Title: Asymmetric impact of COVID-19 on Thailand's stock market volatility: an industry group analysis

Authors: Surachai Chancharat; Areeya Wisamart

Addresses: Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, 40002, Thailand ' Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen, 40002, Thailand

Abstract: This study investigates the effect of the COVID-19 outbreak on the industry group index in the Stock Exchange of Thailand (SET). Daily data on confirmed cases and industry group indices were collected from January 1, 2020, to December 30, 2022. Using the EGARCH model, the results indicate that the agricultural, real estate, construction, resource, and service groups responded negatively to the increase in COVID-19 confirmed cases, leading to decreases in the stock returns for these industrial groups. Conversely, the technology group experienced a positive response, with stock returns increasing as the number of confirmed COVID-19 cases rose.

Keywords: asymmetric volatility; COVID-19; emerging market; industrial group; Thailand.

DOI: 10.1504/IJMEF.2025.148079

International Journal of Monetary Economics and Finance, 2025 Vol.18 No.2/3, pp.129 - 135

Received: 07 Aug 2023
Accepted: 04 May 2024
Published online: 25 Aug 2025 *

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