Dataset of Abnormal Return (AR) and Trading Volume Activity (TVA) Analysis in Different Health Policy Situation during Pandemic Covid-19 in Indonesia

The dataset contains an analysis of Abnormal Return (AR) and Trading Volume Activity (TVA) on three health policy situations in Indonesia, namely the announcement of the first confirmed patient, the implementation of large-scale social restrictions, and the new normal era. The data used is secondary data from the Indonesia Stock Exchange based on the attachment to the announcement from the Indonesia Stock Exchange No. Peng-00014/BEI.POP/01-2020 dated January 27, 2020. The sampling technique uses purposive sampling, it was the shares of companies listed in LQ45 as many as 45 shares. The window period used in this study was 15 days, namely 7 days before, 1 day of announcement and 7 days after the announcement of several health policies that were implemented. AR and TVA data were analyzed from raw data using several formulas.本数据集针对印度尼西亚的三类卫生政策场景展开异常收益（Abnormal Return, AR）与交易活跃度（Trading Volume Activity, TVA）的分析，具体涵盖首例确诊病例通报、大规模社会限制措施实施以及新常态时期三大场景。本研究采用的基础数据为印度尼西亚证券交易所（Indonesia Stock Exchange）的二手数据，数据来源为2020年1月27日发布的编号为Peng-00014/BEI.POP/01-2020的印度尼西亚证券交易所公告附件。采样方法采用目的性抽样（purposive sampling），样本为印度尼西亚证券交易所LQ45指数成分股，共计45支股票。本研究设定的事件窗口时长为15个交易日，即各卫生政策公告前7日、公告当日及公告后7日。研究通过预设公式对原始数据中的AR与TVA数据进行分析处理。