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Analisis Transmisi Volatilitas Harga Saham Di ASEAN-5 Pada Masa Pandemi Covid-19
This study aims to see whether there is a volatility transmission between the ASEAN-5 stock exchanges and whether the comovement that occurs between these exchanges during the Covid-19 pandemic period occurs due to contagion or interdependence. The method used in this study is the bivariate BEKK GARCH to determine the pattern of volatility transmission and the adjusted correlation coefficient to test the contagion. Using secondary stock return data for the period 1 January 2015-31 December 2020, it was found that there was contagion between the five exchanges as indicated by a significant increase in correlation between the period before and during the pandemic. Then there is also a bidirectional transmission of stock volatility between the exchanges, except for the SETI-JKSE pair. These results imply that the five exchanges influence each other. Investors and regulators suggested to focus more on short-term investment strategies and policy to reduce the negative impact of the pandemic to portfolio and each country's exchanges.Ada Tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 12661 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Program Studi Ilmu Ekonomi Fakultas Ekonomi dan Bisnis Universitas Indonesia 2021 |
|---|---|
| Edisi | - |
| Subjek | ASEAN Interdependence Stock return Volatility Contagion 5 Covid 19 |
| ISBN/ISSN | - |
| Klasifikasi | NONE |
| Deskripsi Fisik | x, 62 p. ; diagr. ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |