Penelitian memiliki tujuan menganalisis dampak pandemi COVID-19 pada performa pasar saham di negara ASEAN-5 menggunakan pendekatan Bayesian Structural Time Series. Sampel pada penelitian menggunakan data harian indeks pasar saham pada masing – masing negara ASEAN-5 berikut dengan sektor yang terdapat di pasar saham tersebut. Penelitian memiliki rentang waktu antara 1 Oktober 2019 hingga 30 Juni 2020. Hasil menunjukkan adanya dampak negatif signifikan yang diberikan pandemi COVID-19 pada performa pasar saham di negara ASEAN-5 maupun sektor yang terdapat di pasar saham tersebut. Selain itu penelitian juga melihat bahwa pemulihan pasar saham hanya terdapat di tiga negara ASEAN-5 yaitu Indonesia, Malaysia, dan Thailand.

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This study aims to analyze the impact of the COVID-19 pandemic on stock market performance in ASEAN-5 countries using the Bayesian Structural Time Series approach. The sample in this study uses daily stock market index data in ASEAN-5 countries and the sectors contained in the stock market. This research has a research time span between October 1, 2019 to June 30, 2020. The results show that there is a significant negative impact that the COVID-19 pandemic has had on stock market performance in ASEAN-5 countries and sectors in the stock market. In addition, the study also saw that stock market recovery was only found in three ASEAN-5 countries, namely Indonesia, Malaysia, and Thailand.