Integrasi Dinamis Pasar Modal Indonesia dengan Pasar Modal International pada Masa Pandemi Covid-19

Authors

  • Stefany Cindy Sugiyanto Universitas Kristen Satya Wacana
  • Robiyanto Robiyanto Universitas Kristen Satya Wacana

DOI:

https://doi.org/10.26905/afr.v3i2.5551

Keywords:

DCC-GARCH, Stock Market Integration

Abstract

The Covid-19 pandemic has an impact on the world economy especially on the stock mar-ket, thus the aim of this study is to determine whether there is dynamic integration be-tween the stock markets in Indonesia with the capital market in Asia and in the world during Covid-19 pandemic. This study uses return data from the closing price of 12 stock indices, namely ASX, DOWJONES, FTSE, HANGSENG, IHSG, KLSE, KOSPI, NIK-KEI, PSEI, SET, STI, and TAIWAN from January to December 2020 that have been ana-lyzed using DCC-GARCH. The results showed that the stock markets of both Indonesia, Asia and the world were dynamically integrated due to the global crisis of the Covid-19 pandemic. The results showed that there was a contagion effect on the stock market that occurred during the period when the Covid-19 pandemic crisis occurred. This research can be a reference for investors who want to invest in stocks in Indonesia during the Covid-19 pandemic.

 

DOI: https://doi.org/10.26905/afr.v3i2.551

Author Biography

Robiyanto Robiyanto, Universitas Kristen Satya Wacana

Biographical Notes:

Dr. Robiyanto earned his Master of Management in Finance (2000) and Ph.D. in Finance (2015) from the Faculty of Economics and Business Diponegoro University (FEB UNDIP), Semarang, Indonesia. His first degree in Management (1998) was earned from the Faculty of Economics and Business Satya Wacana Christian University (FEB UKSW), Salatiga, Indonesia. Holds an Investment Manager Representative license from the Indonesia Financial Services Authority (previously Indonesian Capital Market and Financial Institution Supervisory Agency). He is a senior lecturer at the Faculty of Economics and Business, Satya Wacana Christian University, Salatiga, Indonesia. Active as an academic researcher. He has written articles published in both international and national journals such as Gadjah Mada International Journal of Business; Journal of Finance and Banking; Journal of Economics and Business; Journal of Economics, Business, & Accountancy Ventura; Journal of Management and Entrepreneurship; etc. His research has been presented in several conferences such as Gadjah Mada International Conference on Economics and Business in Yogyakarta, Indonesia; the Indonesian Financial Management Association (IFMA)’s International Conference; the Indonesia Finance Association’s International Conference; etc. He also serves as a capital market specialist for the public company in Indonesia. His research interests are the capital market, commodity market, market efficiency, behavioral finance, corporate governance, and portfolio management.

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Published

2021-06-02

How to Cite

Sugiyanto, S. C., & Robiyanto, R. (2021). Integrasi Dinamis Pasar Modal Indonesia dengan Pasar Modal International pada Masa Pandemi Covid-19. AFRE (Accounting and Financial Review), 3(2), 143–151. https://doi.org/10.26905/afr.v3i2.5551

Issue

Vol. 3 No. 2 (2020): December

Section

Articles