The Relationship of Idiosyncratic Risk and Liquidity on Stock Return in Covid-19 Pandemic

Abstract

This research aimed to determine the effect of idiosyncratic risk and stock liquidity on stock returns before and during the Covid-19 pandemic. Sample of this research are 26 companies that consecutively listed on LQ45 index through the year of 2017-2021. By using panel data regression method, it was found that idiosyncratic risk partially did not have significant effect on stock returns, while liquidity had significant effect on stock returns. This study also found that idiosyncratic risk and liquidity simultaneously have significant effect on stock returns. The result showed that in Covid-19 pandemic phenomenon, internal factors, especially idiosyncratic risk and liquidity have significant effect on stock returns.

Keywords: Idiosyncratic risk; Liquidity; Stock returns; Pandemic Covid-19