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The Impact of COVID-19 News on Financial Market Volatility in MENA Countries

In: Handbook of Banking and Finance in the MENA Region

Author

Listed:
  • Oumayma Elbach
  • Abdelkader Mohamed Sghaier Derbali
  • Moufida Ben Saada

Abstract

This chapter examines the impact of COVID-19 news in the USA on the volatility of financial markets in the Middle East and North Africa (MENA) zone. We examine the effect of surprises from financial markets announcements relating to new, confirmed, and death cases of COVID-19 in each country in the sample. We use the GARCH (1.1) specification by incorporating the surprise component in the estimated model during the period from January 1, 2019 until December 31, 2020. The empirical findings show that the evolution of the daily returns and volatilities of the stock indexes of the MENA zone used in our research shows very significant peaks in particular in the first three months of 2020 during the most significant spread of the COVID-19 epidemic. We show that the announcements of new cases of COVID-19 in the United States (NCUSA) have a significant impact on the Lebanon stock index and on Tunisia’s stock index. Announcements of confirmed cases (CCUSA) of COVID-19 present a relative and insignificant impact on all stock market indices of the MENA zone used in our research. Finally, the announcements of the death cases of COVID-19 in the United States (DCUSA) have a significant impact on the stock market index of Morocco, Saudi Arabia, and United Arab Emirates. This chapter is the first to examine the effect of surprises from financial markets announcements relating to new, confirmed, and death cases of COVID-19 on the volatility of financial markets in the MENA zone.

Suggested Citation

  • Oumayma Elbach & Abdelkader Mohamed Sghaier Derbali & Moufida Ben Saada, 2024. "The Impact of COVID-19 News on Financial Market Volatility in MENA Countries," World Scientific Book Chapters, in: Khaled Hussainey & Tamanna Dalwai (ed.), Handbook of Banking and Finance in the MENA Region, chapter 5, pages 113-145, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781800614734_0005
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    More about this item

    Keywords

    MENA; Banking Sector; Business Risk; Corporate Governance; COVID-19; Cryptocurrency; Fintech; Financial Stability; Green Finance;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • F3 - International Economics - - International Finance
    • G3 - Financial Economics - - Corporate Finance and Governance

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