Title: Share return volatility during the COVID-19 pandemic in the Indonesia Stock Exchange

Authors: Dian Fordian; Sam'un Jaja Raharja

Addresses: Department of Business Administration, Padjadjaran University, Jatinangor, Sumedang Regency, 45363, West Java, Indonesia ' Department of Business Administration, Padjadjaran University, Jatinangor, Sumedang Regency, 45363, West Java, Indonesia

Abstract: The Coronavirus disease 2019 (COVID-19) pandemic has impacted on investment activities domestically and internationally. This study aims to determine stock return volatility in the Indonesia Stock Exchange during the pandemic. The data used are the daily composite stock price index for the Indonesia Stock Exchange from March 3, 2020 to July 27, 2020. The data analysis uses a threshold generalised autoregressive conditional heteroscedasticity asymmetric model. The negative threshold coefficient value indicates that the effect of good news received by stock returns can be greater than that of bad news. When a shock occurs, the stock return volatility cannot have a large effect, but when the shock starts to subside, the stock return moves back to stability. The effect of generalised autoregressive conditional is dominant. The forecast of future trend variance based on past variance is significant, consistent with situations during the COVID-19 pandemic where the level of market uncertainty is high.

Keywords: volatility; TGARCH; stock returns; Indonesia Stock Exchange; COVID-19 pandemic.

DOI: 10.1504/IJTGM.2023.132028

International Journal of Trade and Global Markets, 2023 Vol.17 No.3/4, pp.307 - 318

Received: 21 Jan 2021
Accepted: 11 Jun 2021
Published online: 07 Jul 2023 *

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