The Impact of Investor Types on the Stock Return Volatility During the Covid-19 Pandemic in Indonesia

This study investigates the impact of foreign and domestic investors on the stock return volatility during the Covid-19 pandemic in the Indonesian capital market. Using a panel data regression method, we find that foreign institutional and individual investors cannot be proven to affect stock return volatility during the Covid-19 pandemic. This study finds that domestic investors, both institutional and individual investors, play a significant role in reducing the stock return volatility during the Covid-19 pandemic. The government's strategic role, which is expected to reduce stock return volatility, is not supported. These findings suggest that broadening the local investor base is needed to strengthen the Indonesian capital market