Analisis Contagius Effect Menggunakan Garch Model: Bukti dari Asia Tenggara
نویسندگان
چکیده
This study aims to investigate the impact of dynamic relationship dynamics during Covid-19 pandemic between gold prices, oil prices and stock returns in Asean-5 countries related contatagion effect theory with evidence using GARCH Models analysis. The types samples this are saturated samples, namely Gold Oil Composite Stock Price Index (Indonesia) JCI, Kuala Lumpur Index/KLCI (Malaysia), Straits Times Singapore (STI), Securities Exchange Thailand Index/SETI (Thailand). ), Philippine Exchange/PSE (Philippines), pandemic, from March 11, 2020 October 30, 2021, totaling 430 samples. analytical technique used applying model uses Eviews 10 software program, results for dependent variable state that Indonesian (IHSG), (KLCI), STI (Singapore), (Thailand), have a consistent price Gold, contingent effects is proven occur 5 sample. As oil, only effects, which has been 4 not (KLCI) Malaysia.
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ژورنال
عنوان ژورنال: Jurnal Manajemen dan Sains
سال: 2023
ISSN: ['2541-6243', '2541-688X']
DOI: https://doi.org/10.33087/jmas.v8i1.1020