Comovement Pasar Saham dari Negara Amerika Serikat, China, dan Asean-6: Dampak Krisis Covid-19 dan Perang Rusia-Ukraina

Abstract

This research aims to analyze the movement of stock markets from the United States, China and ASEAN towards the stock market in Indonesia in geopolitical periods, such as COVID-19 and Israel-Hamas. This research uses secondary data, namely the daily closing prices of the United States S&P 500 index, Shanghai Composite, Jakarta Stock Exchange, Thailand SET, FTSE Straits Times Singapore, Philippine Stock Exchange, Kuala Lumpur Stock Exchange, and Vietnam Securities Exchange. The analytical method used to support this research is EGARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity). This study found that the Indonesian stock market has a positive influence on the United States S&P 500 stock market, Shanghai Composite, Jakarta Stock Exchange, Thailand SET, FTSE Straits Times Singapore, Philippine Stock Exchange, and Kuala Lumpur Stock Exchange, and Vietnam Securities Exchange. In simple terms, global crises such as COVID-19 and geopolitical conflicts such as Russia-Ukraine increase economic volatility and uncertainty which affects capital flows and stock prices on various exchanges. This research provides an in-depth understanding of the Indonesian stock market's response to global events and its relationship with other capital markets, which can assist in developing investment policies and strategies as well as in anticipating and managing risks amidst global economic and geopolitical uncertainty.

Penelitian ini bertujuan untuk menganalisis comovement pasar saham dari negara Amerika Serikat, China, dan ASEAN terhadap pasar saham di Indonesia pada periode geopolitikal, seperti COVID-19 dan Israel-Hamas. Penelitian ini menggunakan data sekunder yakni harga penutupan harian indeks S&P 500 Amerika Serikat, Shanghai Composite, Jakarta Stock Exchange, Thailand SET, FTSE Straits Times Singapore, Philippine Stock Exchange, Kuala Lumpur Stock Exchange, dan Vietnam Securities Exchange. Metode analisis yang digunakan untuk mendukung penelitian ini adalah EGARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity). Studi ini menemukan bahwa pasar saham indonesia memiliki pengaruh yang positif terhadap pasar saham S&P 500 Amerika Serikat, Shanghai Composite, Jakarta Stock Exchange, Thailand SET, FTSE Straits Times Singapore, Philippine Stock Exchange, dan Kuala Lumpur Stock Exchange, dan Vietnam Securities Exchange. Secara sederhana, krisis global seperti COVID-19 dan konflik geopolitik seperti Rusia-Ukraina meningkatkan volatilitas dan ketidakpastian ekonomi yang mempengaruhi arus modal dan harga saham di berbagai bursa. Penelitian ini memberikan pemahaman mendalam tentang respons pasar saham Indonesia terhadap peristiwa global dan keterkaitannya dengan pasar modal lainnya, yang dapat membantu dalam pengembangan kebijakan dan strategi investasi serta dalam mengantisipasi dan mengelola risiko di tengah ketidakpastian ekonomi dan geopolitik global.