Analysis of Indonesian Capital Market Reaction to Automotive Sub Sector Companies and Components Listed on the Indonesia Stock Exchange during the Covid-19

This study aims to analyze the reaction of the capital market due to events announcement of the first case of covid-19 on March 2, 2020, at sub companies automotive and components sector, to prove the capital market reaction by looking at indicators of abnormal return, trading volume activity and frequency stock trades. This research is an event study, and the data collected collected in this study will be tested by statistical test one sample test andpaired sample test for normally distributed, while one sample wilcoxon sing rank test and paired wilcoxon test for distributed data not normal. The results showed abnormal returns before and after 0.311 > 0.05 or there is no significant difference in abnormal returns before and after the event. Trading volume activity before and after 0.049 < 0.05 means there is a significant difference in trading volume activity before and after incident. And the trading frequency before and after 0.010 < 0.05 means there is a significant difference in the frequency of stock trading before and after the event. Indicator Abnormal return shows no market reaction to the announcement of events, while trading volume activity and frequency stock trading indicates a market reaction to the announcement incident