Muhammad Afdhal, Arung Gihna Mayapada and Sudirman Septian
The COVID-19 pandemic that occurred in 2020 to date in the world has had a negative impact on capital markets. Some of the largest stock market indices in the world had fell because the economy was deteriorating. The worsening of the economy could not be separated from the impact of policies taken by the government in breaking the chain of the spread of COVID-19, such as lockdowns. This study aims to determine and analyze the impact of lockdowns policies due to the COVID-19 pandemic on the abnormal return of stocks in the restaurant, hotel, and tourism sub-sector firms listed on the Indonesia Stock Exchange. This research is conducted by examining the periods before and after implementing government policies related to lockdowns, namely Large-Scale Social Restrictions in March 2020 and the Enforcement of Restrictions on Community Activities in January 2021. Abnormal returns of stocks are calculated using the single index model method. The research data are analyzed using paired sample t-test. The results of this study reveal differences in abnormal returns between before and after the implementation of Large-Scale Social Restrictions at the beginning of the spread of COVID-19 in Indonesia in 2020. However, this study reveals no difference in abnormal returns between before and after the Enforcement of Restrictions on Community Activities in 2021. These results indicate that investors in the restaurant, hotel, and tourism sub-sector were only reactive in the initial period of the spread of COVID-19 in Indonesia.