This research used event study methodology to evaluate exchange rates returns performance of Rupiah over the top three most traded currencies in the world. Comparing three historical outbreak events (SARS, MERS, and COVID-19), the sample of the study consisted of daily historical data from January 2001 to March 2020. The market model is applied in order to predict expected exchange rates returns and the use of simple regression to get the parameters of the regression equation. A t-test used to examine whether the outbreak events (SARS, MERS and COVID-19) does appear to be related significantly to the abnormal returns. The finding showed that the respond of exchange rate movement to the outbreak events were in a mixed result. Overall, COVID-19 brings the greatest reaction to the volatility of Rupiah compared to SARS and MERS.
Keywords: abnormal return, event study, exchange rates, virus outbreak, Indonesia
