Heniwati, Elok (2021) GARCH Effect and Abnormal Returns during COVID-19 Pandemic. In: Proceedings of the First International Conference of Economics, Business & Entrepreneurship, ICEBE 2020, 1st October 2020, Tangerang, Indonesia.
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Abstract
Considering that in general stock returns display time-varying volatility, researchers focus on how abnormal returns are calculated because it impacts on how it will be interpreted. This study uses a market model for the GARCH effect to obtain a more efficient estimation result. Using the sample of
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 14:14 |
| Last Modified: | 17 Apr 2026 08:51 |
| URI: | http://eprints.eai.eu/id/eprint/33857 |
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