Indonesian Stock Market Return Volatility and Foreign Portfolio Capital: Evidence Before and During Covid-19 Pandemic
نویسندگان
چکیده
The Covid-19 pandemic increased uncertainty in the Indonesian stock market. This paper aims to investigate foreign and domestic investors' behavior market, especially during pandemic. method used was E-GARCH DCC-GARCH. results showed that impact of shocks from bad good news greater on return volatility had a positive increase spillover effect NFI's short long term before pandemic, but this did not happen There is an indication bias forecasting errors prospect theory investors Conservatism also indicated investors. Keywords: Covid-19, E-GARCH, DCC-GARCH, net inflow,
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ژورنال
عنوان ژورنال: Jurnal Aplikasi Bisnis dan Manajemen
سال: 2023
ISSN: ['2460-7819', '2528-5149']
DOI: https://doi.org/10.17358/jabm.9.1.152