CAPITAL MARKET REACTION BEFORE AND AFTER THE ANNOUNCEMENT OF THE FIRST CASE OF COVID-19 IN INDONESIA

This study aims to determine the differences in abnormal return, frequency of trade, and market capitalization before and after the informations regarding the first reporting of COVID-19 in Indonesia on the Indonesia Stock Exchange. The research population is all companies that entered into Top Leadings in Market Capitalization companies on the Stock Exchange in the period Februari – April 2020, namely as many as 50 companies. The sample in this study was taken using the census method, meaning that the number of samples taken was equal to the number of members of the population. To test the hypothesis of this study using a paired sample test. The observation began 30 days before the event and 30 days after the event. This study uses quantitative research in the comparative method. The finding show that the information caused the market was approved. This is proven by the existence of significant results in daily tests on the indicators. The results were also significant in the combined abnormal return test and the combined market capitalization test. The trade comparison test results show a significant difference which means there was a market-panic towards trading activities after the event that caused some frequency differences, before and after the event in terms of trade transactions. So, the results of this study indicate that there are differences in abnormal returns, frequency of trade, and market capitalization before and after the announcement of the informations regarding the first reporting of COVID-19 in Indonesia.

[302] announced the first Covid-19 patient, the rupiah was under intense pressure. As a result of the pandemic, many countries implemented regional quarantine (lockdown) policies to reduce its spread. As a result, economic activity has decreased sharply, and the recession has returned (Inri B. Sambuari, Ivonne S. Saerang, 2020).  or Corona Virus Disease is a new virus that attacks the human respiratory system, after it was first discovered in Wuhan, China at the end of 2019, quickly spreading throughout the world. This virus instantly made it a pandemic in more than 200 countries in the world. The impact is not only on the health sector but has an effect on various aspects of life and has a major impact on world economic traffic such as China, the US, Japan, Korea, leading to a world recession. IMF (International Monetary Fund) states that the current condition is entering an economic crisis with a situation that is more severe than 2008 which not only has an impact on the Money Market but also has a significant impact on the Capital Market. The stock price index all over the world dropped drastically as well as the JCI in Indonesia had dropped sharply and touched its lowest level at Rp. 3,911.71. To keep market conditions from continuing to decline, the OJK (Financial Services Authority) and the Indonesia Stock Exchange issued several policies such as reducing 1.5 hours of exchange trading from normal trading hours in effect from March 30, 2020, OJK also gave issuers the flexibility to make repurchases. (buyback) shares without asking for prior approval at the General Meeting of Shareholders, Implementing a policy of temporarily stopping trading for 30 minutes if there is a decrease of 5% in intraday trading (Putri, 2020). So, the Corona Virus is certain to have an impact on the Indonesian economic sector, where the capital outflow or capital outflow in the stock market also occurs as much as Rp. 980 billion.
The event to be tested for its information content on the capital market is the Corona Virus event in Indonesia. Testing the information content of market activity is intended to see the market reaction to these events. If it contains strong information, there will be a reaction received by the market. The reaction to this Corona Virus event is measured using abnormal returns as the value of price changes, and to ascertain whether there is an effect of information on the Corona Virus event that occurred in Indonesia. With the occurrence of abnormal returns, it can be said that an event announcement that contains information will give an abnormal return to the market (Inri B. Sambuari, Ivonne S. Saerang, 2020).
The frequency of stock trading is the total sale and purchase of industrial shares at a certain time or period (Shabib-ul-hasan, Syed, Sumair Farooq, 2015). An increase in E-ISSN: 2746-4393 Capital Market Reaction Before and After Announcement of the First Case of  [303] demand for shares will increase the frequency of trading. The increase in the frequency of trading transactions will encourage stock prices to increase so that stock returns will also increase. The information content is also able to affect the value of stock trading.
According to Taslim and Wijayanto (2016) market capitalization is the multiplication of the closing price on the market and the total issued shares. So that the conclusion obtained states that market capitalization is the value of the size of a share that has been issued by the industrial owner. Investors are usually eyeing a stock that has a high capitalization so that it can be used as a measure in carrying out a fairly long-term investment due to the extraordinary development of the industry which is balanced with profit sharing and low risk exposure. Due to the high demand, the stock price is usually relatively large so that it will share a large return as well. To see whether an event contains abnormalities or not, event study method research is used. Event study is research by studying the market reaction to an event whose information is published as an announcement by taking a sample in the form of closing stock prices (Niawaradila et al., 2021).
The choice of the manufacturing industry in this study is because it is related to the basic needs needed by humans to survive, so the shares of the company are still able to make a profit even though economic conditions are deteriorating. For this reason, it can be seen whether the manufacturing industry is able to survive in an unstable state due to the Corona Virus incident. all aspects of the "Bamboo Curtain" country completely paralyzed. The country's economy is also disrupted, and has an impact on other countries in the Southeast Asia Region, even globally. As a result of this virus, many foreign investors sold their shares due to the panic that the capital market abroad experienced a drastic decline. Asian exchanges also reacted to this incident. Not only in the Asian region, the United States and Europe have also experienced a decline. The Asian Development Bank (ADB) estimates that the Corona Virus outbreak will cause global economic losses of US $ 347 billion or the equivalent of Rp. 4,944 trillion (Akbar, 2019).

Stock Trading
The financial market is a market where there is a meeting between those who have excess funds and those who are short of funds. In this market, there will be a transaction, in which the party that lacks funds will get funds from the party that has excess funds. In general, financial markets are divided into two, namely direct and indirect (Hanafi, 2008: 61-63). The financial market does not directly use intermediary instruments such as banks. The direct financial market is dominated by the capital market. There are two types of instruments contained in the capital market, namely debt instruments and equity instruments or the stock market (Deasy Lestary Kusnandar and Vivi Indah Bintari, 2020).

Trading Frequency
The frequency of stock trading is the number of share trading transactions in a certain period (Silviyani, 2014in (Taslim Ahmad, 2016). Frequency describes the number of times an issuer's shares have been traded in a certain period of time. If a stock has a high frequency, it is predicted to have active trading activity, this is due to the large amount of investor attention, so it can be recognized that the stock investors want or not. According to research (Andiani, Ni Wayan Sekar, 2018), formulating if trading frequency has a significant positive effect on stock returns. The same research was tried (Taslim Ahmad, 2016), which formulated trading frequency to have a significant positive effect on stock returns. Research tried by (Taslim Ahmad, 2016) aims to obtain empirical facts that there is a significant effect of trading frequency on stock returns.

Market Capitalization
Market capitalization or market capitalization is the market value of the shares issued by an issuer. A large market capitalization is generally one of the attractions of investors in choosing stocks. Investors are usually eyeing a stock that has a high capitalization so that it can be used as a measure in carrying out a fairly long-term investment due to the extraordinary development of the industry which is balanced with profit sharing and low risk exposure. Due to the high interest, the stock price is usually relatively large so that it will share a large return (Hanafi, 2008).

Stock Returns
According to (Hartono, 2003) stocks are divided into two, namely realized return is the return that has occurred and expected return is the return expected by investors in the future. Based on the notion of return, that the return of a stock is the result Abnormal returns can also be used as a basis for testing market efficiency. The market will be said to be efficient if none of the market players enjoy the abnormal return in a long enough period of time. Apart from the abnormal return, there is also a CAR (Cumulative Abnormal Return). CAR is the sum of all levels of profit that are not normal.
CAR is also usually calculated to include abnormal returns with a small span, only a few days. The reason is, compounding returns to normal after giving clear results. CAR is the sum of the previous day's abnormal returns in the event period for each security.
Abnormal returns usually occur around the announcement of an event. These events include, for example, mergers and acquisitions, dividend announcements, announcements of productive companies, lawsuits, increases in interest rates and others. The phenomenon of abnormal returns also often occurs when the market closes (market on close) of the IDX. This abnormal return arises due to a significant increase in trading activity. All activities in the financial sector can usually be interpreted as

Event Study
The event study is a form of empirical testing to determine the efficiency of the semi-strong form by seeing how quickly prices adjust to new information. Several stages in conducting an event study, namely (Rahyuda, 2004): a. Identify certain events (events) and their date.
b. Determine the time span of the event study (event window) which is the time to be observed around the event. Besides that, the estimation period is also determined which will be used to forecast the expected return in the event period.
c. Calculating the abnormal return during the event window, then performing a statistical test on the abnormal return

C. RESEARCH METHODS
This study uses an event study to analyze the movement of abnormal returns that occur from day to day with an event period of 30 days. The timing in this study is the date  Adjusted Model has considerable potential to produce a strong statistical test compared to other statistical models, namely the adjusted mean and the market model.
The study population was all companies that entered into the top 50 leadings in market capitalization companies on the IDX in the period February -April 2020, as many as 50 companies. The sample in this study was taken using the census method, meaning that the number of samples taken was the same as the number of members of the population (Sugiyono, 2014). To test the hypothesis of this study using Paired sample test. This test is used to determine whether or not there is an average difference between two paired (related) sample groups. That is, a sample but under two different treatments.

Data and Sources
Data The type of data used is ratio data which has absolute zero value. The data source used is secondary data, which is obtained through the website www.idx.co.id to collect the daily stock price (clossing price), the number of daily stock trading transactions (frequency), and the value of stock trading (market capitalization).

Collection Data Technique
Data Collecting and studying books, literature, journals, and theories related to this research. Documentation is used to obtain daily stock trading data.

Operational Definition of Variables a. Abnormal Return
The simplest way to calculate abnormal returns is to calculate the difference between actual returns and expected returns, using the formula (Deasy Lestary Kusnandar and Vivi Indah Bintari, 2020): Where: RTNi.t is the abnormal return for stock i on event t (or on day t) investor funds in the domestic stock market continue to experience withdrawals towards gold investment when the stock market is faltering. This can be seen from the increase in global gold prices followed by Antam's precious metal which jumped 12.14%.
However, the results of the daily test partially (before vs after) showed insignificant results. This means that this event has an impact on stock trading activities but on a daily basis the fluctuation is small, so that almost no reaction occurs, even though there is actually a reaction.
The difference in stock trading frequency is not proportional to the difference in abnormal returns. After the continuous panic, the OJK immediately issued a buyback policy without the first AGM, to overcome the decline in the JCI and reduce the risk of a lower autoreject. As a result, even though the trading frequency is quite high after the event, it does not make investors get an abnormal return. This means an increase in the frequency of trading transactions, not always followed by an increase in stock returns.