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ASEAN-5 Stock Price Index Valuation after COVID-19 Outbreak through GBM-MCS and VaR-SDPP Methods

Author

Listed:
  • Hersugondo Hersugondo

    (Department of Management, Diponegoro University, Semarang 50275, Indonesia)

  • Endang Tri Widyarti

    (Department of Management, Diponegoro University, Semarang 50275, Indonesia)

  • Di Asih I Maruddani

    (Department of Statistics, Diponegoro University, Semarang 50275, Indonesia)

  • Trimono Trimono

    (Data Science Study Program, Universitas Pembangunan Nasional “Veteran” Jawa Timur, Surabaya 60294, Indonesia)

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-MCS model was more accurate 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%.

Suggested Citation

  • Hersugondo Hersugondo & Endang Tri Widyarti & Di Asih I Maruddani & Trimono Trimono, 2022. "ASEAN-5 Stock Price Index Valuation after COVID-19 Outbreak through GBM-MCS and VaR-SDPP Methods," IJFS, MDPI, vol. 10(4), pages 1-19, November.
    • Handle: RePEc:gam:jijfss:v:10:y:2022:i:4:p:112-:d:989214
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    References listed on IDEAS

    as
    1. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
    2. Bian, Liu & Li, Zhi, 2021. "Fuzzy simulation of European option pricing using sub-fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 153(P2).
    3. Wei-Guo Zhang & Zhe Li & Yong-Jun Liu & Yue Zhang, 2021. "Pricing European Option Under Fuzzy Mixed Fractional Brownian Motion Model with Jumps," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 483-515, August.
    4. Markus Michaelsen & Alexander Szimayer, 2018. "Marginal consistent dependence modelling using weak subordination for Brownian motions," Quantitative Finance, Taylor & Francis Journals, vol. 18(11), pages 1909-1925, November.
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