<![CDATA[This study aims to determine whether there are significant differences in abnormal returns in the period before and after the first announcement of COVID-19 in Indonesia and significant differences in trading volume activity before and after the first announcement of COVID-19 in Indonesia. This study uses data obtained through the Indonesia Stock Exchange website and Yahoo Finance with a research period of 7 days before and 7 days after the event date, namely February 20, 2020 - March 11, 2020. The population in this study were all companies in the K111 sub-sector listed on the Indonesia Stock Exchange, sample selection using the pruposive method sampling, so that the sample from this study became 3 companies. The results of the study using the one sample t-test showed that there was no significant abnormal return before and after the first announcement of COVID-19 and significant trading volume activity before the announcement of the first COVID-19, the test using the one sample Wilcoxon signed rank test showed that there was no significant trading volume activity after the first announcement of COVID-19 and a different test using the paired sample t-test and the paired sample Wilcoxon signed rank test both showed that there was no difference in abnormal returns before and after the first announcement of COVID-19 and there was also no the difference in trading volume activity before and after the first announcement of COVID-19 in Indonesia. Abstrak Penelitian kuantitatif ini bertujuan untuk mengetahui apakah terdapat perbedaan signifikan abnormal return dan trading volume activity sebelum dan sesudah pengumuman pertama COVID-19 di Indonesia. Penelitian ini menggunaka data skunder yang diperoleh melalui website Bursa Efek Indonesia dan Yahoo Finance dengan periode penelitian 7 hari sebelum dan 7 hari sesudah event date yaitu 20 Februari 2020 - 11 Maret 2020. Populasi pada penelitian ini adalah keseluruhan perusahaan pada sub sektor K111 yang terdaftar di Bursa Efek Indonesia, pemilihan sampel menggunakan metode purposive sampling, sehingga sampel dari penelitian ini menjadi 3 perusahaan. Hasil penelitian menggunakan uji one sample t-test menunjukan bahwa tidak terdapat abnormal return yang signifikan sebelum dan sesudah pengumuman pertama COVID-19 dan trading volume activity yang signifikan sebelum pengumuman pertama COVID-19, uji menggunakan one sample wilcoxon signed rank test menunjukan bahwa tidak terdapat trading volume activity yang signifikan sesudah pengumuman pertama COVID-19 dan uji beda menggunakan paired sample t-test dan uji paired sample wilcoxon signed rank test sama-sama menunjukan bahwa tidak terdapat perbedaan abnormal return sebelum dan sesudah pengumuman pertama COVID-19 dan juga tidak terdapat perbedaan trading volume activity sebelum dan sesudah pengumuman pertama COVID-19 di Indonesia.]]>
