VOLATILITY SPILLOVERS AND LEVERAGE EFFECT FROM THE MAIN GLOBAL STOCK MARKET TOWARD INDONESIA STOCK MARKET: EVIDENCE FROM PERIOD BEFORE COVID-19 PANDEMIC AND DURING COVID-19 PANDEMIC

Faisal, Muhammad Iqbal (2022) VOLATILITY SPILLOVERS AND LEVERAGE EFFECT FROM THE MAIN GLOBAL STOCK MARKET TOWARD INDONESIA STOCK MARKET: EVIDENCE FROM PERIOD BEFORE COVID-19 PANDEMIC AND DURING COVID-19 PANDEMIC. Diploma thesis, Universitas Andalas.

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Abstract

This study aims to investigate the volatility spillovers and leverage effect from the main global stock markets toward Indonesia stock market before COVID-19 pandemic and during COVID-19 pandemic. The data retrieved from the stock index of each country in the period 2017-2021.The analytical method used is the Exponential GARCH (EGARCH). This study found that there are volatility spillovers from each of the foreign stock markets, namely the USA, Japan, and Singapore but there is no leverage effect in the period before the COVID-19 pandemic except Hong Kong stock market who have volatility spillovers and leverage effect to Indonesia stock market. Meanwhile, during the COVID-19 pandemic, there were volatility spillovers from each foreign stock market, namely the USA, Japan, Hong Kong and Singapore and there was also a leverage effect.

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