Market Reaction to the Announcement of Covid-19: Event Study in Indonesia

The aim of this research is to determine whether there are significant differences in abnormal return and trading volume activity in the time pre and post the national declaration of the first Coronavirus Disease-19 case in Indonesia announced by President Joko Widodo's on March 2, 2020. Secondary data was used to perform this study. The study's population consisted of all companies listed on the Indonesia Stock Exchange in 2020, with a purposive sample size of 327 companies. The time frame used in this analysis was 11 days, 5 days pre the first Coronavirus Disease-19 case was announced (t-5), the day of the declaration or t0, and 5 days post the first Coronavirus Disease-19 case was announced (t+5) and the estimation period used in this study is 10 days, from t-15 to t-5 pre the event date. The Wilcoxon Signed Rank Test was used to analyze the data. Post the national declaration of the first Coronavirus Disease-19 case in Indonesia, there were discrepancies in abnormal returns and trading volume operation, according to the findings