Image of Perbandingan Volatilitas Asimetris Saham Bertanggung Jawab Sosial dan Saham Konvensional di Indonesia Selama Pandemi COVID-19 Periode 2020-2021

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Perbandingan Volatilitas Asimetris Saham Bertanggung Jawab Sosial dan Saham Konvensional di Indonesia Selama Pandemi COVID-19 Periode 2020-2021

This study aims to examine the asymmetric volatility of socially responsible stocks and compare it with conventional stocks during the COVID-19 pandemic in Indonesia. The research used asymmetric volatility modelling with the GJR-GARCH model to detect the presence of a leverage effect in the sample which consisted of one index and 20 socially responsible stocks and 21 indices and 34 conventional stocks. The data used is compiled from Thomson Eikon Reuters and Tradingview with a data collection period of January 1, 2020 to December 31, 2021. The results of the study found that there was a significant leverage effect on the SRI-KEHATI index. However, there is no significant leverage effect on socially responsible stocks at the individual level. The study also found that the socially responsible stock index had a higher leverage effect value than the majority of conventional indices in the research sample. The results of this study suggest for investors to choose socially responsible stocks more carefully if the purpose of adding these socially responsible stocks is to reduce risk in their investment portfolios during the COVID-19 pandemic..Ada Tabel

Ketersediaan

Call NumberLocationAvailable
13566PSB lt.2 - Karya Akhir1
Penerbit Depok Program Studi Manajemen Fakultas Ekonomi dan Bisnis UI.,
Edisi -
Subjek Volatility
Covid
19
Socially Responsible Stock
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xv, 87 p. ; diagr. ; 30 cm
Info Detail Spesifik -
Other Version/Related Tidak tersedia versi lain
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