Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19

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 econometric model on the daily...

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Bibliographic Details
Published in:Heliyon 2024-02, Vol.10 (4), p.e25202-e25202, Article e25202
Main Authors: Kayani, Umar Nawaz, Aysan, Ahmet Faruk, Khan, Mrestyal, Khan, Maaz, Mumtaz, Roohi, Irfan, Muhammad
Format: Article
Language:English
Subjects:
COVID-19
COVID-19 infection
data collection
Developed markets
econometric models
GJR-GARCH model
pandemic
statistical analysis
stock exchange
Stock indices
time series analysis
Volatility
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Summary: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 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.
ISSN:2405-8440
2405-8440
DOI:10.1016/j.heliyon.2024.e25202