| Issue |
E3S Web Conf.
Volume 426, 2023
The 5th International Conference of Biospheric Harmony Advanced Research (ICOBAR 2023)
|
|
|---|---|---|
| Article Number | 01036 | |
| Number of page(s) | 6 | |
| Section | Integrated Sustainable Science and Technology Innovation | |
| DOI | https://doi.org/10.1051/e3sconf/202342601036 | |
| Published online | 15 September 2023 | |
The Effect of Covid-19 Pandemic on Stock Market Volatility: Tales from Two Sectors
Finance (International) Program, School of Accounting, 11480 Bina Nusantara University, Jakarta, Indonesia
* Corresponding author: mohamad.modjo@binus.edu
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.
© The Authors, published by EDP Sciences, 2023
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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