Does super deduction R&D financial policy in the pandemic Covid-19 give a super reaction?

Cahyani Tunggal Sari, Eni Puji Estuti, Ariyani Indriastuti

Abstract


This research was motivated by the announcement of the super deduction R&D finan- cial policy (PMK 153/2020) issued by the Indonesian government during the Covid-19
in 2020. This study tried to test and empirically prove either the presence or absence of
abnormal returns on the day around the announcement, before and after the announce-
ment optimal portfolio of pharmaceutical and health sector stocks during the observation
time around the announcement of the super deduction R&D financial policy. This is
a quantitative research with event study using hypothesis testing from one sample
t-test and paired sample t-test. The results showed that there was 1 day of observation,
which indicated an abnormal return around the announcement day. Overall, before
and after being announced based on the results of the paired sample t-test, it did not
show any abnormal returns. The highest optimal portfolio analysis is on stock of Darya Varia Laboratoria company which have a weighting of 40.86% and there are two stocks that are not optimal. This study shows that there is a reaction of market participants to pharmaceutical and health stocks on the announcement even though the reaction is very small. Based on the result, there is a need for information related to research and development activities of pharmaceutical and health companies for investors if they want to improve their stock performance.


Keywords


Abnormal return, Portfolio, Super deduction policy.

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DOI: http://dx.doi.org/10.14414/jbb.v11i2.2711

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