PENGUKURAN RETURN SAHAM & LIKUIDITAS SAHAM SEKTOR INDUSTRI CONSUMER GOODS DI INDONESIA PADA MASA PANDEMI COVID-19

The Covid-19 pandemic that has spread globally until today had a huge impact on citizens’ productivity and of course on economic conditions. Indonesian government currently implementing Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM). This research aims to identify the impact of the implementation of Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM) on stock return, Amihud illiquidity, market capitalization, and Closing Percent Quoted Spread (CPQS) in the consumer goods industry sector in Indonesia. This research applies descriptive statistical tests, classic assumption tests, paired-samples t tests, and nonparametric statistical tests with SPSS 26 program to know the differences between these variables before and after Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM). The researcher involves 30 Indonesian companies which engage in the consumer goods industry sectors from March 24th, 2021 until October 8th, 2021. The results from this research are after Pemberlakuan Pembatasan Kegiatan Masyarakat (PPKM), the stock return doesn’t significantly decrease, Amihud illiquidity does significantly decrease, market capitalization does increase but insignificantly, and Closing Percent Quoted Spread (CPQS) doesn’t significantly decrease