This study aims to determine the effect of COVID-19, market capitalization and trading volume on stock returns in trading, service and investment sector companies listed on the Indonesia Stock Exchange during the period 2020. The sample was selected using purposive sampling method and valid data. are 72 companies. The research technique used in this study is panel data regression with the help of the EViews version 12 program. The results show that COVID-19 has a negative and significant effect on stock returns. Market capitalization and trading volume have a significant positive effect on stock returns. The implications of the research are to add information about the effect of COVID-19, market capitalization and trading volume on stock returns during the ongoing pandemic and to provide considerations for investors before investing in a company.