Journal of Economics and Financial Analysis, 8 (2), pp. 89-113, [2024]
URI: https://ojs.tripaledu.com/jefa/article/view/97/107

Spillover Volatility Effect Return Of Stock, Gold, and Cryptocurrency: Evidence of Peak Pandemic and Transition towards Endemic COVID-19 in Indonesia


Politeknik Statistika STIS, Indonesia


Politeknik Statistika STIS, Indonesia



Abstract

This study examines the volatility spillover effects among stock, gold, and cryptocurrency returns during the peak of the COVID-19 pandemic and the transition to the endemic phase. The objective is to identify and model the volatility of these three investment instruments using GARCH/EGARCH for univariate modeling and BEKK-GARCH/BEKK-Asymmetric GARCH for multivariate modeling.
The study utilizes daily highest price data from November 1, 2020, to April 30, 2022, and from May 1, 2022, to December 31, 2022. The findings reveal that cryptocurrency is the most volatile asset during both the peak of the pandemic and the transitional period towards endemic COVID-19. Gold serves as a safe haven for cryptocurrency in both periods. Additionally, gold acts as a diversifier for stocks, and vice versa, while stocks also diversify cryptocurrency risk during the pandemic peak. These insights hold significant implications for portfolio risk management, enabling investors to diversify portfolios across instruments with varying risk profiles.

Keywords

G11, C22, C32.

JEL Classification

Volatility; BEKK-AGARCH; Stocks; Gold; Cryptocurrency; COVID-19.

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