Analysis of Factors Affecting Stock Return in the Middle of the Covid-19 Pandemic
Purpose: Covid is an infectious disease that was originally discovered in late 2019 in China and was discovered on March 2, 2020 in Indonesia. These infectious diseases are very difficult to control and have a bad impact on all sectors of the economy, especially the capital market. Design/Methodology/Approach: Therefore, researchers are interested in examining the relationship between Covid cases and stock returns. The variables tested include daily Positive Confirmation, Death Confirmation, LMCAP (Natural Log Market Capitalization) and BTM (Book To Market). This research method uses quantitative methods sourced from secondary data obtained from IDX. Findings: From the results of tests that have been carried out, the daily positive confirmation variables, Covid deaths, and recovery confirmations have a significant negative effect, while the LMCAP and BTM variables have a significant positive effect. Practical Implications: The impact of Covid-19 cannot be denied, it also has an impact on the decline in stock prices, especially cyclical stocks or issuers that are vulnerable to business cycles and are closely tied to economic conditions. Originality/Value: Confirmed cases of Covid-19 have a significant detrimental effect on stock returns. The results of the increase in confirmed cases and deaths experienced a significant decline.