Reaksi Pasar Modal Indonesia, Malaysia, Singapura, dan Thailand terhadap Pengumuman Kebijakan Lockdown pada Awal Pandemi COVID-19

The Reaction of Capital Markets In Indonesia, Singapore, Malaysia, and Thailand Towards The Announcement of Lockdown Policy During The Beginning Of The COVID-19 

Penelitian ini dilakukan untuk melihat reaksi pasar modal terhadap peristiwa pengumuman kebijakan lockdown awal pandemi COVID-19 di Negara Indonesia, Singapura, Malaysia, dan Thailand. Reaksi pasar modal dilihat dengan menganalisis perbedaan abnormal return dan trading volume activity selama periode 7 hari sebelum dan 7 hari setelah pengumuman kebijakan lockdown pada indeks pasar modal LQ45, STI, FBM KCLI dan SET50. Jumlah sampel dari populasi yang digunakan dalam penelitian sebanyak 124 emiten. Pengujian sampel dilakukan dengan menggunakan metode one sample t-Test, Paired sample t test dan Wilcoxon Signed Rank Test. Hasil penelitian menunjukkan bahwa pasar modal Indonesia, Singapura, Malaysia dan dan Thaliand tidak menunjukkan adanya reaksi yang signifikan terhadap peristiwa pengumuman kebijakan jika dilihat dari rata-rata abnormal return pada periode sebelum dengan setelah adanya kebijakan Hasil pengujian pada trading volume activity menunjukkan bahwa pasar modal Indonesia, Malaysia dan Thailand tidak menunjukkan adanya reaksi signifikan. Namun pasar modal Singapura menunjukkan adanya perbedaan signifikan ATVA periode sebelum dan setelah adanya pengumuman kebijakan lockdown awal pandemi COVID-19.

Kata Kunci: Pengumuman Kebijakan Lockdown; Abnormal Return; Trading Volume Activity

This research was conducted to see the reaction of the capital market to the announcement of the initial lockdown policy for the COVID-19 pandemic in Indonesia, Singapore, Malaysia and Thailand. The capital market reaction can be seen by analyzing the difference in abnormal returns and trading volume activity during the 7 days before and 7 days after the announcement of the lockdown policy on the capital market indices LQ45, STI, FBM KCLI and SET50. The number of samples from the population used in the study were 124 issuers. Sample testing is done by using the one sample t-test method, Paired sample t test and the Wilcoxon Signed Rank Test. The results of the study show that the capital markets of Indonesia, Singapore, Malaysia and Thailand do not show any significant reaction to the policy announcement event when viewed from the average abnormal return in the period before after the policy. The test results on trading volume activity show that the Indonesian capital market, Malaysia and Thailand did not show any significant reactions. However, the Singapore capital market shows a significant difference in ATVA for the period before and after the announcement of the initial lockdown policy for the COVID-19 pandemic.

Keywords: Lockdown Policy Announcement; Abnormal Return; Trading Volume Activity