Main Article Content


This study aims to analyze the impact of the COVID-19 pandemic on Indonesia’s stock market performance. Considering the characteristics of daily stock return data that shows the characteristics of volatility clustering, the analytical method used is to develop a heteroscedastic model specification whose parameters are estimated using the maximum likelihood method. Based on data from March 2020 to January 2021, this study finds that the Exponential-GARCH asymmetric model is the best model compared to the Standard-GARCH symmetric model or the asymmetric Threshold-GARCH model. The inference analysis conducted on the Exponential-GARCH asymmetric model in this study shows that the stock market's performance that is significantly affected by this pandemic is the volatility of its returns. Stock price volatility is one of the important variables in stock market performance. This study produces empirical findings that government policies on social restrictions contribute significantly to suppressing stock market volatility. As for government policies in mitigating the risk of the spread of the epidemic, in this study it is measured through a stringency index. This index was released by the Oxford COVID-19 Government Response Tracker (OxCGRT) which monitors the government's response to the coronavirus in 160 countries and is a parameter that evaluates the policies taken by a country's government based on nine metrics. This index does not measure the effectiveness of a country's government response, but only the level of tightness. However, the results of the tests carried out in this study did not find a significant impact of pandemic indicators, the number of cases, and the number of daily deaths related to COVID-19 on stock returns.


Pandemic Stringency Index EGARCH Return Volatility

Article Details

How to Cite
Lesmana, I. S., & Saadah, S. (2021). Pandemic And Indonesia Stock Market Performance. Ilomata International Journal of Management, 2(4), 254-261.


  1. Ashraf, B. N. (2020). Economic Impact of Government Interventions during the COVID-19 Pandemic: International Evidence from Financial Markets. Journal of Behavioral and Experimental Finance, 27, 100371. doi: 10.1016/j.jbef.2020.100371
  2. Baig A. M., Khaleeq A., Ali U., & Syeda, H. (2020). Evidence of the COVID-19 Virus Targeting the CNS: Tissue Distribution, Host-Virus Interaction, and Proposed Neurotropic Mechanisms. ACS Chem Neurosci, 11(7), 995-998. doi: 10.1021/acschemneuro.0c00122
  3. Billings, M. (1997). The Influenza Pandemic of 1918. Stanford Education.
  4. Department of Social Policy and Intervention. (2020). Oxford Supertracker: The Global Directory for COVID Policy Trackers and Surveys. University of Oxford.
  5. Garrett, T. A. (2007). Economic Effects of the 1918 Influenza Pandemic. Federal Reserve Bank of St. Louis, Report.
  6. Haryanto. (2020). Dampak COVID-19 terhadap Pergerakan Nilai Tukar Rupiah dan Indeks Harga Saham Gabungan (IHSG). The Indonesian Journal of Development Planning, 4(2), 151-165.
  7. Ibrahim I., Kamaludin K., & Sundarasen, S. (2020). COVID-19, government response, and market volatility: Evidence from the Asia-Pacific developed and developing markets. Economies, 8(4), 105.
  8. Kartika, A. (2010). Faktor-faktor yang mempengaruhi audit delay di Indonesia (Studi Empiris Pada Perusahaan-Perusahaan LQ 45 Yang Terdaftar Di Bursa Efek Jakarta). Jurnal Bisnis dan Ekonomi (JBE), 16(1), 1-17.
  9. Stebbins, Samuel. (2020). Unemployment: These are every state's claims since the coronavirus shut the economy down. Accessed in February 10th 2021 from
  10. Utomo, C. D., & Hanggraeni, D. (2021). The Impact of COVID-19 Pandemic on Stock Market Performance in Indonesia. The Journal of Asian Finance, Economics and Business, 8(5), 777-784. doi:10.13106/jafeb.2021.vol8.no5.0777.
  11. Wagner, A.F. (2020). What the stock market tells us about the post-COVID-19 world. Nat Hum Behav, 4, 440.
  12. World Health Organization. (2008). The Global Burden of Disease: 2004 update. Geneva.
  13. Yousef, Ibrahim. (2020). Spillover of COVID-19: Impact on Stock Market Volatility. International Journal of Psychosocial Rehabilitation, 24(6), 18069-18081.