Capital Market Reaction to the Implementation of PSBB in the Middle of Pandemic Covid 19

Abstract

This research is an event study research that aims to determine differences by
analyzing the market reaction represented by the average abnormal stock returns that
occurred in the period before, during, and after the implementation of the PSBB
policy in the mids of the COVID 19 pandemic by the Indonesian government. This
study uses secondary data in the form of daily stock activity data from before to after
the implementation of the PSBB policy by the government. The sample selection
method in the study used saturated sampling where there were 33 sample companies
with a 21-day observation period. Data analysis was performed using the paired
sample t-test parametric statistical test. The results showed that there was no
significant difference in the average abnormal return in the before- time and beforeafter periods. However, in the period after which the results of the study prove that
there is a significant difference in the average abnormal return.