Does Covid-19 Pandemic Affect the Stock Market in Indonesia?
Dwi Rahmayani, Shanty Oktavilia


This study aimed to analyze the existence and effect of pandemic Covid-19 on the stock market between the long-term and short-term in Indonesia. The study combined with Krugman's (1979) approach stating the pandemic crisis problem could decrease international payments' balance, ultimately leading to unyielding to the market. The research method was using Error Correction Model (ECM) with stock markets as an endogenous variable; and exchange rate, inflation, interest rate, foreign stock markets, commodity price, and pandemic as exogenous variables. The pandemic indicator was measured by total accumulative cases of Covid-19 per day in Indonesia. Using ECM, the result showed that foreign interest rates and commodity prices positively affect the stock markets. Conversely, the exchange rate has a negative effect on the stock markets. However, the estimation fails to reflect the significant impact of pandemic Covid-19 in the short-term, but it has a negative effect on stock markets in the long-term. This result implies that given higher total accumulative cases of Covid-19 has been the source of Indonesia's stock market weakness in the long-term. To the best of the author’s knowledge, this study is the first to examine Indonesia's stock market's pandemic impact between the short term and long term.


Covid-19; error correction model; interest rate; pandemic; stock market