WAVELET COHERENCE APPLICATION FOR COMOVEMENT ANALYSIS DURING COVID-19 PANDEMIC BETWEEN WORLD GOLD PRICE WITH 5 STOCK PRICES ON IDX
Econophysics is a field of physics concept application on various economic phenomena and continuously evolving until now can be used in financial asset price movements analysis. Dynamic stock price movements are important to investigate their dependence and vulnerability on other fluctuation assets...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/65146 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Econophysics is a field of physics concept application on various economic phenomena and continuously evolving until now can be used in financial asset price movements analysis. Dynamic stock price movements are important to investigate their dependence and vulnerability on other fluctuation assets and external phenomena, so it can be a consideration for investment strategy. Comovement can be analyzed as a phenomenon where asset (stock) price moves together with other asset (commodity) price, this can be influenced by external conditions such as the increase of Covid-19 cases. The wavelet method possibly analyzes these financial data in time and frequency domains. I investigate financial prices volatility using wavelet power spectrum and analyze comovement between 5 stock prices that listed on Indonesia Stock Exchange (ANTM, PSAB, MDKA, UNTR, MEDC) and world gold price (Gold Futures) using wavelet coherence during July 2019 to December 2021. The result of WPS analysis shows significant high volatility in stock prices and gold price, especially in the period of the surge in Covid-19 cases around March 2020 at least with a period of 32 days. This shows the impact of the Covid-19 pandemic, especially with the comovement detected between the financial assets tested against the daily Covid-19 new cases data. This research through WTC analysis also shows that MDKA and ANTM stocks have high level of comovement on world gold price with significant pattern of comovements obtained throughout the time intervals and reached periods 128 days, which are suitable for aggressive investors. PSAB stock obtained medium level of comovement so that it can be an investment option for moderate investors. Meanwhile, investment in MEDC and UNTR stocks is recommended for conservative investors because of the low comovement on world gold price. |
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