Authors:

Ida Ayu Surya Maharani, I Made Pande Dwiana Putra

Abstract:

“This study aims to prove the information content of the implementation of the Phase I PSBB policy in Indonesia, which caused a market reaction as indicated by the abnormal return in the health sector on the Indonesia Stock Exchange. The observation period is carried out for 11 working days on the Indonesia Stock Exchange. This research is a type of event study research which is used to measure market efficiency and the impact of an event. The method of determining the sample in this research is non-probability sampling method and the sampling technique is using purposive sampling technique with a total sample of 17 companies. The results of the one sample t-Test test showed that the market had a significant positive reaction to the event that the implementation of the PSBB policy phase I on health sector companies on the Indonesia Stock Exchange was rejected, which means the market did not react to the event. Keywords: PSBB; Market Reaction; Event Study; Abnormal Return.”

Keywords

PSBB; Market Reaction; Event Study; Abnormal Return.

Downloads:

Download data is not yet available.

References

  • Agustin, I. N. (2021). How does the impact of the COVID-19 pandemic on Indonesia ’ s Islamic stock returns ? 18(1), 21–35. https://doi.org/10.31106/jema.v18i1.9235
  • Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27(May). https://doi.org/10.1016/j.jbef.2020.100326
  • Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock market response during COVID-19 lockdown period in India: An event study. Journal of Asian Finance, Economics and Business, 7(7), 131–137. https://doi.org/10.13106/jafeb.2020.vol7.no7.131
  • Anh, D. L. T., & Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies, 48(4), 836–851. https://doi.org/10.1108/JES-06-2020-0312
  • Aryasa, I P.G. dan I G.N.A. Suaryana. 2016. Reaksi Pasar Sebelum Dan Sesudah Pengumuman Right Issue. Jurnal Akuntansi Universitas Udayana Vol.18 No.2 (Februari 2017). Hal. 1426-1454
  • Akbar, E. P., Saerang, I. S., & Maramis, J. B. (2019). Reaksi pasar modal terhadap pengumuman kemenangan Presiden Joko Widodo berdasarkan Keputusan KPU Pemilu Periode 2019-2024 (Studi pada perusahaan BUMN yang terdaftar di BEI). JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis Dan Inovasi Universitas Sam Ratulangi)., 6(2).
  • Amin, M. A. N. (2022). Analisis Potensi Abnormal Return Positif Terbesar Saham Pt. Kalbe Farma Selama Pandemi Covid-19. Valuasi: Jurnal Ilmiah Ilmu Manajemen Dan Kewirausahaan, 2(1), 223–233.
  • Anggraini, D. (2021). Dampak Covid-19 Terhadap Perubahan Harga Saham. 1(1), 1–13.
  • Chowdhury, E. K., & Abedin, M. Z. (2020). COVID-19 Effects on the US Stock Index Returns: An Event Study Approach. SSRN Electronic Journal, May. https://doi.org/10.2139/ssrn.3611683
  • Fama, E. F. (1969). American Finance Association Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 28–30.
  • Febriyanti, G. A. (2020). Dampak pandemi Covid-19 terhadap harga saham dan aktivitas volume perdagangan (Studi kasus saham LQ-45 di Bursa Efek Indonesia). Indonesia Accounting Journal, 2(2), 204. https://doi.org/10.32400/iaj.30579
  • Fu, M., & Shen, H. (2020). COVID-19 and Corporate Performance in the Energy Industry. Energy RESEARCH LETTERS, May, 1–6. https://doi.org/10.46557/001c.12967
  • Göker, İ. E. K., Eren, B. S., & Karaca, S. S. (2020). The Impact of the COVID-19 (Coronavirus) on The Borsa Istanbul Sector Index Returns: An Event Study. Gaziantep University Journal of Social Sciences, 19(COVID-19 Special Issue), 14–41.
  • Ghozali, I. (2016). Multivariate analysis application with IBM SPSS 23 program. Semarang: Diponegoro University Publishing Agency.
  • Hafizh, D. A. (2014). Abstrak Tujuan dari penelitian ini adalah untuk mendeskripsikan layanan. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 3455–3472.
  • He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market. Emerging Markets Finance and Trade, 56(10), 2198–2212. https://doi.org/10.1080/1540496X.2020.1785865
  • He, Q., Liu, J., Wang, S., & Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 8(3), 275–288. https://doi.org/10.1080/20954816.2020.1757570
  • Hindayani, N. (2020). Analisis Reaksi Pasar Saham Atas Peristiwa Covid-19 Di Indonesia. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi, 4(3), 1645–1661. http://journal.stiemb.ac.id/index.php/mea/article/view/647
  • Jecuinna, P., & Zielma, A. (2021). Dampak Penerapan PSBB Covid-19 dan Harga Saham LQ-45 di Bursa Efek Indonesia (BEI). JEMMA (Journal of Economic, Management …, 4(September). https://www.unanda.ac.id/ojs/index.php/jemma/article/view/736
  • Jogiyanto, Hartono. (2010). Teori Portofolio dan Analisis Investasi, Edisi Kelima. Yogyakarta: BPFE Yogyakarta.
  • Kementrian Kesehatan. Tentang Novel Coronavirus (NCOV). https://www.kemkes.go.id/resources/download/info-terkini/COVID-19/TENTANG%20NOVEL%20CORONAVIRUS.pdf. Diakses 5 Desember 2020.
  • Khan, nasir, Elahi, F., Ullah, H., & Khattak, A. (2020). COVID–19’s Impact on Stock Returns - An Event Study Based on the Pakistan Indices. SSRN Electronic Journal, January. https://doi.org/10.2139/ssrn.3725322
  • Karim, R., & Saba, S. A. (2021). COVID-19 and Stock Return : Empirical Evidence from Developing Economy. July. https://doi.org/10.5281/zenodo.5108094
  • Khoiriah, M., Amin, M., & Kartikasari, A. F. (2020). Pengaruh Sebelum Dan Saat Adanya Pandemi Covid-19 Terhadap Saham Lq-45 Di Bursa Efek Indonesia Tahun 2020. E-Jra, 09(02), 117–126. http://www.riset.unisma.ac.id/index.php/jra/article/view/8538
  • Larasati, D., Heronimus Sinyo Kelen, L., Wira Wacana Sumba, K., Studi Manajemen, P., Ilmu-Ilmu Sosial, F., & Kristen Wira Wacana Sumba, U. (2020). Apakah Pembatasan Sosial Berskala Besar (PSBB) Berdampak Terhadap Average Abnormal Return? (Studi Pada Pasar Modal Indonesia). Jurnal Ilmu Manajemen Dan Bisnis, 11(1), 1–8. https://ejournal.upi.edu/index.php/mdb/article/view/30829
  • Lestari, M. I. (2020). Signifikansi Pengaruh Sentimen Pemberlakuan PSBB Terhadap Aspek Ekonomi. Jurnal Bina Akuntansi, 7(2), 223–239. https://wiyatamandala.e-journal.id/JBA/article/view/98
  • Le, D., & Anh, T. (2020). The impact of the COVID-19 lockdown on stock market performance : evidence from Vietnam. September. https://doi.org/10.1108/JES-06-2020-0312
  • Liu, H. Y., Wang, Y., He, D., & Wang, C. (2020). Short term response of Chinese stock markets to the outbreak of COVID-19. Applied Economics, 52(53), 5859–5872. https://doi.org/10.1080/00036846.2020.1776837
  • Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 1–19. https://doi.org/10.3390/ijerph17082800
  • Mailangkay, F. A., Mangantar, M., & Tulung, J, E. (2021). Perhotelan Yang Terdaftar Di Bursa Efek Indonesia. Jurnal EMBA Vol. 9 No. 3 Juli 202, Hal . 640 -. 9(3), 640–647.
  • Nazir, M. (1988). MetodePenelitian. Jakarta: Ghalia Indonesia.
  • Njindan Iyke, B. (2020). The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19. Emerging Markets Finance and Trade, 56(10), 2277–2297. https://doi.org/10.1080/1540496X.2020.1784718
  • Nuryana, I. (2017). Analisis Reaksi Pasar Modal terhadap Pengangkatan Joko Widodo sebagai Presiden Republik Indonesia. Referensi: Jurnal Ilmu Manajemen Dan Akuntansi, 4(2), 1–9.
  • Putri, T. N. A. (2020). Reaksi Pasar Modal Indonesia Terhadap Fluktuasi Rupiah Atas Pandemi Covid-19 (Studi Pada Perusahaan Yang Terdaftar Pada Lq45 Di Bursa Efek Indonesia). E-Jurnal Ilmiah FEB Universitas Brawijaya, 8(2), 1–9.
  • Pham, H. N. A., Ramiah, V., Moosa, I., & Nguyen, J. H. (2017). The effects of regulatory announcements on risk and return: the Vietnamese experience. Pacific Accounting Review.
  • Paramitha, D. (2019). Analisis reaksi pasar atas pengumuman stock split. E-Jurnal Akuntansi Universitas Udayana, 27(3), 1897–1924.
  • Rahmawati, A., Atahau, A. D. ., & Sakti, I. manuel M. (2020). Reaksi Pasar Modal Atas Pemberlakuan PSBB di Tengah Pandemi Covid 19. Of Banking and Financial Technology, 1(02), 58–66. https://edumediasolution.com/index.php/jbft/article/view/32
  • Ramadhan, R. R. (2020). Reaksi Pasar Sebelum dan Sesudah Peristiwa Pengumuman Virus Covid-19 oleh Presiden Joko Widodo. Jurnal Ilmu Manajemen, December 2020, 0–14.
  • Rori, A., Mangantar, M., & Maramis, J. B. (2021). Reaksi Pasar Modal Terhadap Pengumuman Pembatasan Sosial Berskala Besar (Psbb) Akibat Covid-19 Pada Industri Telekomunikasi Di Bei. Jurnal EMBA: Jurnal Riset Ekonomi, Manajemen, Bisnis Dan Akuntansi, 9(1), 851–858. https://doi.org/10.35794/emba.v9i1.32620
  • Saputra, M. Y., Yetti, F., & Hidayati, S. (2021). Analisis Abnormal Return Sebelum Dan Saat Pandemi Covid-19 Terhadap Saham Sektor Food and Beverages. Konferensi Riset Nasional Ekonomi, Manajemen, Dan Akuntansi, 2, 839–848.
  • Sambuari, I. B., Saerang, I. S., & Maramis, J. B. (2020). Reaksi Pasar Modal Terhadap Peristiwa Virus Corona (Covid-19) Pada Perusahaan Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia. JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis Dan Inovasi Universitas Sam Ratulangi)., 7(2).
  • Sari, L. G. H. P., & Gayatri, G. (2018). Perbedaan Abnormal Return Sebelum dan Sesudah Pemilihan Umum Gubernur DKI Jakarta Tahun 2017. E-Jurnal Akuntansi, 24, 1413. https://doi.org/10.24843/eja.2018.v24.i02.p22
  • Septina. L. Siahaya, J. V. L. (2021). Analisis return sebelum dan sesudah kebijakan pembatasan sosial berskala besar pada perusahaan sektor perbankan bumn yang terdaftar di bursa efek indonesia. Intelektiva : Jurnal Ekonomi, Sosial & Humaniora, 2(06), 8–17.
  • Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries. Global Business Review. https://doi.org/10.1177/0972150920957274
  • Siahaya, S. L., & Litamahuputty, J. V. (2021). Analisis Return Sebelum dan Sesudah Kebijakan Pembatasan Sosial Berskala Besar pada Perusahaan Sektor Perbankan BUMN yang Terdaftar di Bursa Efek Indonesia. JURNAL EKONOMI, SOSIAL & HUMANIORA, 2(06), 8–17.
  • Suganda, T. R. (2018). Event Study, Teori dan Pembahasan Reaksi Pasar Modal Indonesia (Issue January 2019). https://doi.org/10.31227/osf.io/zbqm7
  • Sugiyono. (2014). Metode Penelitian Kuantitatif, Kualitatif, dan Kombinasi (Mixed Methods). Bandung: Alfabeta
  • Suhaedading, L. I. (2020). Pembatasan Sosial Berskala Besar (PSSB) saat Pandemi Covid-19 dan Dampaknya bagi Pasar Modal Indonesia. Abiwara: Jurnal Vokasi Administrasi Bisnis, 2(1), 33–37. https://doi.org/10.31334/abiwara.v2i1.1053
  • Talumewo, C. Y., Rate, P. Van, Untu, V. N., Talumewo, C. Y., Rate, P. Van, Untu, V. N., Bisnis, E. D., & Manajemen, J. (2021). Reaksi Pasar Modal Indonesia Sebelum Dan Sesudah Pengumuman Pemberlakuan New Normal ( Event Study Pada Perusahaan Bumn Yang Terdaftar Di Bursa Efek Indonesia ) Indonesian Capital Market Reaction Before And After The Announcement Of Implementation New Normal In Stated-Own Companies In That Listed On Jurnal EMBA Vol . 9 No . 4 Oktober 2021 , Hal . 1466-1475. 9(4), 1466–1475.
  • Tandelilin, Eduardus. 2010. Portofolio dan Investasi Teori dan Aplikasi. Edisi pertama. Yogyakarta: Kanisius.
  • Thalib, Fathurakhman. 2020. Analisis Trading Volume Activity Dan Abnormal Return Sebelum Dan Sesudah Peristiwa Pemecahan Saham (Event Study Pada Perusahaan Yang Terdaftar Di Bursa Efek Indonesia). Jurnal Fakultas Ekonomi dan Bisnis Universitas Brawijaya 8 (2).
  • Trisnowati, Y., & Muditomo, A. (2021). COVID-19 and Stock Market Reaction in Indonesia. Journal of Accounting and Investment, 22(1), 23–36. https://doi.org/10.18196/jai.v22i1.8859
  • Trisnowati, Yanuar and Arianto Muditomo. 2021. COVID-19 and Stock Market Reaction in Indonesia. Journal of Accounting and Investment Vol.22 No.1 (Januari 2021). Hal. 23-36. DOI: 10.18196/jai.v22i1.8859
  • Undang-Undang Republik Indonesia Nomor 8 Tahun 1995 Pasar Modal.
  • Warta Ekonomi. Dampak Pandemi Covid-19 Terhadap Perekonomian Dunia. https://www.wartaekonomi.co.id/read309848/dampak-pandemi-covid-19-terhadap-perekonomian-dunia-infografis. Diakses 5 Desember
  • Xiong, H., Wu, Z., Hou, F., & Zhang, J. (2020). Which Firm-specific Characteristics Affect the Market Reaction of Chinese Listed Companies to the COVID-19 Pandemic? Emerging Markets Finance and Trade, 56(10), 2231–2242. https://doi.org/10.1080/1540496X.2020.1787151
  • Zulfitra, Z., & Tumanggor, M. (2020). Reaksi Pasar Modal Index LQ45, Index Consumer Goods, Index Manufacture dan Index Finance pada Peristiwa Pandemi Covid-19 April 2020 di Indonesia. Jurnal Semarak, 3(3), 1–10.

PDF:

https://jurnal.harianregional.com/akuntansi/full-84630

Published

2022-04-26

How To Cite

MAHARANI, Ida Ayu Surya; PUTRA, I Made Pande Dwiana. Reaksi Pasar Terhadap Penerapan Kebijakan Pembatasan Sosial Berskala Besar Tahap I Perusahaan Sektor Kesehatan BEI.E-Jurnal Akuntansi, [S.l.], v. 32, n. 4, p. 1069-1084, apr. 2022. ISSN 2302-8556. Available at: https://jurnal.harianregional.com/akuntansi/id-84630. Date accessed: 28 Aug. 2025. doi:https://doi.org/10.24843/EJA.2022.v32.i04.p18.

Citation Format

ABNT, APA, BibTeX, CBE, EndNote - EndNote format (Macintosh & Windows), MLA, ProCite - RIS format (Macintosh & Windows), RefWorks, Reference Manager - RIS format (Windows only), Turabian

Issue

Vol 32 No 4 (2022)

Section

Articles

Creative Commons License This work is licensed under a Creative Commons Attribution 4.0 International License