Does the Foreign Capital Flow of Indonesia Have A Relationship With Oil and Gas Stock Prices During Covid-19?

The Covid-19 pandemic has had an impact on the financial sector. The increase of Covid-19 cases disrupted the fundamental condition of the world economy, which caused panic among foreign investors to invest their capital. The volatile flow of foreign capital is usually followed by selling of shares by investors. Meanwhile, during the Covid- 19 pandemic, oil and gas sector stocks were also worst affected. This study aims to examine the relationship between foreign capital flows and stock prices of oil and gas sector in Indonesia during the global shocks of the Covid-19 pandemic. The data used is daily data on foreign capital and oil and gas share prices from 02 January 2018 to 30 December 2020 as many as 782 observations using the Vector Error Correction Model (VECM) method. The results show that there is a one-way causality relationship, where foreign capital flows affect stock prices, but stock prices do not affect foreign capital flows. The results of the study are forecasts for the next 30 days that provide the same response and contribution as the period during the Covid-19 pandemic. The response given by oil and gas stock prices when there is a shock to foreign capital flows initially fluctuates and then responds positively towards long-term balance.