Pengujian Integrasi Pasar Modal di Kawasan Asia Sebelum dan Selama Pandemi COVID-19

Abstract

Penelitian terdahulu banyak membahas mengenai integrasi pasar modal, tetapi belum ada penelitian integrasi pasar modal terkait kondisi pandemi Covid19. Penelitian ini bertujuan untuk menguji integrasi pasar modal di kawasan Asia sebelum dan selama pandemi Covid-19. Alat analisis yang digunakan pada penelitian ini adalah OGARCH (Orthogonal Generalized Autoregressive Conditional Heteroscedasticity) agar dapat mengetahui derajat integrasinya. Data yang digunakan pada penelitian ini adalah data penutupan harian HSI (Hongkong), Nikkei 225 (Jepang), Nifty 50 (India), STI (Singapura), SSEC (China), dan IHSG (Indonesia) selama periode sebelum pandemi Covid-19 (September-Desember 2019), dan periode selama pandemi Covid-19 (Maret-Juni 2020). Penelitian ini memberikan kontribusi dengan terbuktinya secara empiris bahwa pasar modal yang diteliti tidak terintegrasi sepenuhnya di kedua periode. Penelitian ini juga menemukan bahwa IHSG menjadi lebih tersegmentasi pada periode selama pandemi Covid-19 menyusul Nifty 50 yang selalu tersegmentasi di kedua periodenya. Berdasarkan hasil tersebut terdapat implikasi positif bahwa di masa pandemi dapat meningkatkan manfaat diversifikasi portofolio melalui invstasi pasar modal yang tersegmentasi.

Previous research has discussed a lot about capital market integration, but there has been no research on capital market integration related to the Covid-19 pandemic. The purpose of this research is to examine the integration of capital markets in the Asian region before and during the Covid-19 pandemic. The analytical tool used in this research is OGARCH (Orthogonal Generalized Autoregressive Conditional Heteroscedasticity) to determine the degree of integration. The data used in this research are daily closing data for HSI (Hongkong), Nikkei 225 (Japan), Nifty 50 (India), STI (Singapore), SSEC (China), and JCI (Indonesia) during the period before the Covid-19 pandemic ( September-December 2019), and the period during the Covid-19 pandemic (March-June 2020). This research contributes by being empirically proven that the capital market understudy was not fully integrated in the two periods. This research also found that the JCI became more segmented during the Covid-19 pandemic following the Nifty 50 which was always segmented in both periods. The based on the results has implication positive that during the pandemic can increase the benefits of the portfolio through cemented capital market investments.