ABSTRACT
COVID-19 has infected more people and caused more deaths, trigger the imposition of movement restriction yet affecting the global economy. COVID-19 pandemic has exerted a significant effect on stock market performance worldwide. Indonesia has the highest number of confirmed cases and deaths in Southeast Asia as of September 2021. This study explores the effects of COVID-19 pandemic on stock market performance in Indonesia. The panel-data regression method was used to examine the effect of daily growth of COVID-19 confirmed cases and deaths, lockdown policies, and COVID-19 vaccinations to daily return and volatility of 243 stocks in Indonesia from 2 March 2020 to 30 September 2021. The result reveals that the COVID-19 confirmed cases and deaths affect stock return negatively and increase stock volatility, meanwhile lockdown policies and COVID-19 vaccinations affect stock return positively and decrease stock volatility.
