The Effect of Exchange Rate, BI Rate, and Inflation on Stock Return during Pandemic Covid-19 in Indonesia

Abstract

The spread of COVID-19 at the end of 2019 in China then spread to countries around the world including Indonesia, making the capital market. The Covid-19 pandemic in Indonesia affects the capital market. It causes changes in trading times on the Indonesian stock exchange and this is a negative signal that causes investors to be more interested in selling their share ownership (Kusnandar & Bintari, 2020). It's caused the stock market price to decline, especially after the WHO declared that COVID-19 was a pandemic (AlAli, 2020). This study aims to analyse the effect of the exchange rate, BI Rate, and Inflation on stock returns during the COVID-19 pandemic in Indonesia. The research method used is Multiple Linear Regression Analysis. The result is that the exchange rate, BI rate, and Inflation do not have any correlation.