Market Reaction Before and After Coronavirus Disease-2019 Announcement in Indonesia on Pharmaceutical Sub Sector Companies

ABSTRACT : On the 2nd March of 2020, Indonesia’s first two COVID-19 cases were confirmed. This studyaims to analyze the market reaction before and after the announcement of COVID-19 in Indonesia on averageby using the average abnormal return and the average trading volume activity. Event study approach is used toobserve market reaction before and after announcement within 7 days window period. Market reaction proxiedusing average abnormal return and average trading volume activity. This research focuses on 10pharmaceutical companies listed on the Indonesia Stock Exchange using a total sampling technique. Data wereanalyzed using wilcoxon signed rank test. The test results showed there is difference in average abnormal returnbefore and after the COVID-19 announcement in Indonesia, but there is no difference in average tradingvolume activity.

Keywords: COVID-19; Market Reaction; Abnormal Return; Trading Volume Activity