is a difference in trading volume activity in the pharmaceutical sub-sector stock group before and after the announcement of the COVID-19 vaccine clinical trial by PT. Bio Farma Indonesia.

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