BOND AS A SAFE HAVEN DURING MARKET CRASH: EXAMINATION OF COVID-19 PANDEMIC IN ASEAN-5

Gabriela Elvina Dwiastuti Siahaan (Satya Wacana Christian University, Salatiga, Indonesia)
Robiyanto Robiyanto (Satya Wacana Christian University, Salatiga, Indonesia)

Jurnal Manajemen dan Kewirausahaan
Vol. 23 No. 1 (2021): MARCH 2021

The central aim of this paper is to examine the effectiveness of corporate bonds and government bonds against the stock price fluctuation in ASEAN-5 countries (Indonesia, Malaysia, Philippines, Thailand and Singapore). Highlighting an important event of COVID-19, we investigate whether bonds provide protection by utilizing Q-REG method. The noteworthy finding is that bonds consistently act as a hedge for Malaysia and Philippines, while regarded as a diversifier for Indonesia’s capital market. However, this study observed that corporate bonds successfully become a strong safe haven for Thailand and Singapore capital market. Similar result was also found for Singapore government bonds which provides a valuable return during the pandemic of COVID-19.