COVID-19 merupakan pandemi kesehatan global yang saat ini sedang melanda dunia, dan memberikan dampak yang amat besar bagi perekonomian dunia. Saat ini seluruh negara tak terkecuali Indonesia sedang begitu memperhatikan bagaimana perkembangan dari pandemi ini, terbukti dari banyaknya media yang menginfokan perkembangan pandemi dan respons yang diberikan pemerintah dalam penanggulangannya. Penelitian ini dilakukan dengan tujuan untuk menyelidiki bagaimana pengaruh yang diberikan oleh informasi-informasi serta kebijakan pemerintah terkait COVID-19 terhadap Return serta volatilitas saham di Indonesia. Temuan empiris dari penelitian ini menunjukkan bahwa informasi pandemi COVID-19 (GSVI Covid), jumlah kasus positif, angka kematian, serta indeks pengetatan pemerintah di masa pandemi, terlihat berpengaruh secara negatif terhadap Return saham dan sebaliknya berpengaruh secara positif terhadap volatilitas. Sedangkan dengan adanya informasi vaksin COVID-19 (GSVI Vaksin), kebijakan fiskal berupa pertumbuhan pengeluaran pemerintah, serta kebijakan moneter berupa pertumbuhan uang beredar dikatakan memberikan pengaruh yang positif bagi Return saham, serta menurunkan volatilitas berlebih di pasar. / COVID-19 is a global health pandemic that is currently engulfing the world, and has a huge impact on the world economy. Currently, all countries, including Indonesia, are paying close attention to the development of this pandemic, as evidenced by the large number of media reporting on the development of the pandemic and the government's response to it. This study was conducted with the aim of investigating how the influence given by information and government policies related to COVID-19 on stock returns and volatility in Indonesia. Empirical findings from this study show that information on the COVID-19 pandemic (GSVI Covid), the number of positive cases, the death rate, as well as the government stringency index during the pandemic, appear to have a negative effect on stock returns and on the contrary, have a positive effect on volatility. Meanwhile, with information on the COVID-19 vaccine (GSVI Vaccine), fiscal policy in the form of growth in government spending, as well as monetary policy in the form of growth in the money supply are said to have a positive influence on stock returns, as well as reduce excess volatility in the market.