BOND AS A SAFE HAVEN DURING MARKET CRASH: EXAMINATION OF COVID-19 PANDEMIC IN ASEAN-5

Authors

  • Gabriela Elvina Dwiastuti Siahaan Satya Wacana Christian University, Salatiga, Indonesia
  • Robiyanto Robiyanto Satya Wacana Christian University, Salatiga, Indonesia http://orcid.org/0000-0003-3565-1594

DOI:

https://doi.org/10.9744/jmk.23.1.1-9

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.

Author Biography

Robiyanto Robiyanto, Satya Wacana Christian University, Salatiga, Indonesia

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Published

2021-04-21

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