Analysis of The Indonesia Capital Market Reaction to The Announcement Implementation of Emergency Community Activity Restriction (PPKM) (Event Study on Companies Listed in the LQ45 Index for January-July 2021 Period)

The COVID-19 pandemic that have occurred around the world including Indonesia, have hampered economic activity. The spike in daily positive cases of COVID-19 in a number of areas, especially on the islands of Java and Bali, has made the government decide to made a policy of Emergency Community Activity Restrictions (PPKM). This study purpose to analyze the differences in Abnormal Return, Trading Volume Activity, and Security Return Variability before and after the announcement of the COVID-19 Emergency Community Activity Restriction (PPKM) policy. The event period in this study is 10 days before the event (t-10) and 10 days after the event (t+10). The sample of this study are companies listed on the LQ45 Index with the period from January – July 2021 by using purposive sampling method. Data used in this study include the stock price daily closing, and stock index. Expected return calculated using a Single Index Model. This study using paired sample t-test and wilcoxon signed rank test to test the market reaction before and after the event. The results shows there is a difference abnormal return, trading volume activity, and security return variability before and after the announcement. Keywords: Abnormal Return, Trading Volume Activity, Security Return Variability, COVID-19