THE EFFECT OF THE COVID-19 PANDEMIC ON STOCK PRICES WITH THE EVENT WINDOW APPROACH: A CASE STUDY OF STATE GAS COMPANIES, IN THE ENERGY SECTOR

Suripto Suripto,Supriyanto Supriyanto

doi:10.32479/ijeep.10999

Abstract

Stock price data at State Gas Company is defined as the time-series data comprising varying volatility and heteroscedasticity. One of the best models used to solve the problem of heteroscedasticity is the GARCH (generalized autoregressive conditional heteroscedasticity) model. Therefore, this study aims to build the most suitable model for predicting the 186 days before and 176 days after the Covid-19 pandemic, as well as to provide recommendations to reduce the impact of daily stock price movements. Data were obtained by examining the daily stock price data in Indonesian National Gas Companies from 2019 to 2020. The study also discusses the Event Window, with the best model identified as AR (1) -GARCH (1,1). The result showed that an error of less than 0.0015 is AR (1) - GARCH (1,1), provided the best model for price forecasting of Indonesian National Gas Companies.Keywords: Stock Price, Heteroscedasticity, GARCH Model, Event WindowJEL Classifications: C5, O42, Q4, Q47DOI: https://doi.org/10.32479/ijeep.10999

Highlights

Forecasting is an estimation or prediction of a future occurrence by evaluating previous circumstances’ information and data
The data acquired from the stock price of State Gas Company before and after Covid-19 was utilized in this research
The graph shows that the data is stationary, three hundred and sixtytwo of them portray an upward trend, which later moved downward to the final information. This behavior confirms that the data realized from the State Gas Company is constant at a certain number

Summary

Introduction

Forecasting is an estimation or prediction of a future occurrence by evaluating previous circumstances’ information and data. Based on this instance, financial analysts as information mediators play an extensive role by examining useful data related to earnings and stock forecasts (Jahangir, 2013; Chunhui et al, 2013). Financial analysts as information mediators play an extensive role by examining useful data related to earnings and stock forecasts (Jahangir, 2013; Chunhui et al, 2013) They are regarded as intermediaries because they carry out a retrospective analysis of the company’s personal and financial information to predict future occurrences. The public presumes that volatility is similar to market risks

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