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Abnormal return of Indonesian banking shares in the time of COVID 19:An event study on the announcement of government regulation, POJK 11 of 2020

Author

Listed:
  • Erna Handayani

    (Universitas Muhammadiyah Purwokerto, Jl. KHA Dahlan 103 Purwokerto53182, Indonesia)

  • Alni Rahmawati

    (Universitas Muhammadiyah Yogyakarta, Tamantirto, Kasihan, Yogyakarta 55183, Indonesia)

  • Eko Haryanto

    (Universitas Muhammadiyah Purwokerto, Jl. KHA Dahlan 103 Purwokerto53182, Indonesia)

  • Sri Wahyuni

    (Universitas Muhammadiyah Purwokerto, Jl. KHA Dahlan 103 Purwokerto53182, Indonesia)

Abstract

With the pandemic Covid, the Indonesian government issued a fiscal policy through the Financial Services Authority (POJK 11 2020) on National Economic Stimulus as Policy Countercyclical Impact Deployment Coronavirus Disease, 2019. This study analyzes the reaction markets banking sector in Indonesia to the event announcement publication of these regulations. This quantitative study uses the Event Study methodology. This study uses abnormal return testing events on secondary data 45 Indonesian banks listed on the Jakarta Stock Exchange. The method of calculating the abnormal return uses the Market Model, with an estimated period of 21 days and a window period of 11 days. The research period was carried out between February 11 and March 20, 2020. The test carries out with an average of difference test before and after the event, with an error rate of 5%. Based on the cumulative abnormal return t-test, data shows that from minus five days, the regulation's announcement up to 5 days after which the market moves significantly negative. This event study is a news phenomenon of Indonesia's latest financial policies related to banking stocks during the Covid pandemic. Key Words: Abnormal Return, Covid 19, Banking , Monetary Health

Suggested Citation

  • Erna Handayani & Alni Rahmawati & Eko Haryanto & Sri Wahyuni, 2020. "Abnormal return of Indonesian banking shares in the time of COVID 19:An event study on the announcement of government regulation, POJK 11 of 2020," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 9(7), pages 108-114, December.
    • Handle: RePEc:rbs:ijbrss:v:9:y:2020:i:7:p:108-114
    DOI: 10.20525/ijrbs.v9i7.964
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    References listed on IDEAS

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    3. Tamechika, Hanae, 2020. "Effects of Environment-Related Stimulus Policies: An Event Study Approach," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia 305244, Australian Agricultural and Resource Economics Society.
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