Investor Reactions to the announcement of the Covid-19 Public Health Emergency Determination (Event Study at ILQ-45 Companies Listed on the IDX)

ABSTRACT : The purpose of this study is to analyze investors’ reactions to the announcement of the publichealth emergency determination of COVID-19 by seeing whether there is a significant difference in the averageabnormal return, security return variability, and trending volume activity before and after the event. Theresearch observations used the window period, H-5 and H + 5, for the determination of events on March 31,2020. This research is an even study using secondary data in the form of daily transaction data in the capitalmarket. The population and research sample were ILQ-45 companies for the period February 2020 – July 2020.The data analysis technique used a non-parametric test in the form of the Wilcoxon test. The results showed (1)The probability value of the abnormal return is below 0.05, so that there is a difference in the average abnormalreturn before and after the determination of the COVID-19 public health emergency. (2) The probability valueof security return variability and trading volume activity is above 0.05, so the results of the study indicate thatthere is no difference in the average security return variability and trading volume activity before and after thedetermination of the public health emergency COVID-19.

Keywords –Abnormal Return, COVID-19, Investor Reaction, Security Return Variability, Tranding VolumeActivity