Track: Master Thesis Competition

Abstract

The Covid-19 pandemic has completely changed the state of the world. All sectors were disrupted including the stock market. Stock Return are predicted to have an effect due to the addition of Covid-19 cases and also the effect of volatility. Indonesia is one of the countries that has a high number of Covid-19 cases. As a result, the capital market sector was affected. One of them is the automotive sector. Using a sample of 15 automotive stocks listed on the Indonesia Stock Exchange, this study uses the Multiple Linear Regression analysis method to process some research data 6 months before and after the first case of Covid-19 appeared in Indonesia. The results showed that automotive stock returns in Indonesia were negatively affected due to the addition of Covid-19 cases. Meanwhile, on the other hand, in terms of Stock Price Volatility, it shows that the volatility of automotive stocks in Indonesia has a positive effect on stock returns during the Covid-19 pandemic.