REAKSI PASAR TERHADAP MARKET SHOCK: KEBANGKRUTAN LEHMAN BROTHERS

Warsito Kawedar*  -  Universitas Diponegoro, Indonesia
Rr. Sri Handayani Handayani  -  Universitas Diponegoro, Indonesia

(*) Corresponding Author
The study aim to examine investor reaction to the market shock which coused by announcement of bankruptcy by America’s invesment company Lehman Brothers and to examine how is the difference reaction to market shock in the developed and emerging market.
This study use t-test to examine market reaction that happened caused by Lehman Brothers bankruptcy. With totally sampel 44 main indeks around the world which listing in WSJ and 18 indeks for the country which belong to developed market, 20 indeks for the country which belong to emerging market. The result of this research show that the market overall react negatively to market shock which is Lehman Brothers bankruptcy and emerging market proof more react to market shock than developed market. This proof that Lehman Brothers bankruptcy contain information, the brittle of world financial system.
Keyword : market shock, developed market, emerging market, return, stock price index

Keywords: market shock; developed market; emerging market; return; stock price index

Jurnal Ekonomi dan Bisnis
is published by Faculty of Economy Universitas Islam Sultan Agung, Indonesia.

Contact: Jl. Raya Kaligawe Km.4, PO BOX 1054/SM Semarang 50112, Indonesia
Phone+62 857-2760-6666
Website: https://fe.unissula.ac.id
Email: ekobis.fe@unissula.ac.id

ISSN: 2685-4767 (Online) | 1411-2280 (Print)
DOI : 10.30659/ekobis

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

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