TY  - GEN
CY  - UNIVERSITAS LAMPUNG
ID  - eprints60847
UR  - http://digilib.unila.ac.id/60847/
A1  - Bela Salsabila, 1711031057
Y1  - 2021///
N2  - ABSTRACT
THE ANALYSIS OF MARKET REACTION: ABNORMAL RETURN AND 
TRADING VOLUME ACTIVITY BEFORE AND AFTER THE FIRST 
ANNOUNCEMENT OF INDONESIA?S LARGE-SCALE SOCIAL 
RESTRICTION POLICY (PSBB) IN JAKARTA REGION OF LQ45 INDEX 
COMPANIES THAT LISTED ON INDONESIA STOCK EXCHANGE (IDX)
By :
BELA SALSABILA
Research through an event study was conducted to examine the market reaction before 
and after the announcement of the first large-scale social restrictions (PSBB) policy in 
Indonesia for the Jakarta region. The market reaction in this research is represented 
by the measurement of Average Abnormal Return (AAR) and Average Trading Volume 
Activity  (ATVA)  with  the  object  of  research  being  companies  listed  on  the  LQ45 
Indonesia Stock Exchange. The observation period in this study was 15 days, which 
are 7 days before, during, and 7 days after the  event date. Based on the results of 
statistical testing, it can be concluded that  there are differences in Abnormal Return 
(AR) and Trading Volume Activity (TVA) before and after the announcement of the first 
large-scale social restriction (PSBB) policy in Indonesia in the Jakarta area.
Keywords:  Abnormal  Return  (AR),  Trading  Volume  Activity  (TVA),  Government 
Related Anouncement,  Large-Scale Social Restrictions (PSBB), Market Reactions, 
Event Studies. 
ABSTRAK
ANALISIS MARKET REACTION: ABNORMAL RETURN DAN TRADING 
VOLUME ACTIVITY SEBELUM DAN SESUDAH PENGUMUMAN 
KEBIJAKAN PEMBATASAN SOSIAL BERSKALA BESAR (PSBB) 
PERTAMA DI INDONESIA WILAYAH JAKARTA PADA PERUSAHAAN 
YANG TERDAFTAR DI LQ45 BURSA EFEK INDONESIA
Oleh :
BELA SALSABILA
Penelitian ini mengkaji studi peristiwa untuk menguji perbedaan market reaction saat 
sebelum  dan  sesudah  peristiwa  pengumuman  PSBB  pertama  di  Indonesia  wilayah 
Jakarta.  Reaksi  pasar  dalam  penelitian  ini  diwakili  dengan  pengukuran  Average 
Abnormal Return (AAR) dan Average Trading Volume Activity (ATVA) dengan objek 
penelitian adalah perusahaan yang terdaftar di LQ45 Bursa Efek Indonesia. Periode 
pengamatan dalam penelitian ini adalah 15 hari, dimana 7 hari sebelum, saat , dan 7 
hari sesudah terjadinya event date.  Berdasarkan hasil pengujian secara statistik, dapat 
disimpulkan  bahwa  terdapat  perbedaan  pada  Abnormal  Return  (AR)  dan  Trading 
Volume Activity (TVA) saat sebelum dan sesudah pengumuman kebijakan Pembatasan 
Sosial Berskala Besar (PSBB) pertama di Indonesia wilayah Jakarta.
Kata kunci:  Abnormal Return  (AR),  Trading Volume Activity  (TVA),  Kebijakan 
Pemerintah,  Pembatasan  Sosial  Berskala  Besar  (PSBB),  Reaksi  Pasar,  Studi 
Peristiwa.
PB  - FAKULTAS EKONOMI DAN BISNIS
TI  - ANALISIS MARKET REACTION: ABNORMAL RETURN DAN TRADING 
VOLUME ACTIVITY SEBELUM DAN SESUDAH PENGUMUMAN 
KEBIJAKAN PEMBATASAN SOSIAL BERSKALA BESAR (PSBB) 
PERTAMA DI INDONESIA WILAYAH JAKARTA PADA PERUSAHAAN 
YANG TERDAFTAR DI LQ45 BURSA EFEK INDONESIA
AV  - restricted
ER  -