Muhammad Zaki Mubarak Primary Author mixed material bibliography Banda Aceh Ekonomi Pembangunan 2024

Skripsi

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. 0 ELECTRONIC THESES AND DISSERTATION Universitas Syiah Kuala 119717 2024-01-24 11:39:54 2024-01-24 11:57:00 machine generated