Variabel dalam penelitian ini adalah peristiwa pandemi COVID-19, harga dan return dari enam indeks saham. Penelitian ini bertujuan untuk melihat dampak COVID-19 terhadap enam indeks saham di negara-negara yang terdaftar pada ASEAN Exchanges dan tiga indeks saham dari negara-negara yang terdaftar di ASEAN Exchanges yang memiliki indeks sektor konsumer dan properti. Keywords : COVID-19 stock market index return stock market index ARDL Model ARCH Family Models The results showed that all the variables tested had a highly significant degenerating long-term relationship due to the impact of the COVID-19 pandemic there was an ARCH or GARCH effect in all stock market indexes in ASEAN Exchanges affected by the COVID-19 pandemic and there was a relationship between the COVID-19 pandemic event and the return on the country's stock market index and which for the consumer products and property sector in the ASEAN Exchanges with heterogeneous returns and the distribution of risk levels was inefficient. This study was a population study conducted in the period of 2019-2020 by using the Autoregressive Distributed Lag (ARDL) Model, Autoregressive Conditional Heteroscedasticity (ARCH) Family Models, and California Managed Accounts Reports (Calmar) Ratio as the tools for analysis. The population in this study is all stock market indexes of countries as well as all those that have sectoral index of consumer products and property in ASEAN Exchanges. The sample data in this study were measured based on the entire study period, before the date of the first confirmed case of COVID-19, and after the date of the first confirmed case of COVID-19. The variables used in this study were the Coronavirus Disease 2019 (COVID-19) pandemic event price and return of the six stock market indexes. The purpose of this study is to examine the impact of COVID-19 on six stock market indexes of countries listed on ASEAN Exchanges and three stock market indexes of countries listed on ASEAN Exchanges which have sectoral index of consumer products and property.

2019 index returns