A Comparative Analysis of Global Stock Index Volatility Risks Before and During the Covid-19 Pandemic

Permatasari, Ayu Indah
Muhammad Irfan Islami

Contemporary Studies in Economic, Finance and Banking (CSEFB)
Vol. 4 No. 1 (2025)

This research is motivated by the phenomenon of the Covid-19 pandemic. In recent years, the Covid-19 pandemic has caused a shock to the stock market. As a result, there is a significant difference in the stock index before or during the Covid-19 pandemic. Stock indices are important indicators to measure stock market fluctuations so that they can be taken into consideration for investor decision making. This study uses global stock indices, namely the United States stock index (S&P 500 and Nasdaq), Japan stock index (Nikkei 225), China stock index (SSE), Hong Kong stock index (Hang Seng), Germany stock index (Dax 30), and European stock index (Euronext). That is because the seven stock indices are the indices with the largest market capitalization in the world. This research is a quantitative research. This research uses time series data, which is data accumulated over time on an object in order to describe the development of the object. In this study, the type of data used is secondary data in the form of historical stock index data. Then the researchers conducted the Garch Test to determine the volatility risk of the entire stock index in the period before and during Covid-19.   Abstrak Penelitian ini  dilatarbelakangi oleh fenomena pandemi Covid-19. Dalam beberapa tahun terakhir, pandemi Covid-19 menyebabkan guncangan pada pasar saham. Imbasnya, terjadi perbedaan signifikan pada indeks saham sebelum atau saat pandemi Covid-19. Indeks saham adalah indikator penting untuk mengukur fluktuasi pasar saham sehingga dapat menjadi bahan pertimbangan guna pengambilan keputusan investor. Penelitian ini menggunakan indeks saham global yaitu indeks saham Amerika Serikat (S&P 500 dan Nasdaq), indeks saham Jepang (Nikkei 225), indeks saham China (SSE), indeks saham Hong Kong (Hang Seng), indeks saham Jerman (Dax 30), dan indeks saham Eropa (Euronext). Itu karena ketujuh indeks saham tersebut merupakan indeks dengan kapitalisasi pasar terbesar di dunia. Penelitian ini merupakan penelitian kuantitatif. Penelitian ini menggunakan data time series, yakni data yang diakumulasikan dari waktu ke waktu pada suatu objek guna mendeskripsikan perkembangan objek. Dalam penelitian ini jenis data yang digunakan merupakan data sekunder berupa data historis indeks saham. Kemudian peneliti melakukan Uji Garch guna mengetahui risiko volatilitas dari seluruh indeks.