The Covid-19 Effect On Lq45 Portfolio Share: An Event Study

Abstract

The purpose of this study was to analyze differences in optimal portfolios using the treynor index model a year before and after the announcement of Covid-19 entering Indonesia in the same period on the LQ45 index. This research method uses the treynor index and t test. The samples of this study were companies listed in LQ45. The results of this study shows the ratio of returns and risks faced decreases or gets worse (risky) due to Covid-19 for comparison portfolios before and after Covid-19 for one year. So, the existence of this Covid-19 study event in the formation of a stock portfolio has a meaningful change if an annual portfolio is formed and there is a decrease in the performance of the return to risk comparison.