Electronic Theses and Dissertation

ABSTRACT
Title : Covid-19 and Market Efficiency of Indonesian Stock
Market
Name : Muhammad Zaki Mubarak
Student ID : 2001101010053
Department/Faculty : Development Economics/Faculty of Economics and Business
Supervisor : Dr. Aliasuddin, S. E, M. Si
Concentration : Monetary Economics
The aim of this research is to investigate the efficiency of the Indonesian stock market during the Covid-19 pandemic. Considering the shock caused by the Covid-19 pandemic as well as macroeconomic variables, namely inflation, interest rate, exchange rate and oil prices, this research proposes an ARDL testing approach to study the relationship between the Covid-19 Pandemic and macroeconomic variables on IDX Composite return. In addition, this approach makes it possible to test the long and short-term relationship between the Covid-19 Pandemic and macroeconomic variables on stock return. The results show that, in the long-term, stock return efficiently reflect the effects of the Covid-19 pandemic and macroeconomic variables, except inflation. In contrast, in the short term, the Indonesian stock market only reflects the interest rate efficiently, while other macroeconomic variables and the Covid-19 pandemic are not reflected efficiently.
Keywords: Efficient Market Hypothesis, Covid-19 Pandemic, Macroeconomic Variables, IDX Composite.

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