Stock Market Reaction to Corona Outbreak in Indonesia (Study on The Tourism Industry in Indonesia Stock Exchange)

ABSTRACT: The purpose of this study was to determine the presence of abnormal returns in the tourismindustry due to the Corona outbreak in Indonesia. This research is conducted at companies that are members ofthe Tourism Industry on the Indonesia Stock Exchange with a research period of 10 months (5 months before, tdate, and 5 months after). This research uses March 2, 2020, as the date, which is when the President announcedthe first case for Corona Outbreak. The sample in this study amounted to 26 companies with the analysistechnique used was the t-test or Wilcoxon Signed Ranks Test. The results in this study are that the CoronaOutbreak event did not make a difference before and after the date. The results of the Wilcoxon Signed RanksTest is a significant level of 0.423 or greater than 0.05, so it was rejected. The conclusion in this study is thatthere is no difference in returns to the tourism industry on the Indonesia Stock Exchange. No difference occursdue to information leakage so that investors have analyzed in advance the investment decision to be used.

Keywords: market reaction, tourism industry, abnormal return, Wilcoxon signed-ranks test