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Capital market is one of investment facilities that able to improve the economy of a country. The activities occurred in the capital market itself are closely related to several factors that existed from the internal and external factors. One of the external factors meant is the change that occurs at the exchange rate of a country s currency. Meanwhile, in fact in Indonesia in the final quarter of 2018, there was a weakening of Rupiah against US dollar which was declared the worst in the last 20 years. This issue is considered as having the potential to affect the activities that occur in the capital market, since depreciation is one of the macroeconomic factors. This study aimed to find out whether there are capital market reactions due to depreciation events by detecting the differences in Abnormal Returns (AR) and Trading Volume Activity (TVA) at the time of observation. By using the purposive sampling method, it obtained 159 listed companies with relevant specific criteria as the research samples. The research method used is the event study with 10 days observation window. This research is a quantitative study using secondary data obtained from the companys annual report and historical stock price data. In processing the quantitative data, this study used the Wilcoxon Signed Rank Test. In the results of data analysis, it can be concluded that this study has succeeded in showing the Indonesia capital market has reacted significantly due to depreciation events. This is proved by the significant difference in Abnormal Return (AR) and Trading Volume Activity (TVA) in almost all registered companies in Indonesia. However, this depreciation event does not have a significant effect on the listed companies that tend to do the export activities only in the main activities of companies and subsidiaries. Based on the findings that have been obtained, the researchers suggest for investor to be more proactive in finding out and understanding information related to depreciation events, in order to determine investment decisions due to the character of the Indonesia capital market which reacts significantly towards this event.