IDEAS home Printed from https://ideas.repec.org/a/asi/aeafrj/v11y2021i3p191-204id2067.html
   My bibliography  Save this article

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

Author

Listed:
  • Jordan Ngu Chuan Yong
  • Sayyed Mahdi Ziaei
  • Kenneth R Szulczyk

Abstract

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.

Suggested Citation

  • Jordan Ngu Chuan Yong & Sayyed Mahdi Ziaei & Kenneth R Szulczyk, 2021. "The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(3), pages 191-204.
    • Handle: RePEc:asi:aeafrj:v:11:y:2021:i:3:p:191-204:id:2067
    as

    Download full text from publisher

    File URL: https://archive.aessweb.com/index.php/5002/article/view/2067/3296
    Download Restriction: no
    File URL: https://archive.aessweb.com/index.php/5002/article/view/2067/7363
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kwadwo Boateng Prempeh & Joseph Magnus Frimpong & Newman Amaning, 2023. "Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model," SN Business & Economics, Springer, vol. 3(1), pages 1-20, January.
    2. José Antonio Núñez-Mora & Roberto Joaquín Santillán-Salgado & Mario Iván Contreras-Valdez, 2022. "COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets," Mathematics, MDPI, vol. 10(9), pages 1-36, April.
    3. Cong Ma & Mui Yee Cheok, 2023. "Relationship among Covid-19, stock price and green finance markets pragmatic evidence from volatility dynamics," Economic Change and Restructuring, Springer, vol. 56(1), pages 265-295, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:asi:aeafrj:v:11:y:2021:i:3:p:191-204:id:2067. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Robert Allen (email available below). General contact details of provider: https://archive.aessweb.com/index.php/5002/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.