Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Financial Volatility Spillover in COVID-19 Pandemic Period: Evidence from the US and ASEAN Stock Market
Dublin Core
Title
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Financial Volatility Spillover in COVID-19 Pandemic Period: Evidence from the US and ASEAN Stock Market
Financial Volatility Spillover in COVID-19 Pandemic Period: Evidence from the US and ASEAN Stock Market
Subject
BEKK; COVID-19; crisis; garch; multivariate; spillover; recession; volatility
Description
A recession is part of the economic cycle that occurs in a certain period. This article investigates the effects of volatility spillover in the COVID-19 pandemic that occurred in 2020 using stock market index data from the US and ASEAN countries: Indonesia, Malaysia, Singapore, Thailand, and the Philippines. Investigations in the prior, during, and
post of the 2008 crisis period were also investigated to analyze the differences between the
two. This study used the BEKK-MGARCH model to analyze the spillover effect of volatility between stock indices. The results are not much different from previous research from Vo (2020), where all ASEAN stock markets except the Philippines were affected by the volatility spillover by the US market. In general, from the two periods, each ASEAN index
also gives a bidirectional influence of volatility to other ASEAN indices, with the JKSE, KLSE, and SET indices having the most volatility integrated with other indices and the PSE index being the least integrated.
post of the 2008 crisis period were also investigated to analyze the differences between the
two. This study used the BEKK-MGARCH model to analyze the spillover effect of volatility between stock indices. The results are not much different from previous research from Vo (2020), where all ASEAN stock markets except the Philippines were affected by the volatility spillover by the US market. In general, from the two periods, each ASEAN index
also gives a bidirectional influence of volatility to other ASEAN indices, with the JKSE, KLSE, and SET indices having the most volatility integrated with other indices and the PSE index being the least integrated.
Creator
Rifki Nurfaiz, Dony Abdul Chalid
Source
DOI: 10.26905/jkdp.v26i1.6906
Publisher
Universitas Merdeka Malang
Date
January 2022
Contributor
Sri Wahyuni
Rights
ISSN: 2443-2687 (Online) ISSN: 1410-8089 (Print)
Format
PDF
Language
English
Type
Text
Coverage
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Files
Collection
Citation
Rifki Nurfaiz, Dony Abdul Chalid, “Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Financial Volatility Spillover in COVID-19 Pandemic Period: Evidence from the US and ASEAN Stock Market,” Repository Horizon University Indonesia, accessed November 21, 2024, https://repository.horizon.ac.id/items/show/4822.
Financial Volatility Spillover in COVID-19 Pandemic Period: Evidence from the US and ASEAN Stock Market,” Repository Horizon University Indonesia, accessed November 21, 2024, https://repository.horizon.ac.id/items/show/4822.