Return of socially-responsible stock index amid the pandemic

Abstract

This research aims to investigate the impact of the COVID-19 pandemic on socially responsible investment, specifically the SRI KEHATI stock index on the Jakarta Stock Exchange. This study is supported by secondary data, which includes 11,175 observations from 35 public companies from March 2, 2020, to December 31, 2021. The study uses panel data regression to examine the relationship between stock return and confirmed COVID-19 cases as the independent variable. We control the model by market capitalization, market-to-book ratio, and firm size. In addition, we use Indonesia's lockdown policy as a dummy variable. We find that confirmed cases significantly negatively impact SRI KEHATI stock returns.