ASEAN-5 Stock Price Index Valuation after COVID-19 Outbreak through GBM-MCS and VaR-SDPP Methods

Hersugondo Hersugondo (), Endang Tri Widyarti, Di Asih I Maruddani and Trimono Trimono
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Hersugondo Hersugondo: Department of Management, Diponegoro University, Semarang 50275, Indonesia
Endang Tri Widyarti: Department of Management, Diponegoro University, Semarang 50275, Indonesia
Di Asih I Maruddani: Department of Statistics, Diponegoro University, Semarang 50275, Indonesia
Trimono Trimono: Data Science Study Program, Universitas Pembangunan Nasional “Veteran” Jawa Timur, Surabaya 60294, Indonesia

IJFS, 2022, vol. 10, issue 4, 1-19

Abstract: In the economic globalization era, mainly since 2010, ASEAN countries’ financial and investment sectors have emerged to accelerate economic growth. The driving factor for the financial sector’s contribution is the public’s growing interest in financial asset investment products, of which the most chosen one in ASEAN is stocks. However, the COVID-19 pandemic at the end of 2019 affected the growth of stock investments, causing market conditions to be unstable. People held back their interest in investing in stocks because they thought this condition would bring significant losses. Therefore, in this study, the ASEAN-5 stock price index was evaluated to analyze the general stock price conditions for each stock market in the new standard era. The valuation included price predictions and risk of loss using the GBM-MCS and VaR-VC models. The results showed that the GBM-MCS model was more accurate than the GBM model because it had a more stable MAPE value. Referring to the VaR-VC value, the prediction of losses in the ASEAN topfive stock markets for 21–25 April 2022 ranged from 1% to 15%.

Keywords: valuation; ASEAN top 5 stock price index; GBM; GBM-MCS; VaR-VC (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2022
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