Analysis of Share Trading Volume and Abnormal Stock Returns Before and After the Implementation of OJK Regulation Number 17/POJK.03/2021

Sutapa, I Ketut Ronny Setiawan and Sumiari, Kadek Nita and Putri, Wayan Tari Indra (2022) Analysis of Share Trading Volume and Abnormal Stock Returns Before and After the Implementation of OJK Regulation Number 17/POJK.03/2021. Repositori Politeknik Negeri Bali.

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Abstract

The emergence of the Covid-19 pandemic has had a huge impact on society. Not only has an impact on the health sector, but also has an impact on the economy. The problem of banking credit risk emerged as a result of the global spread of Covid-19. Increased credit risk has the potential to disrupt banking performance and financial system stability, which could affect economic growth. To overcome this problem, the Financial Services Authority issued OJK regulation Number 17/POJK.03/2021 which regulates the national economic stimulus as a countercyclical policy due to the impact of the spread of Coronavirus Disease 2019 in the form of credit restructuring which is valid until March 31, 2023. This study aims to test whether there are differences in stock trading volume and abnormal returns before and after the enactment of OJK regulations No. 17/POJK.03/2021 with a 6-day window period, namely 3 days before the regulation and 3 days after the regulation. The object of this research is the banking companies listed on the Indonesia Stock Exchange as many as 43 companies. Data obtained from the website www.idx.co.id and RTI Business. Data were analyzed using the One Sample Kolmogorov Smirnov Test method and continued with the Wilcoxon Match Pairs Test. The results show that there are differences in the average stock trading volume and abnormal returns before and after OJK regulation Number 17/POJK.03/2021.

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