ANALYSIS OF CAPITAL MARKET REACTION TO THE ANNOUNCEMENT OF THE MINISTER OF FINANCE REGULATION (PMK) NUMBER 20/PMK.010/2021 AND NUMBER 77/PMK.010/2021

ABSTRACT: The Indonesian government issued a fiscal policy through the minister of finance (PMK)regarding the Luxury Sales Tax (PPnBM) incentives for motorized vehicles at stimulating the Indonesianeconomy through the consumption of the upper-middle class as a result of Covid-19. This research is anempirical study that uses case studies to analyze the market reaction to the Regulation of the Minister of Finance(PMK) Number 20/PMK/0.10/2021 and PMK Number 77/PMK/0.10/2021. This study uses a non-probabilitysampling technique with a saturated sample type. The test shows signs of abnormal returns with a one-sample ttest on 12 samples of companies in the automotive and component sectors listed on the Indonesia StockExchange. The results show that the announcements of PMK Number 20/PMK/0.10/2021 and PMK Number77/PMK/0.

Keywords: Market Reaction, Abnormal Return, Government Policy, Efficiently Market, Signaling Theory