The Characteristics of Government Sukuk Return Volatility Before and During Covid-19, and After Implementation of Primary Dealer System

Government Sukuk (SBSN) has been launched since 2008, but it assumed illiquid. Therefore, the Ministry of Finance in 2020 regulates primary dealer for SBSN. At same time, restrictions on mobility due to Covid-19 Pandemic triggered negative sentiment. It increased volatility capital market. Asymmetric occurs when market crash. The purpose this study is identify characteristics government sukuk return before and during pandemic after implementation system using EGARCH. results show that SBSN responds shocks more quickly pandemic. benchmark series faster than non-benchmark. Moreover, pandemic, PBS04, PBS05, PBS07 PBS22 were categorized high risk-high return. PBS02, PBS11, PBS14, PBS19, SR10 low risk-low PBS17, PBS12, PBS15 PBS21 catogerized PBS12 have asymmetric volatility. Furthermore, PBS05 PBS25 return, PBS02 PBS026 Most Keywords: Covid-19, EGARCH, sukuk,