HERSUGONDO, Hersugondo (2022) Artikel Dr. HERSUGONDO, SE, MM: ASEAN-5 Stock Price Index Valuation after COVID-19 Outbreak through GBM-MCS andVaR-SDPPMethods. INTERNATIONAL JOURNAL OF FINANCIAL STUDIES.

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Abstract

In the economic globalization era, mainly since 2010, ASEAN countries’ financial and
investment sectors have emerged to accelerate economic growth. The driving factor for the financial
sector’s contribution is the public’s growing interest in financial asset investment products, of which
the most chosen one in ASEAN is stocks. However, the COVID-19 pandemic at the end of 2019
affected the growth of stock investments, causing market conditions to be unstable. People held
back their interest in investing in stocks because they thought this condition would bring significant
losses. Therefore, in this study, the ASEAN-5 stock price index was evaluated to analyze the general
stock price conditions for each stock market in the new standard era. The valuation included price
predictions and risk of loss using the GBM-MCS and VaR-VC models. The results showed that the
GBM-MCSmodelwasmoreaccurate than the GBM model because it had a more stable MAPE value. Referring to the VaR-VC value, the prediction of losses in the ASEAN topfive stock markets for
21–25 April 2022 ranged from 1% to 15%.

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