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

Authors

Meinisa Fadillah Rahmi, BPS-Statistics Indonesia, IndonesiaFollow
Nasrudin Nasrudin, Polytechnic of Statistics STIS, IndonesiaFollow

Document Type

Article

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

Recommended Citation

Rahmi, Meinisa Fadillah and Nasrudin, 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: Vol. 25: No. 4, Article 7.
DOI: https://doi.org/10.21098/bemp.v25i4.1758
Available at: https://bulletin.bmeb-bi.org/bmeb/vol25/iss4/7

First Page

673

Last Page

688

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

BPS-Statistics Indonesia