Integrasi Dinamis Pasar Modal Indonesia dengan Pasar Modal International pada Masa Pandemi Covid-19

The Covid-19 pandemic has an impact on the world economy especially stock mar-ket, thus aim of this study is to determine whether there dynamic integration be-tween markets in Indonesia with capital market Asia and during pandemic. This uses return data from closing price 12 indices, namely ASX, DOWJONES, FTSE, HANGSENG, IHSG, KLSE, KOSPI, NIK-KEI, PSEI, SET, STI, TAIWAN January December 2020 that have been ana-lyzed using DCC-GARCH. results showed both Indonesia, were dynamically integrated due global crisis was a contagion effect occurred period when occurred. research can be reference for investors who want invest stocks DOI: https://doi.org/10.26905/afr.v3i2.551