The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore

Asian Economic and Financial Review

article

Jordan Ngu Chuan Yong¹  Sayyed Mahdi Ziaei¹  Kenneth R Szulczyk¹ 

[1]School of Economics and Management, Xiamen University Malaysia Campus

关键词: COVID19 pandemic;    Stock returns;    Volatility;    GARCH family model;    Bursa Malaysia;    Singapore exchange.;   

DOI  :  10.18488/journal.aefr.2021.113.191.204

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

In this study, the volatility of two Asian stock markets, Bursa Malaysia and Singapore Exchange, is estimated. The analysis used data on daily closing prices of the indices of the respective stock markets between July 1, 2019 and August 31, 2020. The sample is split into two subsample periods: Pre-COVID-19 pandemic and during the COVID-19 pandemic. We estimated a standard GARCH, GARCH-M, TGARCH, EGARCH and PGARCH model for each subsample. We chose the best GARCH that yielded the lowest Schwarz information criterion for the normal, skewed normal, Student’s t-distribution, skewed Student’s t-distribution, generalized error distribution (GED) and skewed GED. The results show that both stock market returns are quite persistent, and the persistence decreases for both stock market returns during the pandemic. Furthermore, the normal distribution performed well for Malaysian and Singaporean stock markets before the pandemic and switched to a Student’s t (skewed normal) during the pandemic. The standard GARCH(1,1), GARCH-M(1,1), and EGARCH(1,1) performed well for both stock market returns, and the EGARCH indicates the presence of the leverage effect when stock market returns are negatively correlated to its volatility.

【 授权许可】

CC BY