IDEAS home Printed from https://ideas.repec.org/a/eee/tefoso/v169y2021ics0040162521002729.html
   My bibliography  Save this article

Covid-19 health policy intervention and volatility of Asian capital markets

Author

Listed:
  • Hunjra, Ahmed Imran
  • Kijkasiwat, Ploypailin
  • Arunachalam, Murugesh
  • Hammami, Helmi

Abstract

The Covid-19 pandemic continues to disturb the global economy and capital markets. Governments across the globe relentlessly enact health policy measures to contain coronavirus and undertake economic relief programs to reduce the impacts on their economies. This paper examines the effects of Covid-19 government health measures on the volatility of capital markets in East Asian economies. The study applies Monte Carlo type simulations to determine stock price volatility over the period when health policy measures were implemented. The findings indicate that different health policy measures have affected investors’ behavior and caused volatility of stock markets. However, there are country-different impacts on the volatility of these capital markets. The findings provide important insights that are useful when reviewing Covid-19 health policy measures to mitigate the impacts on stock markets.

Suggested Citation

  • Hunjra, Ahmed Imran & Kijkasiwat, Ploypailin & Arunachalam, Murugesh & Hammami, Helmi, 2021. "Covid-19 health policy intervention and volatility of Asian capital markets," Technological Forecasting and Social Change, Elsevier, vol. 169(C).
    • Handle: RePEc:eee:tefoso:v:169:y:2021:i:c:s0040162521002729
    DOI: 10.1016/j.techfore.2021.120840
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0040162521002729
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.techfore.2021.120840?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Coibion, Olivier & Gorodnichenko, Yuriy & Weber, Michael, 2020. "Labor Markets During the Covid-19 Crisis: A Preliminary View," Department of Economics, Working Paper Series qt7rx7t91p, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    2. Editorial, 2020. "Covid-19 and Climate Change," Journal, Review of Agrarian Studies, vol. 10(1), pages 5-6, January-J.
    3. Gupta, Rangan & Subramaniam, Sowmya & Bouri, Elie & Ji, Qiang, 2021. "Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 289-298.
    4. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
    5. Yuya Katafuchi & Kenichi Kurita & Shunsuke Managi, 2021. "COVID-19 with Stigma: Theory and Evidence from Mobility Data," Economics of Disasters and Climate Change, Springer, vol. 5(1), pages 71-95, April.
    6. Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2018. "Learning from History: Volatility and Financial Crises," The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2774-2805.
    7. Charles P. Kindleberger, 1937. "Flexibility of Demand in International Trade Theory," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 51(2), pages 352-361.
    8. Lubos Pástor & Pietro Veronesi, 2012. "Uncertainty about Government Policy and Stock Prices," Journal of Finance, American Finance Association, vol. 67(4), pages 1219-1264, August.
    9. Stefano Ramelli & Alexander F Wagner, 2020. "Feverish Stock Price Reactions to COVID-19," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 9(3), pages 622-655.
    10. Yoo, Sunbin & Managi, Shunsuke, 2020. "Global mortality benefits of COVID-19 action," Technological Forecasting and Social Change, Elsevier, vol. 160(C).
    11. Al-Awadhi, Abdullah M. & Alsaifi, Khaled & Al-Awadhi, Ahmad & Alhammadi, Salah, 2020. "Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    12. Pinglin He & Yulong Sun & Ying Zhang & Tao Li, 2020. "COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(10), pages 2198-2212, August.
    13. Zhang, Dayong & Hu, Min & Ji, Qiang, 2020. "Financial markets under the global pandemic of COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
    14. Kaplanski, Guy & Levy, Haim, 2010. "Sentiment and stock prices: The case of aviation disasters," Journal of Financial Economics, Elsevier, vol. 95(2), pages 174-201, February.
    15. Smith, Richard D., 2006. "Responding to global infectious disease outbreaks: Lessons from SARS on the role of risk perception, communication and management," Social Science & Medicine, Elsevier, vol. 63(12), pages 3113-3123, December.
    16. Stefano Ramelli & Alexander F Wagner, 0. "Feverish Stock Price Reactions to COVID-19," Review of Corporate Finance Studies, Oxford University Press, vol. 9(3), pages 622-655.
    17. Kenichi Kurita & Shunsuke Managi, 2022. "COVID-19 and Stigma: Evolution of Self-restraint Behavior," Dynamic Games and Applications, Springer, vol. 12(1), pages 168-182, March.
    18. William J. Burns & Ellen Peters & Paul Slovic, 2012. "Risk Perception and the Economic Crisis: A Longitudinal Study of the Trajectory of Perceived Risk," Risk Analysis, John Wiley & Sons, vol. 32(4), pages 659-677, April.
    19. Arouri, Mohamed El Hedi & Boubaker, Sabri & Nguyen, Duc Khuong (ed.), 2013. "Emerging Markets and the Global Economy," Elsevier Monographs, Elsevier, edition 1, number 9780124115491.
    20. Amory Martin & Maryia Markhvida & Stéphane Hallegatte & Brian Walsh, 2020. "Socio-Economic Impacts of COVID-19 on Household Consumption and Poverty," Economics of Disasters and Climate Change, Springer, vol. 4(3), pages 453-479, October.
    21. Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Demir, Ender, 2020. "Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe," Finance Research Letters, Elsevier, vol. 35(C).
    22. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
    23. Joseph E. Engelberg & Christopher A. Parsons, 2011. "The Causal Impact of Media in Financial Markets," Journal of Finance, American Finance Association, vol. 66(1), pages 67-97, February.
    24. Antoine Mandel & Vipin Veetil, 2020. "The Economic Cost of COVID Lockdowns: An Out-of-Equilibrium Analysis," Economics of Disasters and Climate Change, Springer, vol. 4(3), pages 431-451, October.
    25. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost & Marco C. Sammon & Tasaneeya Viratyosin, 2020. "The Unprecedented Stock Market Impact of COVID-19," NBER Working Papers 26945, National Bureau of Economic Research, Inc.
    26. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
    27. Johnson, Herb & Shanno, David, 1987. "Option Pricing when the Variance Is Changing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(2), pages 143-151, June.
    28. Goodell, John W., 2020. "COVID-19 and finance: Agendas for future research," Finance Research Letters, Elsevier, vol. 35(C).
    29. Jianping Mei & Limin Guo, 2004. "Political Uncertainty, Financial Crisis and Market Volatility," European Financial Management, European Financial Management Association, vol. 10(4), pages 639-657, December.
    30. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
    31. Orkideh Gharehgozli & Peyman Nayebvali & Amir Gharehgozli & Zaman Zamanian, 2020. "Impact of COVID-19 on the Economic Output of the US Outbreak’s Epicenter," Economics of Disasters and Climate Change, Springer, vol. 4(3), pages 561-573, October.
    32. Liu, Li & Zhang, Tao, 2015. "Economic policy uncertainty and stock market volatility," Finance Research Letters, Elsevier, vol. 15(C), pages 99-105.
    33. Dinh Hoang Bach Phan & Paresh Kumar Narayan, 2020. "Country Responses and the Reaction of the Stock Market to COVID-19—a Preliminary Exposition," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(10), pages 2138-2150, August.
    34. Del Giudice, Alfonso & Paltrinieri, Andrea, 2017. "The impact of the Arab Spring and the Ebola outbreak on African equity mutual fund investor decisions," Research in International Business and Finance, Elsevier, vol. 41(C), pages 600-612.
    35. Laura Alfaro & Anusha Chari & Andrew N. Greenland & Peter K. Schott, 2020. "Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time," NBER Working Papers 26950, National Bureau of Economic Research, Inc.
    36. Ashraf, Badar Nadeem, 2020. "Stock markets’ reaction to COVID-19: Cases or fatalities?," Research in International Business and Finance, Elsevier, vol. 54(C).
    37. Nakamura, Hiroki & Managi, Shunsuke, 2020. "Airport risk of importation and exportation of the COVID-19 pandemic," Transport Policy, Elsevier, vol. 96(C), pages 40-47.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. Pang, Qinghua & Qiu, Man & Zhang, Lina & Chiu, Yung-ho, 2023. "Congestion effects of energy and capital in China's carbon emission reduction: Evidence from provincial levels," Energy, Elsevier, vol. 274(C).
    2. He, Chengying & Wen, Zhang & Huang, Ke & Ji, Xiaoqin, 2022. "Sudden shock and stock market network structure characteristics: A comparison of past crisis events," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    3. Sun, Weikang & Wei, Zhiqi & Zou, Shixiang, 2024. "Exploring the impact of religious diversity on market performance and financial growth in developed economies," Research in International Business and Finance, Elsevier, vol. 71(C).
    4. Liu, Guohua & Zhao, Lihua & Wang, Xiaoyan & liao, Meihui, 2024. "Impact of social welfare finance on institutional financial performance: Cross-country evidence," Research in International Business and Finance, Elsevier, vol. 70(PB).
    5. Duppati, Geeta & Younes, Ben Zaied & Tiwari, Aviral Kumar & Hunjra, Ahmed Imran, 2023. "Time-varying effects of fuel prices on stock market returns during COVID-19 outbreak," Resources Policy, Elsevier, vol. 81(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Aharon, David Y. & Siev, Smadar, 2021. "COVID-19, government interventions and emerging capital markets performance," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Demir, Ender, 2020. "Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe," Finance Research Letters, Elsevier, vol. 35(C).
    3. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2022. "The impact and role of COVID-19 uncertainty: A global industry analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    4. Prelorentzos, Arsenios-Georgios N. & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Xidonas, Panos & Goutte, Stephane & Thomakos, Dimitrios D., 2024. "Introducing the GVAR-GARCH model: Evidence from financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    5. Jialei Jiang & Eun-Mi Park & Seong-Taek Park, 2021. "The Impact of the COVID-19 on Economic Sustainability—A Case Study of Fluctuation in Stock Prices for China and South Korea," Sustainability, MDPI, vol. 13(12), pages 1-17, June.
    6. Gu, Tiantian & Venkateswaran, Anand & Erath, Marc, 2023. "Impact of fiscal stimulus on volatility: A cross-country analysis," Research in International Business and Finance, Elsevier, vol. 65(C).
    7. Tomás Gómez Rodríguez & Humberto Ríos Bolívar & Adriana Zambrano Reyes, 2021. "Volatilidad y COVID-19: evidencia empírica internacional," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-20, Julio - S.
    8. Baek, Seungho & Mohanty, Sunil K. & Glambosky, Mina, 2020. "COVID-19 and stock market volatility: An industry level analysis," Finance Research Letters, Elsevier, vol. 37(C).
    9. Zaremba, Adam & Kizys, Renatas & Tzouvanas, Panagiotis & Aharon, David Y. & Demir, Ender, 2021. "The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    10. SECUNDO, Giustina & MELE, Gioconda & VECCHIO, Pasquale Del & ELIA, Gianluca & MARGHERITA, Alessandro & NDOU, Valentina, 2021. "Threat or opportunity? A case study of digital-enabled redesign of entrepreneurship education in the COVID-19 emergency," Technological Forecasting and Social Change, Elsevier, vol. 166(C).
    11. O’Donnell, Niall & Shannon, Darren & Sheehan, Barry, 2021. "Immune or at-risk? Stock markets and the significance of the COVID-19 pandemic," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    12. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Gil-Alana, Luis Alberiko, 2022. "The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    13. Heyden, Kim J. & Heyden, Thomas, 2021. "Market reactions to the arrival and containment of COVID-19: An event study," Finance Research Letters, Elsevier, vol. 38(C).
    14. Yousfi, Mohamed & Ben Zaied, Younes & Ben Cheikh, Nidhaleddine & Ben Lahouel, Béchir & Bouzgarrou, Houssem, 2021. "Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
    15. Thomas Gries & Wim Naudé, 2021. "Extreme Events, Entrepreneurial Start-Ups, and Innovation: Theoretical Conjectures," Economics of Disasters and Climate Change, Springer, vol. 5(3), pages 329-353, October.
    16. Wang, Zhixuan & Dong, Yanli & Liu, Ailan, 2022. "How does China's stock market react to supply chain disruptions from COVID-19?," International Review of Financial Analysis, Elsevier, vol. 82(C).
    17. Padhan, Rakesh & Prabheesh, K.P., 2021. "The economics of COVID-19 pandemic: A survey," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 220-237.
    18. Kenichi Kurita & Shunsuke Managi, 2022. "COVID-19 and Stigma: Evolution of Self-restraint Behavior," Dynamic Games and Applications, Springer, vol. 12(1), pages 168-182, March.
    19. Cakici, Nusret & Zaremba, Adam, 2021. "Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    20. Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).

    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:eee:tefoso:v:169:y:2021:i:c:s0040162521002729. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.sciencedirect.com/science/journal/00401625 .

    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.