The Relationships between Abnormal Return, Trading Volume Activity and Trading Frequency Activity during the 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 in pharmaceutical stocks before and after the announcement of the first case of the coronavirus (COVID-19) in Indonesia The sample was selected using a purposive sampling method and collected as many as nine pharmaceutical companies listed on the Indonesia Stock Exchange during 2019–2020 The data used in this study were secondary data in the form of daily data on stock closing prices, Composite Stock Price Index (IHSG), stock volume trading, number of shares outstanding, and stock trading frequency This study was an event study with an observation period of 14 days, namely seven days before and seven days after the announcement of the coronavirus’s first positive case in Indonesia Hypothesis testing employed the paired sample t-test method Based on the results, it was found that there was no difference in the average abnormal return of pharmaceutical stocks before and after the announcement of the first case of COVID-19 However, there was a difference in the average trading volume activity and the average trading frequency activity in pharmaceutical stocks before and after the announcement of the first case of COVID-19 © Copyright: The Author(s) This is an Open Access article distributed under the terms of the Creative Commons Attribution Non-Commercial License (https://creativecommons org/licenses/by-nc/4 0/) which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited