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The Effect Of Covid-19 Pandemic On The Risks Of Investments In Indonesia: Evidence From The Egarch Model

Author

Listed:
  • Meinisa Fadillah Rahmi

    (BPS-Statistics Indonesia)

  • Nasrudin

    (Polytechnic of Statistics STIS)

Abstract

This study analyzes the effect of the COVID-19 pandemic on the risks of gold, stocks, and the US dollar investments as well as risk comparison among those instruments. An EGARCH model is used to accommodate the asymmetric effect on the risks. To examine the pandemic effect, we use a dummy variable of before and during the pandemic and stringency index which reflects government seriousness about COVID-19 prevention. The results show that risks are higher during the pandemic while government actions reduce risks. Stocks are riskiest instrument and suitable for risk seekers. Gold is least risky and suitable for risk averters.

Suggested Citation

  • Meinisa Fadillah Rahmi & Nasrudin, 2022. "The Effect Of Covid-19 Pandemic On The Risks Of Investments In Indonesia: Evidence From The Egarch Model," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(4), pages 673-688, January.
    • Handle: RePEc:idn:journl:v:25:y:2022:i:4g:p:673-688
    DOI: https://doi.org/10.21098/bemp.v25i4.1758
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    More about this item

    Keywords

    COVID-19 pandemic; Risk; Investment; EGARCH; Stringency;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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