What Factors Affect Stocks’ Abnormal Return during the COVID-19 Pandemic: Data from the Indonesia Stock Exchange

This study identifies Indonesian investors’ reactions to the drop in stock prices on Indonesia Stock Exchange market, during early months of COVID-19 crisis, before and after World Health Organization (WHO) announced that its global spread constitutes a pandemic. It also explores variables influence returns this market financial crisis caused by uses regression analysis 70 firms, listed examine pandemic’s trading volume, capitalization, profitability, book value for period December 31, 2019, April 30, 2020. The results show were lower Firms’ volumes, profitability values positively affected their capitalization negatively period. contributes useful insights finance literature stock-market participants terms dealing with markets crises. recommends any investors should begin buying stocks or increasing purchases achieve abnormal choosing perform well firm looking number factors.