Covid-19 And Stock Market Volatility In Southeast Asia Countries

AHMAD KHOERURIZAL, T. Hani Handoko, M.B.A., Ph.D.

2020 | Tesis | Magister Manajemen

Jenis virus corona terbaru (covid-19) merupakan peristiwa yang belum pernah terjadi sebelumnya di awal tahun 2020 telah menyita perhatian semua negara di dunia. Sektor keuangan merupakan salah satu sektor yang terpukul hebat akibat penyebaran virus ini. Penelitian ini bertujuan untuk mengetahui volatilitas pasar saham di lima negara Asia Tenggara saat terjadi pandemi Covid-19, yaitu Indonesia (IHSG), Thailand (SET), Singapura (STI), Malaysia (KLCI), dan Filipina (PSEI). Dengan melalui beberapa tahapan pengujian, diantaranya pengujian stasioneritas dan uji efek ARCH, penulis melakukan pengujian lebih lanjut dengan berbagai metode yaitu model GARCH (1,1), Threshold GARCH, dan Exponential GARCH. Ketiga model menghasilkan kesimpulan yang sama, variabel dummy covid-19 berpengaruh positif dan signifikan terhadap estimasi conditional variance di sebagian besar negara, kecuali Indonesia. Hasil ini menunjukkan bahwa covid-19 meningkatkan volatilitas pasar saham di sebagian besar negara Asia Tenggara.

New novel coronavirus (covid-19), which is an unprecedented event in early 2020, has seized the attention of all countries in the world. The financial sector is one industry that experienced severe shocks due to the spread of this virus. This study aims to investigate the stock market volatility in five Southeast Asia countries during a covid-19 pandemic, consisting of Indonesia (JCI), Thailand (SET), Singapore (STI), Malaysia (KLCI), and The Philippines (PSEI). After going through several stages of testing, including stationarity and ARCH effects tests, further examination has been carried out with various methods using GARCH (1,1), Threshold GARCH, and Exponential GARCH models. All three models produce the same conclusion, the covid-19 as a dummy variable has a positive and significant effect on conditional variance estimation in most countries, except for Indonesia. These results indicate that covid-19 increases stock market volatility in most Southeast Asia countries.

Kata Kunci : Volatility in Stock Market, Covid-19, GARCH Models