The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two Sectors
This study investigates the impact of the Covid-19 pandemic on the volatilities of two sectoral indices in Indonesia. The primary objective is to empirically examine the relationship between the occurrence of the pandemic, volatility, and trading volume. The authors employ GARCH modeling to analyze...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EDP Sciences
2023-01-01
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| Series: | E3S Web of Conferences |
| Online Access: | https://www.e3s-conferences.org/articles/e3sconf/pdf/2023/63/e3sconf_icobar23_01036.pdf |
| _version_ | 1797673579118067712 |
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| author | Anter William Tjandra Modjo Mohamad-Ikhsan |
| author_facet | Anter William Tjandra Modjo Mohamad-Ikhsan |
| author_sort | Anter William Tjandra |
| collection | DOAJ |
| description | This study investigates the impact of the Covid-19 pandemic on the volatilities of two sectoral indices in Indonesia. The primary objective is to empirically examine the relationship between the occurrence of the pandemic, volatility, and trading volume. The authors employ GARCH modeling to analyze the two measurements, incorporating the Covid-19 variable as an external regressor. Data samples from two distinct sector indices of the Energy and Technology sectors in the Indonesian Stock Exchange are utilized, encompassing the periods before and after the initial Covid-19 case in Indonesia. |
| first_indexed | 2024-03-11T21:47:28Z |
| format | Article |
| id | doaj.art-428b9da21be64061a8684381fe43c531 |
| institution | Directory Open Access Journal |
| issn | 2267-1242 |
| language | English |
| last_indexed | 2024-03-11T21:47:28Z |
| publishDate | 2023-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | E3S Web of Conferences |
| spelling | doaj.art-428b9da21be64061a8684381fe43c5312023-09-26T10:11:34ZengEDP SciencesE3S Web of Conferences2267-12422023-01-014260103610.1051/e3sconf/202342601036e3sconf_icobar23_01036The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two SectorsAnter William Tjandra0Modjo Mohamad-Ikhsan1Finance (International) Program, School of Accounting, 11480 Bina Nusantara UniversityFinance (International) Program, School of Accounting, 11480 Bina Nusantara UniversityThis study investigates the impact of the Covid-19 pandemic on the volatilities of two sectoral indices in Indonesia. The primary objective is to empirically examine the relationship between the occurrence of the pandemic, volatility, and trading volume. The authors employ GARCH modeling to analyze the two measurements, incorporating the Covid-19 variable as an external regressor. Data samples from two distinct sector indices of the Energy and Technology sectors in the Indonesian Stock Exchange are utilized, encompassing the periods before and after the initial Covid-19 case in Indonesia.https://www.e3s-conferences.org/articles/e3sconf/pdf/2023/63/e3sconf_icobar23_01036.pdf |
| spellingShingle | Anter William Tjandra Modjo Mohamad-Ikhsan The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two Sectors E3S Web of Conferences |
| title | The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two Sectors |
| title_full | The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two Sectors |
| title_fullStr | The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two Sectors |
| title_full_unstemmed | The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two Sectors |
| title_short | The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two Sectors |
| title_sort | effect of covid 19 pandemic on stock market volatility tales from two sectors |
| url | https://www.e3s-conferences.org/articles/e3sconf/pdf/2023/63/e3sconf_icobar23_01036.pdf |
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