THE EFFECT OF COVID-19 PANDEMIC ON THE RISKS OF INVESTMENTS IN INDONESIA: EVIDENCE FROM THE EGARCH MODEL

Meinisa Fadillah Rahmi () and Nasrudin ()
Additional contact information
Meinisa Fadillah Rahmi: BPS-Statistics Indonesia
Nasrudin: Polytechnic of Statistics STIS

Bulletin of Monetary Economics and Banking, 2022, vol. 25, issue 4, 673-688

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.

Keywords: COVID-19 pandemic; Risk; Investment; EGARCH; Stringency (search for similar items in EconPapers)
JEL-codes: C22 C58 E22 G11 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://bulletin.bmeb-bi.org/cgi/viewcontent.cgi?article=2018&context=bmeb (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:25:y:2022:i:4g:p:673-688

DOI: 10.21098/bemp.v25i4.1758

Access Statistics for this article

Bulletin of Monetary Economics and Banking is currently edited by Paresh Narayan

More articles in Bulletin of Monetary Economics and Banking from Bank Indonesia Contact information at EDIRC.
Bibliographic data for series maintained by Lutzardo Tobing ( this e-mail address is bad, please contact ) and Jimmy Kathon ().