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Equity and Government Bond Relationship in Indonesia During Covid Pandemic

APTISI Transactions on Management (ATM) · Vol. 10 No. 2 (2026) · hlm. 283–294

DOI
10.33050/atm.v10i2.2619
ISSN
2622-6804, 2622-6812
Terbit
2026-06-15
Penerbit
Pandawan
Bahasa
en
Lisensi
creativecommons.org/licenses/by-sa/4.0

Abstrak

This study extends prior Covid-19 finance literature by examining the dynamic relationship between Indonesian equity returns and sovereign benchmark bond returns using daily data across two pandemic waves. Unlike previous studies focusing primarily on developed markets or conventional flight-to-safety behavior, this study provides evidence that government bonds in emerging markets may temporarily exhibit equity-like risk characteristics during pandemic-induced fiscal stress. Specifically, the findings show that equity market performance is positively correlated with government bond returns in Indonesia during the two waves of the Covid 19, as opposed to the findings from previous studies when there were financial crises, and also the results show negative correlation between the government bond return and the spread of the Credit Default Swap. Furthermore, this study examines the impact of the Covid pandemic to the local Indonesian long-term and medium-term benchmark bonds after applying the international risk factor variable to the model. The results show shifting investors’ attention from the international risk factors to the local risk factors in both medium and long tenor of the bonds during the pandemic period. Overall, this study highlights how pandemic-induced fiscal uncertainty alters stockbond dynamics in emerging markets and challenges conventional safe-haven assumptions regarding sovereign bonds.

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  • Universitas Amikom Yogyakarta
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Ariesya AprilliaAfiliasi tidak diketahui1
Rony SetiawanAfiliasi tidak diketahui1
Rully Arlan TjahyadiAfiliasi tidak diketahui1
Cen LuAfiliasi tidak diketahui1
Kezia Kurniawati NursalinAfiliasi tidak diketahui1
Felicia AbednegoAfiliasi tidak diketahui1
Hendri HandokoAfiliasi tidak diketahui1
Stevanus Budi WaluyaAfiliasi tidak diketahui1
SugimanAfiliasi tidak diketahui1
WardonoAfiliasi tidak diketahui1
Ema UtamiUniversitas Amikom Yogyakarta1
Kusrini KusriniUniversitas Amikom Yogyakarta1
Arief SetyantoUniversitas Amikom Yogyakarta1
Syamsu HidayatAfiliasi tidak diketahui1
Stefy Falentino AkubaAfiliasi tidak diketahui1
Poltak SinagaAfiliasi tidak diketahui1
Sidik BudionoAfiliasi tidak diketahui1

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Sumber metadata: OAI-PMH (metadata jurnal) https://ijc.ilearning.co/ATM/oai, pertama di-harvest 6 Nov 2026, terakhir terlihat 8 Nov 2026.
Metadata asli (oai_dc) 
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	<dc:title xml:lang="en">Equity and Government Bond Relationship in Indonesia During Covid Pandemic</dc:title>
	<dc:creator xml:lang="en">Ugut, Gracia Shinta S.</dc:creator>
	<dc:creator xml:lang="en">Handoko, Liza</dc:creator>
	<dc:creator xml:lang="en">Vaher, Kristina</dc:creator>
	<dc:subject xml:lang="en">Government Bonds</dc:subject>
	<dc:subject xml:lang="en">Covid-19 Pandemic</dc:subject>
	<dc:subject xml:lang="en">Liquidity Risk</dc:subject>
	<dc:subject xml:lang="en">International Risk</dc:subject>
	<dc:description xml:lang="en">This study extends prior Covid-19 finance literature by examining the dynamic relationship between Indonesian equity returns and sovereign benchmark bond returns using daily data across two pandemic waves. Unlike previous studies focusing primarily on developed markets or conventional flight-to-safety behavior, this study provides evidence that government bonds in emerging markets may temporarily exhibit equity-like risk characteristics during pandemic-induced fiscal stress. Specifically, the findings show that equity market performance is positively correlated with government bond returns in Indonesia during the two waves of the Covid 19, as opposed to the findings from previous studies when there were financial crises, and also the results show negative correlation between the government bond return and the spread of the Credit Default Swap. Furthermore, this study examines the impact of the Covid pandemic to the local Indonesian long-term and medium-term benchmark bonds after applying the international risk factor variable to the model. The results show shifting investors’ attention from the international risk factors to the local risk factors in both medium and long tenor of the bonds during the pandemic period. Overall, this study highlights how pandemic-induced fiscal uncertainty alters stockbond dynamics in emerging markets and challenges conventional safe-haven assumptions regarding sovereign bonds.</dc:description>
	<dc:publisher xml:lang="en">Pandawan</dc:publisher>
	<dc:date>2026-06-15</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://ijc.ilearning.co/ATM/article/view/2619</dc:identifier>
	<dc:identifier>10.33050/atm.v10i2.2619</dc:identifier>
	<dc:source xml:lang="en">APTISI Transactions on Management (ATM); Vol. 10 No. 2 (2026): May; 283-294</dc:source>
	<dc:source xml:lang="id">APTISI Transactions on Management (ATM); Vol 10 No 2 (2026): May; 283-294</dc:source>
	<dc:source>2622-6804</dc:source>
	<dc:source>2622-6812</dc:source>
	<dc:source>10.33050/atm.v10i2</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://ijc.ilearning.co/ATM/article/view/2619/ATM</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2026 Gracia Shinta S. Ugut, Liza Handoko, Kristina Vaher</dc:rights>
	<dc:rights xml:lang="en">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>