Analisis Fenomena Flight-to-Quality di Negara Maju dan Berkembang: Studi Kasus Pandemi COVID-19

Abstract

Guncangan yang diakibatkan pandemi COVID-19 berpengaruh baik terhadap negara maju yaitu Amerika, Inggris, Jepang, dan Australia maupun negara berkembang yaitu Indonesia, Malaysia, Thailand, dan Vietnam. Falling stock market merupakan salah satu dampak yang diakibatkan oleh pandemi COVID-19 yang selanjutnya dapat memicu fenomena flight-to-quality yaitu fenomena ketika investor memindahkan asetnya dari saham ke obligasi. Penelitian ini bertujuan untuk melihat fenomena flight-to-quality dan korelasi volatilitas return saham dan return obligasi di delapan negara dengan menggunakan model analisis GARCH dan DCC-GARCH. Hasil penelitian menunjukan fenomena flight-to-quality hanya ditemukan di negara Vietnam. Korelasi volatilitas return saham dan return obligasi berbeda-beda antar negara yang dianalisa. Penelitian ini menunjukan adanya korelasi volatilitas return saham dan return obligasi selama pandemi COVID-19 menguat positif di negara Amerika, Inggris, dan Jepang, menguat negatif di negara Indonesia, Malaysia, dan Vietnam, dan cenderung melemah di negara Australia dan Thailand.

The shocks caused by the COVID-19 pandemic impacted both developed countries such as the United States, United Kingdom, Japan, and Australia as well as developing countries such as Indonesia, Malaysia, Thailand, and Vietnam. One of the consequences of the COVID-19 pandemic is a falling stock market which may trigger a flight-to-quality phenomenon, which occurs when investors shift their assets from stocks to bonds. The purpose of this study is to examine the flight-to-quality phenomenon and the correlation between stock and bond return volatility in eight countries using GARCH and DCC-GARCH analysis models. According to the findings, the flight-to-quality phenomenon is only found in Vietnam. The correlation between the volatility of stock returns and bond returns vary significantly across countries studied. This study shows that during the COVID-19 pandemic, the volatility correlation between stock and bond returns strengthened positively in United States, United Kingdom, and Japan, strengthened negatively in Indonesia, Malaysia, and Vietnam, and tended to weaken in Australia and Thailand.