Buletin Ekonomi Moneter dan Perbankan
Vol 25 No 4 (2022)

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

Meinisa Fadillah Rahmi (BPS-Statistics Indonesia)
Nasrudin Nasrudin (Polytechnic of Statistics STIS)

Article Info

Publish Date
20 Jan 2023

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.

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Journal Info
Buletin Ekonomi Moneter dan Perbankan
Website

Abbrev

BEMP

Publisher

Bank Indonesia

Subject

Description

The Buletin Ekonomi Moneter dan Perbankan/Bulletin of Monetary Economics and Banking (BMEB) is an international peer-reviewed journal. This is a quarterly journal, published in January, April, July and August. The BMEB focuses on a broad range of topics covering monetary economics, banking, ...