RETURN SPILLOVER BETWEEN THE U.S., JAPANESE, AND INDONESIAN STOCK MARKET DURING COVID-19

The Covid-19 pandemic brings effects to global stock market. Information from one country is integrated to the whole world which causes the return transmission between stock markets. This research investigates the return spillover effect between the US (S&P 500), Japanese (Nikkei 225), and Indonesian (JCI) stock market during the peak of Covid-19 pandemic period. Data is examined using Eviews version 12 with Granger-causality test. Results show that S&P 500 and Nikkei 225 indexes influence the return of JCI, but not the other way around. On top of that, S&P 500 and Nikkei 225 indexes influence each other. Moreover, results also indicate that information about Covid-19 is integrated between the US, Japanese, and Indonesian stock market hence affecting the return in JCI. These findings are useful to investors and policymakers regarding to US and Japan economic information which can influence return in JCI.