COVID-19 and Stock Market Volatility in South Africa: A Cross-Sector Analysis

Asian Economic and Financial Review

article

Edson Vengesai¹ 

[1] Department of Economics and Finance, University of the Free State

关键词: COVID-19;    Return volatility;    GARCH;    FIGARCH;    DCC GARCH;    Stock market.;   

DOI  :  10.55493/5002.v12i7.4533

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

The COVID-19 pandemic has created enormous economic and market uncertainty in the global economy. However, businesses and industries weren’t affected homogeneously; whilst others suffered, some blossomed. Equity markets were not spared from the detrimental effects of the pandemic. This study investigates the impact of COVID-19 on stock returns’ conditional volatility in different South African stock market sectors using standard symmetrical and asymmetrical GARCH models. The MDCC-GARCH model was employed to understand the dynamics of conditional correlations between the leading indices. The results suggest that COVID-19 has increased return volatility for the majority of the sectors; however, the sectors weren’t affected in the same way. The DCC-GARCH model shows significant, high, positive correlations between the major and Small Cap indices, suggesting insignificant diversification benefits during the pandemic. The alternative exchange (ALTX) was found to have declining correlations with the main sectors, indicating an increase in diversification benefits offered by the ALTX following the pandemic shock.

【 授权许可】

CC BY