Image of Munculnya Volatilitas Asimetris Pada Indeks Morgan Stanley Capital International Milik Negara-Negara Berkembang Selama Pandemi Covid-19 Periode 2018-2022

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Munculnya Volatilitas Asimetris Pada Indeks Morgan Stanley Capital International Milik Negara-Negara Berkembang Selama Pandemi Covid-19 Periode 2018-2022

The purpose of this study is to examine whether the daily rate of return of the index belonging to the company Morgan Stanley Capital International Emerging Markets has resistance to the asymmetric volatility that arises when faced with the Covid-19 pandemic. The main reason for the emergence of this asymmetrical volatility is because the financial market was hit by a crisis, which is the Covid-19 pandemic that attacked all countries in the world and its impact was felt most by developing countries. The sample of this study consisted of 24 developing countries from Asia, Europe, the Middle East, Africa, and America. The method used to analyze this event is GJR-GARCH. This study found that the regions with the lowest levels of leverage effect are developing countries in Asia, especially developing countries in Southeast Asia (ASEAN) most of their stocks have a value that is still small and developing so that they have a lower level of investor’s sentiment compared to other countries. countries whose stocks already have a high value..Ada Tabel

Ketersediaan

Call NumberLocationAvailable
13442PSB lt.2 - Karya Akhir1
Penerbit Depok Program Studi Manajemen Fakultas Ekonomi dan Bisnis UI.,
Edisi -
Subjek Developing Country
Covid
19
Asymmetric volatility
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xiii, 80 p. ; diagr. ; 30 cm
Info Detail Spesifik -
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