COMPARATIVE ANALYSIS OF AVERAGE ABNORMAL RETURN, AVERAGE TRADING VOLUME ACTIVITY AND AVERAGE BID-ASK SPREAD BEFORE AND AFTER COVID-19 ANNOUNCEMENT IN INDONESIA (EVENT STUDY ON IDXHIDIV20 INDEX)

Abstract

The purpose of this research is to analyze differences in the average abnormal return, the average trading volume activity, and the average bid-ask spread on Idxhidiv20 stocks before and after announced on Covid-19 in Indonesia from 17 February 2020 to 16 March 2020. This research uses the event study method. In this method, we observe the average abnormal returns, average trading volume activity, and the average bid-ask spread within 10 days before, after the event date. This research uses secondary data, thedata is collected from Indonesia Stock Exchange and Finance.yahoo.com. The data of this research consist of: day’s closing price, Index of Idxhidiv20 stocks, daily trading volume, and the number of shares of the stocks. The samples of this research consist of Idxhidiv20 stocks that were listed in the Indonesia Stock Exchange.The results showed that: (1) Based on statistical tests on the average abnormal stock returns during the event, the finding is that there is an average abnormal return but not significant before and after the announcement of Covid-19 in Indonesia. This finding indicated that investors are anticipating the Covid-19 outbreak. Most of the Abnormal returns are negative: it means that the informations from the event is bad news. (2) From the paired sample test of the average trading volume activity before and after the event, it shows that statistically there is a significant difference before and after the event. The mean value of the average trading volume activity shows that there is an increase of the average trading volume after the event than before the event comparing with the average trading volume before the event. (3) From the paired sample test of the average bid-ask spreads 10 days before and 10 days after the announcement of Covid-19 in Indonesia, showing different statistics for 10 days before and 10 days after Covid-19 was announced in Indonesia. The average value of BAS produced indicates an increase in the average price liquidity in the reporting period, whereas the average price liquidity before.