THE ANNOUNCEMENT OF THE FIRST POSITIVE CASE CORONA VIRUS (COVID-19) IN INDONESIA

Abstract

This study aims to determine whether there are differences in the average abnormal return, trading
volume activity, and trading frequency activity of pharmaceutical company stocks before and after the
announcement of the first case of the corona virus (Covid-19) in Indonesia. The sample was selected using
the purposive sampling method and collected as many as 9 pharmaceutical companies listed on the Indonesia
Stock Exchange during 2019 - 2020. The data used in this study is secondary data in the form of daily stock
closing prices, Composite Stock Price Index (CSPI), volume share trading, number of shares outstanding, and
frequency of trading of shares obtained from the Indonesia Stock Exchange. This research is an event study
with an observation period of 14 days, namely 7 days before and 7 days after the announcement of the first
positive case of the corona virus in Indonesia. Hypothesis testing using the paired sample t-test method if the
data is normally distributed, whereas if the data is not distributed abnormally, the Wilcox on signed rank test
will be used.