Which annual Jewish festival was established in the book of Esther?

Answer: Purim

The days were called Purim, from the word Pur (the lot), and the Jews bound themselves to celebrate them every year.

“Therefore these days are called Purim, from the word Pur. Because of all the instructions in this letter, and because of all they had seen and experienced,”— Esther 9:26 (BSB)