Proceedings of The 8th International Conference on Opportunities and Challenges in Management, Economics and Accounting
Year: 2021
DOI:
Indonesia’s Stock Investment Risk Mapping During Covid-19: Rolling Standard Deviation And Ewma Analysis
Florin Kosalim, Zaafri Ananta Husodo
ABSTRACT:
The COVID-19 pandemic had an impact on the world economy and made Indonesia‘s capital market more volatile and riskier. The change in Indonesia‘s capital market has been popular topic since the outbreak. The main purpose of this research is to conduct risk mapping of the firm listed in JCI (Jakarta Composite Index) based on firm characteristics before COVID-19 and in the COVID-19 phases to assess the dynamics of risk. This research uses the daily closing price of 67 stocks from various sector from ranging period October 2019 until June 2020. The methods used to measure the volatility are EWMA (Exponentially Weighted Moving Average) and rolling standard deviation. The expected finding is different volatility based on firm size and book to market listed in JCI before and in COVID-19 phase. The present research uses free estimation model to measure volatility and map the volatility according to the firm characteristics There is still few researches that assess in more detail the characteristics of companies that experience changes in volatility during the pandemic, both in terms of firm size and book to market value. The results of the risk mapping are to complement other researches related to capital market risks during the pandemic COVID-19 and shows characteristics of firm that is impacted by pandemic. The results shows that small firm volatility are not affected by COVID-19 but big firms with low book to market equity volatility are increasing significantly during COVID-19 phase.
keywords: COVID-19, Capital market, Volatility, EWMA, Rolling standard deviation.