Analisis Persistensi Dan Efek Asimetri Volatilitas Return Indeks S&P 500 Dan Indeks Saham Asean Pada Masa Pandemi dan Pascapandemi Covid-19

Damanik, Ryan David Z.H. (2026) Analisis Persistensi Dan Efek Asimetri Volatilitas Return Indeks S&P 500 Dan Indeks Saham Asean Pada Masa Pandemi dan Pascapandemi Covid-19. Other thesis, Insititut Teknologi Sepuluh Nopember.

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Abstract

Pandemi COVID-19 mendorong lonjakan ketidakpastian pasar saham secara global, sehingga karakter volatilitas return perlu dipahami tidak hanya dari besar kecilnya gejolak harga, melainkan dari tingkat persistensi volatilitas dan efek asimetri. Namun, kedua karakteristik ini belum banyak diuji secara terpadu pada pasar saham Amerika Serikat dan ASEAN antara masa pandemi dan pascapandemi. Penelitian ini bertujuan untuk menganalisis persistensi volatilitas dan efek asimetri volatilitas return pada indeks Standard & Poor 500 (GSPC) serta lima indeks saham ASEAN, yaitu IDX Composite (JKSE), Straits Times Index (STI), FTSE Bursa Malaysia (KLSE), Stock Exchange of Thailand Index (SET), dan Philippine Stock Exchange Index (PSEI), pada masa pandemi COVID-19 (11 Maret 2020–5 Mei 2023) dan masa pascapandemi COVID-19 (5 Mei 2023–31 Desember 2025). Penelitian ini menggunakan pendekatan kuantitatif komparatif kemudian dianalisis menggunakan model ARMA-GARCH(1,1) untuk mengukur persistensi volatilitas serta model ARMA-GJR-GARCH(1,1) untuk mendeteksi efek asimetri volatilitas. Hasil penelitian menunjukkan bahwa penurunan persistensi volatilitas tidak terjadi secara seragam pada seluruh indeks. Persistensi volatilitas menurun signifikan pada GSPC (dari 0,968 menjadi 0,933; p = 0,0386) dan STI (dari 0,887 menjadi 0,600; p = 0,0010), tetapi justru meningkat signifikan pada JKSE (dari 0,912 menjadi 0,986; p = 0,0024), sementara KLSE, SET, dan PSEI tidak menunjukkan perubahan yang signifikan. Pada pengujian efek asimetri, hanya JKSE dan STI yang menunjukkan efek asimetri signifikan pada masa pandemi, sedangkan pada masa pascapandemi seluruh indeks menunjukkan koefisien asimetri positif dan signifikan, yang berarti respons volatilitas terhadap guncangan negatif menjadi lebih kuat dibandingkan guncangan positif pada periode tersebut. Temuan ini menunjukkan bahwa karakter persistensi dan asimetri volatilitas bersifat spesifik pada masing-masing pasar dan periode, sehingga model GARCH dan GJR-GARCH dapat digunakan sebagai alat bantu analitis untuk memetakan profil risiko pasar saham Amerika Serikat dan ASEAN pasca krisis kesehatan global.
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The COVID-19 pandemic triggered a sharp rise in global stock market uncertainty, so that the character of return volatility needs to be understood not only through the magnitude of price shocks, but also through volatility persistence and asymmetric effect. However, these two characteristics have not been widely examined in an integrated manner when comparing United States and ASEAN stock markets across the pandemic and post-pandemic periods. This study aims to analyze volatility persistence and asymmetric volatility effects on the returns of the Standard & Poor 500 (GSPC) and five ASEAN stock indices, namely the IDX Composite (JKSE), Straits Times Index (STI), FTSE Bursa Malaysia (KLSE), Stock Exchange of Thailand Index (SET), and Philippine Stock Exchange Index (PSEI), during the COVID-19 pandemic period (March 11, 2020–May 5, 2023) and the post-pandemic period (May 5, 2023–December 31, 2025). This study employs a comparative quantitative approach and analyzed using the ARMA-GARCH(1,1) model to measure volatility persistence and the ARMA-GJR-GARCH(1,1) model to detect asymmetric volatility effects. The results show that the decline in volatility persistence did not occur uniformly across all indices. Volatility persistence declined significantly in GSPC (from 0.968 to 0.933; p = 0.0386) and STI (from 0.887 to 0.600; p = 0.0010), but increased significantly in JKSE (from 0.912 to 0.986; p = 0.0024), while KLSE, SET, and PSEI showed no significant change. In the asymmetry test, only JKSE and STI exhibited a significant asymmetric effect during the pandemic period, whereas during the post-pandemic period all indices exhibited positive and significant asymmetry coefficients, indicating that the volatility response to negative shocks became stronger than to positive shocks in that period. These findings indicate that the character of volatility persistence and asymmetry is specific to each market and period, so that the GARCH and GJR-GARCH models can be used as analytical tools to map the risk profiles of the United States and ASEAN stock markets following a global health crisis.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Persistensi, efek asimetri, volatilitas return, time series, GARCH, GJR-GARCH, COVID-19, Persistence, asymmetric effects, return volatility, time series, univariate.
Subjects:	H Social Sciences > HA Statistics > HA30.3 Time-series analysis H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG4915 Stocks--Prices Q Science > QA Mathematics > QA280 Box-Jenkins forecasting
Divisions:	Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis
Depositing User:	Ryan David Zior Hasudungan Damanik
Date Deposited:	03 Aug 2026 03:35
Last Modified:	03 Aug 2026 03:35
URI:	http://repository.its.ac.id/id/eprint/141682

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