Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1936112
The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries
Ning Zhang
Aiqun Wang
Naveed Ul- Haq
Safia Nosheen
Sažetak
This study examines the volatility of China and the most
advanced countries of the world stock markets due to the pandemic of COVID-19 using the TGARCH model. This research study
presents empirical support for the TGARCH specification for
explaining the daily time dependence in the rate of information
arrival to the market for stocks traded on China stock market.
Using the sample containing closing stock market returns from 05
January 2015 to 04 April 2020 of sample countries, we found that
through the COVID-19, there is no significant impact of returns
volatility coming from advanced countries towards the China
stock market. Further, results state that China has a significant
impact on explaining the volatility of the most advanced countries of the world (Switzerland, Sweden, Netherlands, and the UK)
except the U.S.A. during COVID-19. We found no significant
impact of China stock market returns on the U.S.A.’s volatility, but
there is a presence of leverage effect during COVID 19.
Ključne riječi
Covid-19; stock market volatility; China; most advanced countries; TGARCH
Hrčak ID:
302256
URI
Datum izdavanja:
31.3.2023.
Posjeta: 294 *