Investigating the Dynamic Relationship Among JKSE, S&P 500, Cryptocurrencies and Gold Price After Covid-19 Outbreak

Abstract

This study aims to examine the dynamic relationship between the JKSE, S&P 500, gold prices, and bitcoin prices after WHO declared Covid-19 a global pandemic. The data used is daily data from March to November 2020 which follows trading days in the Indonesian capital market. Furthermore, this research uses VAR modelling to see how the impact of the Covid-19 pandemic on the relationship between the JCI, S&P 500, gold prices and bitcoin prices. The results showed that in the short term the S&P 500 has a positive and significant effect on JKSE, but in the long run it has no significant positive effect, in the long run the gold price has a negative and significant effect on JKSE and vice versa has no effect in the short term, both in the long term and in the short-term bitcoin has a negative and significant effect on JKSE. This research also shows that apart from gold, bitcoin has also become a safe haven for investors.