The Impact of Asymmetric Price Limits on Stock Portfolio Returns: Evidence from Indonesian Markets

This study examines the effect of asymmetric price limits policy on stock portfolio returns represented by equity mutual funds. An event study methodology was used to calculate abnormal returns (ARs) across four estimation models: constant mean, market-adjusted return, market model, and capital asset pricing model. The sample consists of 237 equity funds in Indonesia, with 7,968 observations in the estimation window and 4,977 in the event window. Statistically significant Average Abnormal Returns (AARs) and Cumulative Average Abnormal Returns (CAARs) were found through parametric and non-parametric tests. The findings are consistent with panel data analysis results. An increase in average returns and a decrease in standard deviation were found for sampled equity funds following the policy implementation. These findings highlight the importance of policy interventions in stabilizing financial markets during crises and offer valuable insights into stock portfolio performance before and after the policy.