ABSTRACT
This research aims to examine the stock market's response to the first announcement of COVID-19 that hit Indonesia on March 2nd, 2020. To evaluate the relation between market responses and the first announcement of COVID-19 cases, this research used an event study approach and was supported by multiple linear regressions. We also used the Fama French three-factor models to predict expected returns. Consistent with the previous studies, our regression analysis revealed that the market reacted negatively to the announcement of COVID-19. The empirical findings can be used by investors to consider investing in the Indonesian stock market, especially for health disaster announcements.
