Analisis keterhubungan indeks saham negara ASEAN sebelum dan selama COVID-19 = Analysis of the connectedness between ASEAN countries stock indexes before and during COVID-19

Adinata, Kenji Nicholas (2024) Analisis keterhubungan indeks saham negara ASEAN sebelum dan selama COVID-19 = Analysis of the connectedness between ASEAN countries stock indexes before and during COVID-19. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Hubungan antar pasar saham internasional merupakan faktor penting dalam keputusan finansial investor internasional, terutama dalam era integrasi global. Dinamika hubungan antar pasar saham dapat bervariasi dan menunjukkan anomali, khususnya dalam peristiwa signifikan seperti Public Health Emergency of International Concern (PHEIC) COVID-19 yang memiliki dampak luas, termasuk pada pasar saham ASEAN. Penelitian ini bertujuan untuk menentukan tingkat korelasi dinamis antar indeks negara ASEAN menggunakan model DCC-GARCH dan menentukan tingkat serta arah spillover antar indeks negara ASEAN dengan pendekatan Diebold-Yilmaz. Selain itu, penelitian ini menyelidiki perubahan korelasi dan spillover antar indeks negara ASEAN sebelum dan selama PHEIC COVID-19. Dengan menggunakan data harga penutupan harian dari 1 Januari 2016 hingga 5 Mei 2023, hasil penelitian menunjukkan perubahan yang signifikan dalam tingkat korelasi dan spillover antar indeks negara ASEAN pada kedua periode. Korelasi meningkat untuk beberapa pasangan indeks, sementara terjadi penurunan pada beberapa lainnya. Efek spillover menguat selama PHEIC COVID-19, kecuali pada pasangan indeks PSEI-KLSE. Terdapat pula identifikasi perubahan arah spillover antar indeks SET dengan indeks JKSE, STI, dan KLSE, serta antara indeks JKSE dengan PSEI./The relationship between international stock markets is a crucial factor in the financial decisions of international investors, especially in the era of global integration. The dynamics of stock market relationships exhibit variability and anomalies, especially during major events such as the COVID-19 Public Health Emergency of International Concern (PHEIC), which has broad effects, including on ASEAN stock markets. This research aims to model dynamic correlations among ASEAN country indexes using the DCC-GARCH model and determine the levels and directions of spillover among these indexes using the Diebold-Yilmaz approach. Additionally, this research investigates changes in correlation and spillover among ASEAN country indexes before and during the COVID-19 PHEIC. Utilizing daily closing price data from January 1, 2016, to May 5, 2023, the research findings indicate significant changes in correlation levels and spillover effects among ASEAN country indexes in both periods. Correlations increased for some index pairs, while others experienced a decline. The spillover effect strengthened during the COVID-19 PHEIC, except for the PSEI-KLSE index pair. Furthermore, the research identifies changes in the direction of spillover among the SET index and other ASEAN country indexes, as well as between the JKSE and PSEI indexes.

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