Reactions of Indonesia Stock Market to Covid-19 Pandemic

Abstract This study aims to examine negative responses to COVID-19 pandemic in Indonesia in the stock market. Striking since March 2020, coronavirus has been really fast and unexpected, sparking concerns among investors particularly over conditions of stock market in Indonesia. Stock market reactions are manifested in Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR). Samples were collected using purposive sampling method. Population of the study was all companies listed on Indonesia Stock Exchange and investors possessing securities account. This event study adopted market-adjusted model along with an observation period of 15 days, seven days prior to announcement of the first two cases of coronavirus in Indonesia and seven days after. Results indicate statistically significant abnormal return on certain days within the window period.