Artikel

COVID-19 pandemic and Romanian stock market volatility: A GARCH approach

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007-2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

Sprache
Englisch

Erschienen in
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 8 ; Pages: 1-29 ; Basel: MDPI

Klassifikation
Wirtschaft
Thema
autocorrelation
COVID-19
GARCH models
Granger causality
Romanian stock market
vector autoregression model
volatility clustering

Ereignis
Geistige Schöpfung
(wer)
Gherghina, Ștefan Cristian
Armeanu, Daniel Ștefan
Joldeș, Camelia Cătălina
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2021

DOI
doi:10.3390/jrfm14080341
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Gherghina, Ștefan Cristian
  • Armeanu, Daniel Ștefan
  • Joldeș, Camelia Cătălina
  • MDPI

Entstanden

  • 2021

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