Analysis of Capital Market Reaction to the Announcement of Large-Scale Social Restrictions (PSBB) Volume II in Jakarta 2020: Case Study of LQ45 Index Companies Listed on IDX for the Period from August 2020 - January 2021
The COVID-19 pandemic, which occurred around the world, including Indonesia, has hampered economic activity. The high case of COVID-19 in Jakarta led to the enactment of Large-Scale Social Restrictions (hereinafter referred to as PSBB) volume II. This study aims to test the capital market reaction to the announcement of Large-Scale Social Restrictions (PSBB) volume II in Jakarta on the Indonesia Stock Exchange. This type of research uses an event study approach to study market reactions to an event. The reaction is measured using abnormal return and trading volume activity. The observation period is 5 days before and after the announcement of PSBB volume II in Jakarta. This research is quantitative research obtained from the daily stock price data of companies listed in the LQ45 index. The research population is all companies that are in the LQ45 index in the period August 2020 to January 2021. Sampling techniques using purposive sampling with a total of 45 shares of companies that meet the criteria in this study. The analysis data uses the Shapiro-Wilk normality test, then the hypothetical test using the wilcoxon signed-rank test. The results showed no significant difference in abnormal returns before and after the announcement of Large-Scale Social Restrictions (PSBB) volume II in Jakarta, while there were significant differences in trading volume activity before and after the announcement of Large-Scale Social Restrictions (PSBB) volume II in Jakarta.