新冠肺炎疫情对印度尼西亚投资风险的影响：来自EGARCH模型的证据

Q2 Economics, Econometrics and Finance

Buletin Ekonomi Moneter dan Perbankan Pub Date : 2023-01-20 DOI:10.21098/bemp.v25i4.1758

Meinisa Fadillah Rahmi, N. Nasrudin

{"title":"新冠肺炎疫情对印度尼西亚投资风险的影响：来自EGARCH模型的证据","authors":"Meinisa Fadillah Rahmi, N. Nasrudin","doi":"10.21098/bemp.v25i4.1758","DOIUrl":null,"url":null,"abstract":"This study analyzes the effect of the COVID-19 pandemic on the risks of gold, stocks, and the US dollar investments as well as risk comparison among those instruments. An EGARCH model is used to accommodate the asymmetric effect on the risks. To examine the pandemic effect, we use a dummy variable of before and during the pandemic and stringency index which reflects government seriousness about COVID-19 prevention. The results show that risks are higher during the pandemic while government actions reduce risks. Stocks are riskiest instrument and suitable for risk seekers. Gold is least risky and suitable for risk averters.","PeriodicalId":36737,"journal":{"name":"Buletin Ekonomi Moneter dan Perbankan","volume":" ","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"THE EFFECT OF COVID-19 PANDEMIC ON THE RISKS OF INVESTMENTS IN INDONESIA: EVIDENCE FROM THE EGARCH MODEL\",\"authors\":\"Meinisa Fadillah Rahmi, N. Nasrudin\",\"doi\":\"10.21098/bemp.v25i4.1758\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study analyzes the effect of the COVID-19 pandemic on the risks of gold, stocks, and the US dollar investments as well as risk comparison among those instruments. An EGARCH model is used to accommodate the asymmetric effect on the risks. To examine the pandemic effect, we use a dummy variable of before and during the pandemic and stringency index which reflects government seriousness about COVID-19 prevention. The results show that risks are higher during the pandemic while government actions reduce risks. Stocks are riskiest instrument and suitable for risk seekers. Gold is least risky and suitable for risk averters.\",\"PeriodicalId\":36737,\"journal\":{\"name\":\"Buletin Ekonomi Moneter dan Perbankan\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-01-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Buletin Ekonomi Moneter dan Perbankan\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21098/bemp.v25i4.1758\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Buletin Ekonomi Moneter dan Perbankan","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21098/bemp.v25i4.1758","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}

引用次数: 0

摘要

本研究分析了新冠肺炎疫情对黄金、股票和美元投资风险的影响，以及这些工具之间的风险比较。使用EGARCH模型来适应对风险的不对称影响。为了检验大流行的影响，我们使用了大流行前和大流行期间的虚拟变量和严格指数，该指数反映了政府对新冠肺炎预防的严肃性。结果表明，在疫情期间，风险更高，而政府的行动降低了风险。股票是风险最大的工具，适合风险寻求者。黄金风险最小，适合避险人士。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

THE EFFECT OF COVID-19 PANDEMIC ON THE RISKS OF INVESTMENTS IN INDONESIA: EVIDENCE FROM THE EGARCH MODEL

This study analyzes the effect of the COVID-19 pandemic on the risks of gold, stocks, and the US dollar investments as well as risk comparison among those instruments. An EGARCH model is used to accommodate the asymmetric effect on the risks. To examine the pandemic effect, we use a dummy variable of before and during the pandemic and stringency index which reflects government seriousness about COVID-19 prevention. The results show that risks are higher during the pandemic while government actions reduce risks. Stocks are riskiest instrument and suitable for risk seekers. Gold is least risky and suitable for risk averters.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Buletin Ekonomi Moneter dan Perbankan Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

5 weeks