ANALYSIS OF STOCK MARKET REACTION TO LARGESCALE SOCIAL RESTRICTIONS POLICY ANNOUNCEMENT
This study aims to analyze stock market reactions to large-scale
social restrictions policy implementation announcements. The
method used is event study. This study used 7, 5, and 3 days
event window and 120 days estimation window for calculating
abnormal return. The samples of this study are 32 companies in
the tourism, hotel, and restaurant sub-sector listed in Indonesia
Stock Market which were determined by purposive sampling
method. The results of this study indicate that 1) there was no
significant negative market reaction indicated by negative and
insignificant average abnormal return and accumulation average
abnormal return around the announcement date of the Large-Scale
Social Restrictions (PSBB) policy implementation which means
that the market does not react to the event and 2) there was no
significant difference in average abnormal return before and after
the announcement of the Large-Scale Social Restrictions (PSBB)
Luckman, A & Mulyani, Erly. (2021). Analisis Reaksi Pasar Modal Atas Pengumuman Kebijakan Penerapan Pembatasan Sosial Berskala Besar . Jurnal Berkala Akuntansi dan Keuangan Indonesia. 1(2). 1-22.
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