The purpose of this research is to know the market reaction on the first COVID-19 announcement in Indonesia, specifically in the KOMPAS 100 index. In addition, this research also aims to test whether firm size and industry differences have an effect on abnormal returns. This study uses an event study and cross-sectional analysis, with market reaction measured by abnormal return (AR). The sample used is 100 companies listed on the KOMPAS 100 index. This study uses multiple linear regression analysis with EVIEWS 10 software. The results show that the market had reacted negatively one day before the COVID-19 announcement. It was also found that firm size had a positive and significant effect on Abnormal Return. This shows that companies with large scales will tend to experience better abnormal return reactions. In addition, industry differences also have a positive and significant effect on abnormal returns. This shows that investors are still optimistic about holding shares in an industry that is vulnerable to the COVID-19 pandemic. The research results indicate that the first hypothesis is accepted and the second hypothesis is rejected.