The COVID-19 Pandemic: What Factors can Affect BUMN-20 Stock Return in Indonesia?

Nur Afnila Audy, Harunnurrasyid Harunnurrasyid, Sri Andaiyani


The purpose of this study is to analyze the effect of the policy rate, inflation, exchange rate, and world oil prices on the stock return of 20 companies listed on the State-Owned Enterprises of Indonesia (BUMN-20) Index from July 2016 to June 2021. We divided into three periods that are all periods, before and during pandemic COVID-19. The population in this study is companies listed on Indonesia Stock Exchange (IDX). The sample is determined by using purposive sampling with a total amount of 20 companies and total data is 846. This study used quantitative data analysis in the form of time-series data and documenting methods in obtaining the data. The analytical tools in this study are using multiple regression analysis. The result shows that the policy rate has a significant positive effect on stock returns, inflation and exchange rate have a significant negative effect on stock returns, and world oil prices do not appear any significant effect on the stock return of the BUMN-20 Index. While before and during the COVID-19 pandemic imply only an exchange rate that has a significant and negative effect on stock return. This implies that the COVID-19 pandemic does not appear a significant effect on the performance of BUMN-20 return.


stock returns, policy rate, inflation, exchange rate, world oil prices, BUMN-20 index

Full Text:



Akbar, A. B. (2019). An Analysis the Effect of Exchange Rate, Inflation and Interest on Stock Return. Journal Education and Economics, 2(4), 501–506.

Apergis, N., & Apergis, E. (2020). The Role of Covid-19 for Chinese Stock Returns: Evidence from a GARCHX Model. Asia-Pacific Journal of Accounting and Economics, 1-9.

Asravor, R. K., & Fonu, P. D. D. (2021). Dynamic Relation Between Macroeconomic Variable, Stock Market Returns and Stock Market Development in Ghana. International Journal of Finance and Economics, 26(2), 2637-2646.

Bahrul, U. M., Didik, S., & Sa’adah, Y. (2018). The Effect of Inflation, Rupiah Exchange Rate, Bank Indonesia Sharia Certificate, World Oil Prices, and World Gold Prices Against the Prices Development of Shares in Jakarta Islamic Index. Russian Journal of Agricultural and Socio-Economic Sciences, 9(81), 132–137.

Butt, B. Z., Rehman, K. U., Khan, M. A., & Safwan, N. (2010). Do Economic Factors Influence Stock Returns? A firm and Industry Level Analysis. African Journal of Business Management, 4(5), 583–593.

Didier, T., Levine, R., Llovet Montanes, R., & Schmukler, S. L. (2021). Capital Market Financing and Firm Growth. Journal of International Money and Finance, 118(11), 102459.

Endri, E., Rinaldi, M., Ian, D. A., Saing, B., & Aminudin, A. (2021). Oil Price and Stock Return: Evidence of Mining Companies in Indonesia. International Journal of Energy Economics and Policy, 11(2), 110–114.

Gu, G., Zhu, W., & Wang, C. (2021). Time-Varying Influence of Interest Rates on Stock Returns: Evidence from China. Economic Research-Ekonomska Istrazivanja, 1-18.

Khan, M. I., Teng, J. Z., Khan, M. K., Jadoon, A. U., & Khan, M. F. (2021). The Impact of Oil Prices on Stock Market Development in Pakistan: Evidence with a Novel Dynamic Simulated ARDL approach. Resources Policy, 70(3), 101899.

Lee, C. C., Lee, C. C., & Wu, Y. (2021). The Impact of COVID-19 Pandemic on Hospitality Stock Returns in China. International Journal of Finance and Economics, 1-14.

Madai, T. B. (2021). Impact of COVID-19 Pandemic on Stock Market Returns. SSRN Electronic Journal, 1-18.

Maharditya, M. A., Layyinaturrobaniyah, & Anwar, M. (2018). Implication of Macroeconomic Factors to Stock Returns of Indonesian Property and Real Estate Companies. Jurnal Dinamika Manajemen, 9(1), 100–113.

Marozva, G. (2020). The Effects of Monetary Policy on Stock Market Returns and Volatility: Evidence from South Africa. Academy of Accounting and Financial Studies Journal, 24(3), 1-11.

Nurasyikin, J., Shahnaz, I., & Manaf, S. A. (2017). Macroeconomic Variables and Stock Market Returns: Panel Analysis from Selected ASEAN Countries. International Journal of Economics and Financial Issues, 7(1), 37–45.

Nurazi, R., & Usman, B. (2016). Bank Stock Returns in Responding the Contribution of Fundamental and Macroeconomic Effects. JEJAK (Jurnal Ekonomi Dan Kebijakan), 9(1), 134–149.

Pham, A. V., Adrian, C., Garg, M., Phang, S. Y., & Truong, C. (2021). State-Level COVID-19 Outbreak and Stock Returns. Finance Research Letters, 43(11), 102002.

Pratiwi, S. G., Robiyanto, R., & Martono, S. (2021). Fundamental and Macroeconomic Factors on Manufacturing Companies’ Stock Returns. International Journal of Social Science and Business, 5(1), 60–68.

Robiyanto, R. (2018). The Effect of Gold Price Changes, Usd/Idr Exchange Rate Changes and Bank Indonesia (Bi) Rate on Jakarta Composite Index (Jci)’S Return and Jakarta Islamic Index (Jii)’S Return. Jurnal Manajemen Dan Kewirausahaan, 20(1), 45–52.

Ross, D. (2021). Economic Methodology in 2020: Looking Forward, Looking Back. Journal of Economic Methodology, 28(1), 32-39.

Subramaniam, S., & Chakraborty, M. (2021). COVID-19 Fear Index: Does it Matter for Stock Market Returns? Review of Behavioral Finance, 13(1), 40-50.

Suparmono, & Partina, A. (2021). Forecasting the Inequality of Income Distribution in Consequence of the Covid-19 Pandemic. Jurnal Ekonomi Pembangunan, 19(1), 27-38. doi:

Utama, O. Y., & Puryandani, S. (2020). The Effect of BI Rate, USD to IDR Exchange Rates, and Gold Price on Stock Returns Listed in the SRI KEHATI Index. Jurnal Dinamika Manajemen, 11(1), 39–47.

Wardani, V., & Lahuddin, L. (2021). The Relationship between Current COVID-19 and Indonesia Stock Market: Evidence from ARDL Model. Jurnal Ekonomi Pembangunan, 19(1), 101-110. doi:

Wijaya, D. P., & Sedana, I. B. P. (2020). Effects of Quick Ratio, Return on Assets and Exchange Rates on Stock Returns. American Journal of Humanities and Social Sciences Research, 4(1), 323-329.

Xu, L. (2021). Stock Return and the COVID-19 Pandemic: Evidence from Canada and the US. Finance Research Letters, 38(1), 1-7.

Yahya, Majid, M. S. A., & Hafasnuddin. (2021). Stock Returns-Inflation Nexus in Indonesia: Evidence from Conventional and Islamic Stocks. Entrepreneurial Business and Economics Review, 9(4), 131-146.

Yunita, & Robiyanto. (2018). The Influence of Inflation Rate, BI Rate, and Exchange Rate Changes to the Financial Sector Stock Price Index Return in the Indonesian Stock Market. Jurnal Manajemen Dan Kewirausahaan, 20(2), 80–86.



  • There are currently no refbacks.

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Jurnal Ekonomi Pembangunan
Jalan Raya Palembang-Prabumulih Km. 32
Jurusan Ekonomi Pembangunan, Fakultas Ekonomi Universitas Sriwijaya
Indralaya, Sumatera Selatan, Indonesia
Email:, Tel/Fax : (0711)580231

p-ISSN: 1829-5843, e-ISSN 2685-0788

Creative Commons License

Jurnal Ekonomi Pembangunan by 

is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.  

Jurnal Ekonomi Pembangunan is Indexed by:

Logo Google Scholar Unsri  Moraref One Search