Analysis of differences in share return, trading volume activity, and bid-ask spread of share before and after the announcement of emergency community activities restrictions enforcement (PPKM): study on transportation sector companies listed on the Indonesia stock exchange

Abstract

<p class="05IdAbstractText"><a name="_Hlk78294353"></a><span lang="EN-US">COVID-19 is a virus that spreads very quickly throughout the world, including Indonesia, which has an impact on health and economic conditions. Community Activities Restrictions Enforcement (PPKM) Emergency is one of the policies of the Indonesian government as an effort to overcome it. The purpose of this study was to examine differences in returns, trading volume activity, and bid-ask spreads of stocks before and after the announcement of the Emergency PPKM using the event study method. The sample of this study is all members of the population totaling 27 companies in the transportation sector listed on the Indonesia Stock Exchange. The research approach uses descriptive and comparative methods with a different Wilcoxon signed rank test with SPSS 26 program. The test results show that there is no difference in stock returns, no difference in trading volume activity, and no difference in the bid-ask spread before and after the Emergency PPKM announcement.</span></p>