Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19
<p>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 t...
محفوظ في:
| المؤلف الرئيسي: | |
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| مؤلفون آخرون: | , , , , |
| منشور في: |
2024
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| الموضوعات: | |
| الوسوم: |
إضافة وسم
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| _version_ | 1864513509730025472 |
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| author | Umar Nawaz Kayani (17131781) |
| author2 | Ahmet Faruk Aysan (11902115) Mrestyal Khan (17986579) Maaz Khan (7843460) Roohi Mumtaz (17944955) Muhammad Irfan (255476) |
| author2_role | author author author author author |
| author_facet | Umar Nawaz Kayani (17131781) Ahmet Faruk Aysan (11902115) Mrestyal Khan (17986579) Maaz Khan (7843460) Roohi Mumtaz (17944955) Muhammad Irfan (255476) |
| author_role | author |
| dc.creator.none.fl_str_mv | Umar Nawaz Kayani (17131781) Ahmet Faruk Aysan (11902115) Mrestyal Khan (17986579) Maaz Khan (7843460) Roohi Mumtaz (17944955) Muhammad Irfan (255476) |
| dc.date.none.fl_str_mv | 2024-02-09T03:00:00Z |
| dc.identifier.none.fl_str_mv | 10.1016/j.heliyon.2024.e25202 |
| dc.relation.none.fl_str_mv | https://figshare.com/articles/journal_contribution/Unleashing_the_pandemic_volatility_A_glimpse_into_the_stock_market_performance_of_developed_economies_during_COVID-19/26490922 |
| dc.rights.none.fl_str_mv | CC BY 4.0 info:eu-repo/semantics/openAccess |
| dc.subject.none.fl_str_mv | Economics Applied economics Econometrics COVID-19 Volatility Developed markets Stock indices GJR-GARCH model |
| dc.title.none.fl_str_mv | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19 |
| dc.type.none.fl_str_mv | Text Journal contribution info:eu-repo/semantics/publishedVersion text contribution to journal |
| description | <p>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.</p><h2>Other Information</h2> <p> Published in: Heliyon<br> License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.heliyon.2024.e25202" target="_blank">https://dx.doi.org/10.1016/j.heliyon.2024.e25202</a></p> |
| eu_rights_str_mv | openAccess |
| id | Manara2_2bf6a67111817c7f3076704967d8af3c |
| identifier_str_mv | 10.1016/j.heliyon.2024.e25202 |
| network_acronym_str | Manara2 |
| network_name_str | Manara2 |
| oai_identifier_str | oai:figshare.com:article/26490922 |
| publishDate | 2024 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | CC BY 4.0 |
| spelling | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19Umar Nawaz Kayani (17131781)Ahmet Faruk Aysan (11902115)Mrestyal Khan (17986579)Maaz Khan (7843460)Roohi Mumtaz (17944955)Muhammad Irfan (255476)EconomicsApplied economicsEconometricsCOVID-19VolatilityDeveloped marketsStock indicesGJR-GARCH model<p>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.</p><h2>Other Information</h2> <p> Published in: Heliyon<br> License: <a href="http://creativecommons.org/licenses/by/4.0/" target="_blank">http://creativecommons.org/licenses/by/4.0/</a><br>See article on publisher's website: <a href="https://dx.doi.org/10.1016/j.heliyon.2024.e25202" target="_blank">https://dx.doi.org/10.1016/j.heliyon.2024.e25202</a></p>2024-02-09T03:00:00ZTextJournal contributioninfo:eu-repo/semantics/publishedVersiontextcontribution to journal10.1016/j.heliyon.2024.e25202https://figshare.com/articles/journal_contribution/Unleashing_the_pandemic_volatility_A_glimpse_into_the_stock_market_performance_of_developed_economies_during_COVID-19/26490922CC BY 4.0info:eu-repo/semantics/openAccessoai:figshare.com:article/264909222024-02-09T03:00:00Z |
| spellingShingle | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19 Umar Nawaz Kayani (17131781) Economics Applied economics Econometrics COVID-19 Volatility Developed markets Stock indices GJR-GARCH model |
| status_str | publishedVersion |
| title | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19 |
| title_full | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19 |
| title_fullStr | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19 |
| title_full_unstemmed | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19 |
| title_short | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19 |
| title_sort | Unleashing the pandemic volatility: A glimpse into the stock market performance of developed economies during COVID-19 |
| topic | Economics Applied economics Econometrics COVID-19 Volatility Developed markets Stock indices GJR-GARCH model |