STOCK MARKET COMOVEMENT OF UNITED STATES, CHINA, AND ASEAN-6: IMPACT OF COVID-19 CRISIS AND RUSSIA-UKRAINE WAR

Abstract

This study 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 Russia-Ukraine war. This study 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). The findings show 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.