Title: An assessment of volatility and leverage effect before and during the period of Covid-19: a study of selected international stock markets

Authors: Amalendu Bhunia; Soumya Ganguly

Addresses: Department of Commerce, University of Kalyani, Kalyani, West Bengal, India ' Department of Commerce, Barrackpore Rastraguru Surendranath College, Barrackpore, West Bengal, India

Abstract: This research work assesses the volatility and leverage effect of the selected stock markets before and during the outburst of the Covid-19 of the selected international stock markets. This study is based on daily time-series data obtained from yahoo.finance database. The period of the study has been considered from 1 September 2019 to 31 December 2019, before the period of Covid-19, and from 1 January 2020 to 30 April 2020, during the period of Covid-19. In the course of analysis, descriptive statistics, the GARCH model, the EGARCH model, and the TGARCH model have been used. The GARCH test results show that volatility existed before and during the period of Covid-19. Both E-GARCH and T-GARCH test results show that the leverage effect existed before and during the period of Covid-19. So, the impact of the Covid-19 pandemic in terms of bad news has a bigger influence on international stock markets.

Keywords: stock markets; volatility; leverage effect; Covid-19; GARCH; EGARCH.

DOI: 10.1504/IJFSM.2020.110224

International Journal of Financial Services Management, 2020 Vol.10 No.2, pp.113 - 127

Received: 29 Jun 2020
Accepted: 01 Jul 2020

Published online: 09 Oct 2020 *

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