The Effect of the Covid-19 Pandemic on Stock Prices With the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector

Abstract

Stock price data at State Gas Company is defined as the time-series data comprising varying volatility and heteroscedasticity. One of the best models used to solve the problem of heteroscedasticity is the GARCH (generalized autoregressive conditional heteroscedasticity) model. Therefore, this study aims to build the most suitable model for predicting the 186 days before and 176 days after the Covid-19 pandemic, as well as to provide recommendations to reduce the impact of daily stock price movements. Data were obtained by examining the daily stock price data in Indonesian National Gas Companies from 2019 to 2020. The study also discusses the Event Window, with the best model identified as AR (1) -GARCH (1,1). The result showed that an error of less than 0.0015 is AR (1) -GARCH (1,1), provided the best model for price forecasting of Indonesian National Gas Companies.

The effect of macroeconomics and supply chain finance (SCF) on profitability: Evidence from manufacturing companies

“…This study was written to provide empirical evidence regarding the effect of SCF and financial trends on the profitability of real estate investment trusts. The findings are expected to assist policymakers and executives in real estate companies in recognizing the critical role of SCF and development finance in a company's profitability (Akhmadi et al, 2020;Suripto, 2021).…”

Impact of Green Management and Earning Management of Energy Companies in Indonesia

“…There are several reasons involved in the relationship between GM and earning management (EM) due to the accrual system which allows managers to select expenditures as assets or costs. According to Khresna and Suripto (2021), EM is regarded as the company's expenses that are treated as assets or costs.…”