Reaction Analysis of Issuers Listed on the Indonesia Stock Exchange on the Impact of Covid

Abstract

The purpose of this research was to identify and analyze differences in Abnormal Return & Trading Volume Activity before and after the announcement of the first Covid-19 case in Indonesia, Micro-Scale PPKM, and Emergency PPKM in companies listed on the Indonesia Stock Exchange during the 2020-2021 period. Case study research is the method used (Event Study). An event study is a study of the market sentiment of an event. The population for this research is companies listed on the Indonesia Stock Exchange for 2020-2021, involving as many as 79 companies in the Healthcare, Technology, Transportation & Logistics sectors. Purposive sampling was used to collect samples from as many as 48 companies. The Differential Test, particularly the Paired Sample T-Test and the Wilcoxon Signed Rank Test, is used for analysis. 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, and Logistics sectors, according to the results. There is a significant difference in Trading Volume Activity before and after the announcement of the first case of Covid-19 in Indonesia in the Healthcare sector but not in the Technology or Transportation & Logistics sectors. There is a significant difference in Trading Volume Activity before and after Micro-Scale PPKM in the Healthcare and Technology sectors but not in the Transportation & Logistics sector. There is no significant difference in Trading Volume Activity in the Transportation & Logistics sector before and after the announcement of the first case of Covid-19 in Indonesia, Micro-Scale PPKM, and Emergency PPKM.