[1] Peer-Reviewed Article Jurnal Keuangan dan Perbankan Volume 25, Issue 1 2021, page. 1 - 20 ISSN: 1410-8089 (Print), 2443-2687 (Online) DOI: https://doi.org/10.26905/jkdp.v25i1.4980 Determinant of Indonesian Stock Market’s Volatility During the Covid-19 Pandemic Ainine Devara Nugroho 1 , Robiyanto Robiyanto 2* 1,2 Department of Management, Faculty of Economics and Business, Satya Wacana Christian University, Indonesia *Corresponding Author: robiyanto@staff.uksw.edu Abstract The aim of this study is to examine variables that influenced the Jakarta Composite Index (JCI) volatility during the outbreak of COVID-19. The independent variables that are used are gold return volatility and USD/IDR return volatility. This analysis uses daily-time series data which are divided into three periods, those are; before the pandemic (January 2019-August 2019), during the pandemic (January 2020-August 2020), and from January 2019 through August 2020. The method that is used in this study is GARCH analysis in order to dodge data abnormality and heteroscedasticity. Before conducting GARCH analysis, unit root and normality test are conducted to know if the data are stationaries and to decide which GARCH distribution is the most suitable for the data analysis (Gaussian, t-student, or GED distribution). It is proven in this study that during the COVID-19 pandemic, gold return volatility positively affected the JCI volatility and USD/IDR volatility negatively affected JCI volatility. This research can be used as a consideration for investors in choosing their investment during the pandemic or financial crisis by examining gold and USD/IDR volatility effect on JCI volatility. Keywords : COVID-19; GARCH; Gold; JCI; USD/IDR; Volatility JEL Classification : G01, G32 1. INTRODUCTION In the early of 2020, the world was shocked by an infectious disease namely 2019- nCoV, or we call it as COVID-19. The very first case was found in Wuhan, the capital of China’s Hubei province in December 2019, and was identified by the WHO China Country Office as pneumonia of unknown etiology. In January 2020, WHO has asked the national authorities of China to give further information about the risk of this disease, but the outspread happened so fast and affected almost all countries in the world. Considering that there will be a serious problem that might occur, the WHO Director General, under the International Health Regulations (IHR), held a meeting of the Emergency Committee and declared the 2019-nCoV outbreak as a Public Health Emergency of International Concern (PHEIC) (World Health Organization, 2020). The outspread of COVID-19 was not only affecting the entire world’s health, but also the economy of the world. As we know, almost all countries started to strictly adopt