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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