Pengaruh Informasi Wabah COVID-19 terhadap Pergerakan dan Volatilitas Nilai Mata Uang Negara ASEAN-5

Deskripsi

This study was conducted with the aim of testing the effect of information on the COVID-19 outbreak on exchange rate movements and the volatility of the ASEAN-5 countries' currency exchange rates. Information on the outbreak is indicated by data on the number of cases of infection and cases of death due to COVID-19. The research period begins with the first case that occurred in each ASEAN-5 country until December 31, 2020 using the GARCH research method. The results of the study indicate that information on the COVID-19 outbreak has a significant effect on exchange rate volatility but has no effect on exchange rate movements in ASEAN-5 countries in one day of prediction. Meanwhile, within five days of prediction, the COVID-19 outbreak did not significantly affect the movement and volatility of the ASEAN-5 countries' exchange rates..Ada Tabel