The Effects of COVID-19 and Workplace Mobility to Stock Price and Exchange Rate in Indonesia: An Econometric Approach

Abstract

The COVID-19 pandemic has reached its 20th month in Indonesia and still damaged various sectors, particularly economy. The policies imposed by the government impacted mainly the stock price. exchange rate, and people mobility in Indonesia. However, there are limited studies that incorporate these variables in Indonesia context. Thus, this study investigates the relationship between the COVID-19 pandemic, stock price, exchange rate, and workplace mobility simultaneously. This study employs Vector Autoregressive (VAR) as the analysis considering its advantages in finding the causal relationship between variables and periodic interpretation using Impulse Response Function (IRF). The VAR results show that from the Granger Causality Test, it turns out that the shocks from COVID-19 positivity rate and mobility in workplaces caused the changes in stock price and exchange rate. On the other hand, the IRF results exhibit the depreciating responses of stock price and exchange rate due to the shocks of COVID-19 positivity rate and mobility are enormous in the short term. In the longer term, the stock price response needs a longer time to return to the initial condition than the exchange rate. Therefore, further policy evaluation and formulation become essential to maintain the stock price and exchange rate, mainly due to the effect of COVID-19 and workplace mobility.