2021
DOI: 10.24818/beman/2021.s.i.2-15
|View full text |Cite
|
Sign up to set email alerts
|

Return Spillover Between the U.S., Japanese, and Indonesian Stock Market During Covid-19

Abstract: The Covid-19 pandemic brings effects to global stock market. Information from one country is integrated to the whole world which causes the return transmission between stock markets. This research investigates the return spillover effect between the US (S&P 500), Japanese (Nikkei 225), and Indonesian (JCI) stock market during the peak of Covid-19 pandemic period. Data is examined using Eviews version 12 with Granger-causality test. Results show that S&P 500 and Nikkei 225 indexes influence the return o… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2
1

Citation Types

0
2
0

Year Published

2022
2022
2023
2023

Publication Types

Select...
3
1

Relationship

1
3

Authors

Journals

citations
Cited by 4 publications
(4 citation statements)
references
References 0 publications
0
2
0
Order By: Relevance
“…In one and two quarters, he discovered that commodities prices are favorably connected with equity prices, global demand, and lagged interest rates. When Indonesian stock market prices comprise historical data, public and private information, they are referred to as perfect markets (Dewi, et al, 2021b). According to the findings of Shang et al (2016), the stock market index derived from the S&P 500 index influences the future returns of commodities.…”
Section: Impact Of the Exchange Rates On Gold Futuresmentioning
confidence: 99%
“…In one and two quarters, he discovered that commodities prices are favorably connected with equity prices, global demand, and lagged interest rates. When Indonesian stock market prices comprise historical data, public and private information, they are referred to as perfect markets (Dewi, et al, 2021b). According to the findings of Shang et al (2016), the stock market index derived from the S&P 500 index influences the future returns of commodities.…”
Section: Impact Of the Exchange Rates On Gold Futuresmentioning
confidence: 99%
“…Dividends that impact stock price volatility (Dewi, 2011;Dewi, 2019). Even during the Covid-19 pandemic, spillover profits on US and Japanese markets had an impact on stock investments (Dewi et al, 2021).Basically, financial service products are formed to help people to be able to plan their finances well. Planning can minimize the occurrence of financial risks in the future.…”
Section: Introductionmentioning
confidence: 99%
“…Fundamental and technical analysis are the two forms of analysis that investors in stocks must perform, as is common knowledge. [4] claim that since this research shows that stock information across the U.S., Japanese, and Indonesian markets is integrated with one another, information about a country's stock market must also be taken into account when completing the analysis. Even stock returns can be predicted, based on [5], which yields the Exponential Generalized Autoregressive Conditional Heteroscedastic (EGARCH) that appears to be the most ideal for displaying stock prices and return volatility.…”
Section: Introductionmentioning
confidence: 99%