REACTION ANALYSIS OF ISSUERS LISTED ON THE INDONESIA STOCK EXCHANGE ON THE IMPACT OF COVID (Event Study: The First Case of Covid-19 in Indonesia, Micro-scale PPKM and Emergency PPKM)
Alwi Ihsan Nababan (1*), Nisrul Irawati (2), Chairul Muluk (2)

1) Master of Management Student, Postgraduate School of Universitas Sumatera Utara
2) Lecturer, Universitas Sumatera Utara
*Corresponding Author. Email: alwihsan22[at]gmail.com

Abstract

The purpose of this study was to find out and analyze differences in Abnormal Return & Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM and Emergency PPKM in companies listed on the Indonesia Stock Exchange for the 2020-2021 period. The type of research used is case study research (Event Study). An event study is a research that studies the market reaction to an event. The population used in this study are companies listed on the Indonesia Stock Exchange for the period 2020-2021 which are included in the Healthcare, Technology, Transportation & Logistics sector as many as 79 companies. Samples were taken from as many as 48 companies with the purposive sampling technique. The analysis technique used is the Differential Test, namely the Paired Sample T-Test and the Wilcoxon Signed Rank Test. The results showed that there was no significant difference in abnormal returns before and after the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM, and Emergency PPKM in the Healthcare, Technology, Transportation & Logistics sector. There is a significant difference in Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM but there is no significant difference in Trading Volume Activity before and after Emergency PPKM in the Healthcare sector. There is a significant difference in Trading Volume Activity before and after Micro-Scale PPKM but there is no significant difference in Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia and Emergency PPKM in the Technology sector. There is no significant difference in Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM, and Emergency PPKM in the Transportation & Logistics sector.

Keywords: Abnormal Return, Trading Volume Activity, Announcement of the first Covid-19 case in Indonesia, Micro-Scale PPKM, Emergency PPKM

Topic: Financial Management and Accounting