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
List of Authors
  • Irni Yunita, S.T., M.M. , Muhamad Fajar Satria Alamsyah

Keyword
  • Abnormal Return, Trading Volume Activity, Event Study, and Large-Scale Social Restrictions

Abstract
  • 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.

Reference
  • 1. Akbar, P. E., Saerang, I. S., & Maramis, J. B. (2019). Reaksi Pasar Modal Terhadap Pengumuman Kemenangan Presiden Joko Widodo Berdasarkan Keputusan KPU Pemilu Periode 2019-2024 (Studi pada Perusahaan BUMN yang Terdaftar Di BEI). Jurnal Ilmiah Manajemen Bisnis Dan Inovasi, 123-131.
    2. Alhakim, I. A., Wakito, J., & Subroto, S. (2017). Analisis Reaksi Pasar Modal Dilihat dari Abonormal Return (AR) dan Trading Volume Activity (TVA) Terhadap Kebijakan Tax Amnesti pada Saham Perusahaan yang Terdaftar di Saham Indeks LQ45. Permana, 105-120.
    3. Hartono. (2008). SPSS 16.0 Analisis Data Statistika dan Penelitian. Yogyakarta: Pustaka Pelajar.
    4. Hartono, J. (2016). Teori Portofolio dan Analisis Investasi . Yogyakarta: BPFE.
    5. Peraturan Gubernur Nomor 88 Tahun 2020. (2020). Retrieved September 30, 2020, from Pejabat Pengelola Informasi dan Komunikasi: https://ppid.jakarta.go.id/regulasi-covid19
    6. Putri, C. A. (2020, September 11). PSBB Total Anies Bikin Uang Rp 300 T Lenyap dari Bursa RI. Retrieved from cnbcindonesia.com: https://www.cnbcindonesia.com/investment/20200911105902-21-186083/psbb-total-anies-bikin-uang-rp-300-t-lenyap-dari-bursa-ri
    7. Sutrisno. (2012). Manajemen Keuangan Teori, Konsep, dan Aplikasi. Yogyakarta: EKONISIA.
    8. Tandelilin, E. (2017). Pasar Modal Manajemen Investasi dan Portofolio. Yogyakarta: Kanisus.
    9. Yahoo Finance. (2020). Retrieved September 30, 2020, from https://finance.yahoo.com/quote/%5EJKSE?p=%5EJKSE