Abstract
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.
Highlights
The COVID-19 (Coronavirus), a severe contagious disease was first discovered in Wuhan City of China, December 2019
This paper aims to evaluate the role of government and corporate bonds against stock price volatility in the ASEAN-5 (Indonesia, Malaysia, Singapore, Philippines and Thailand) market during COVID-19
Bond are only act as a diversifier in Indonesia capital market while becoming a hedge for Malaysia and Philippines capital market. Both corporate bond and government bond in Indonesia, Malaysia and Philippines tend to have a co-movement with the stock prices
Summary
The COVID-19 (Coronavirus), a severe contagious disease was first discovered in Wuhan City of China, December 2019. The linkage between the effect of COVID-19 related to financial market has been tried by many experts, including the use of panel data on the return of stock market in China (Al-Awadhi, Alsaifi, AlAwadhi, & Alhammadi, 2020), economic growth and government intervention (Ashraf, 2020) and how COVID-19 creates a “black swan” event on global market using granger causality and spectral causality (Morales & Andreosso-OCallaghan, 2020) Several studies such as Cheema and Szulczyk (2020), Akhtaruzzaman, Boubaker, Lucey, and Sensoy (2020) and Ji, Zhang, and Zhao (2020) explained the role of commodities, gold and other assets as a safe haven in a developed countries. H2e: Corporate bonds can act as a safe haven for the
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