Work

Comparative Analysis of Risk Premium and Stock Market Returns in Indonesia: A Case Study of Normal and COVID-19 Pandemic Periods

Year: 2024

Type: article

Abstract: This research examines the effect of market risk premium (risk premium) on market returns (JCI). In addition, this study aims to see the effect of premium risk on market returns during the COVID-19 Pandemic. The data used in this study is secondary (JCI data and Deposit Interest Rates) for the period January 2010 – September 2023. The method used in this study is the GARCH method (1.1). The results of this study show a positive and significant influence of risk premium on market returns (JCI). During the COVID-19 Pandemic, risk premiums negatively and significantly affected JCI returns or the Indonesian stock market.

Source: Jurnal Indonesia Sosial Teknologi

DOI: 10.59141/jist.v5i11.7023

Authors: Peni Rahmadani, Adler Haymans Manurung

Institutions: Universitas Trisakti, Universitas Bhayangkara Jakarta Raya

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

OpenAlex ID: W4404776472

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