ABSTRACT
The emergence of the COVID-19 pandemic has triggered a wide range of responses from the economics and business environment. According to the market data, there is a strong negative correlation between the first positive case and death on the Large-Scale Social Restrictions (PSBB) policy. Therefore, this study aims to determine how the Indonesian Sharia Stock Index (ISSI) reacts to government policies implemented to reduce the virus's spread rate and increase the capital market. It also analyzes the t-test significance of the cumulative abnormal return of all ISSI constituent before and during the pandemic. The findings reveal that every change in PSBB policy impacts stock returns.
