Title: Volatility clustering and persistence during COVID-19: evidence of asymmetric volatility in the Asia-Pacific stock markets

Authors: Dharen Kumar Pandey; Vineeta Kumari

Addresses: P.G. Department of Commerce, Magadh University, Bodh Gaya, Bihar, India ' P.G. Department of Commerce, Magadh University, Bodh Gaya, Bihar, India

Abstract: We analyse 17 stock market indices in the Asia-Pacific region to examine the impacts of the COVID-19 on the Asia-Pacific stock markets by interpreting the generalised autoregressive conditional heteroskedasticity (GARCH) coefficients. While evidencing the absence of ARCH and GARCH effects during the pre-COVID period, we also evidence volatility clustering and persistence during the COVID period. It is evidenced that negative impacts result in higher volatility than positive impacts. The presence of time-varying volatility in the Asia-Pacific region has not been previously studied. The available literature has focused either on a single market or on the developed markets. Hence, the findings of this study are expected to contribute significantly to the finance literature.

Keywords: volatility; COVID-19; GARCH; EGARCH; stock market; Asia-Pacific; asymmetry.

DOI: 10.1504/IJFSM.2022.126863

International Journal of Financial Services Management, 2022 Vol.11 No.3, pp.232 - 244

Accepted: 15 Jun 2022
Published online: 09 Nov 2022 *

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