Artikel
Stock market volatility response to COVID-19: Evidence from Thailand
This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 infection cases are examined. The increased rate of COVID-19 infections impacts stock returns detrimentally; in Thailand, stock market volatility responses are asymmetric in the increase and decline situations. This disparity is due to the unfavourable impact of the pandemic's volatility. Finally, we acknowledge that directional volatility spillover effects exist between the increase in COVID-19 cases and stock returns, suggesting that time-varying conditional correlations occur and are generally positive. Using this study's results, governments and financial institutions can devise strategies for subsequent recessions or financial crises. Furthermore, investment managers can manage portfolio risk and forecast patterns in stock market volatility. Academics can apply our methodology in future investment trend studies to analyse additional variables in the economic system, such as the value of the US dollar, the price of commodities, or GDP.
- Sprache
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Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 12 ; Pages: 1-9
- Klassifikation
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Management
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
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COVID-19
volatility
BEKK-GARCH
stock return
- Ereignis
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Geistige Schöpfung
- (wer)
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Suthasinee Suwannapak
Surachai Chancharat
- Ereignis
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Veröffentlichung
- (wer)
-
MDPI
- (wo)
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Basel
- (wann)
-
2022
- DOI
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doi:10.3390/jrfm15120592
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Suthasinee Suwannapak
- Surachai Chancharat
- MDPI
Entstanden
- 2022
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