TY - JOUR
T1 - Unleashing the pandemic volatility:
T2 - A glimpse into the stock market performance of developed economies during COVID-19
AU - Kayani, Umar Nawaz
AU - Aysan, Ahmet Faruk
AU - Khan, Mrestyal
AU - Khan, Maaz
AU - Imtiaz, Roohi
AU - Irfan, Muhammad
PY - 2024/1/27
Y1 - 2024/1/27
N2 - The COVID-19 pandemic has resulted in significant financial losses globally, increasing the volatility of financial assets. Thus, this study models the stock market volatility of developed economies during the COVID-19 pandemic. For this purpose, we used the GJR-GARCH (Albulescu, 2020; Albulescu, 2020) [1,1] econometric model on the daily time series returns data ranging from 01st-July-2019 to 18th-November-2020. The entire dataset was equally divided into two subsets; before COVID-19, and after the COVID-19. The empirical results of this study showed the presence of volatility clustering, leverage effect, and excess kurtosis indicating leptokurtic phenomena in all stock indices returns. In addition to this, it can be noted that compared to before COVID-19, the stock markets showed negative returns, and increased volatility during the COVID-19. Hence, based on these findings, this study provides significant insights for global stock market investors and economic policymakers regarding financial portfolio construction particularly during crises times.
AB - The COVID-19 pandemic has resulted in significant financial losses globally, increasing the volatility of financial assets. Thus, this study models the stock market volatility of developed economies during the COVID-19 pandemic. For this purpose, we used the GJR-GARCH (Albulescu, 2020; Albulescu, 2020) [1,1] econometric model on the daily time series returns data ranging from 01st-July-2019 to 18th-November-2020. The entire dataset was equally divided into two subsets; before COVID-19, and after the COVID-19. The empirical results of this study showed the presence of volatility clustering, leverage effect, and excess kurtosis indicating leptokurtic phenomena in all stock indices returns. In addition to this, it can be noted that compared to before COVID-19, the stock markets showed negative returns, and increased volatility during the COVID-19. Hence, based on these findings, this study provides significant insights for global stock market investors and economic policymakers regarding financial portfolio construction particularly during crises times.
U2 - 10.1016/j.heliyon.2024.e25202
DO - 10.1016/j.heliyon.2024.e25202
M3 - Article
C2 - 38370210
SN - 2405-8440
VL - 10
JO - Heliyon
JF - Heliyon
IS - 4
M1 - e25202
ER -