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COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

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  • Ștefan Cristian Gherghina

    (Department of Finance, Bucharest University of Economic Studies, 6 Piata Romana, 010374 Bucharest, Romania)

  • Daniel Ștefan Armeanu

    (Department of Finance, Bucharest University of Economic Studies, 6 Piata Romana, 010374 Bucharest, Romania)

  • Camelia Cătălina Joldeș

    (Department of Finance, Bucharest University of Economic Studies, 6 Piata Romana, 010374 Bucharest, Romania)

Abstract

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

Suggested Citation

  • Ștefan Cristian Gherghina & Daniel Ștefan Armeanu & Camelia Cătălina Joldeș, 2021. "COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach," JRFM, MDPI, vol. 14(8), pages 1-29, July.
    • Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:341-:d:599162
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    Cited by:

    1. Muhammad Niaz Khan & Suzanne G. M. Fifield & David M. Power, 2024. "The impact of the COVID 19 pandemic on stock market volatility: evidence from a selection of developed and emerging stock markets," SN Business & Economics, Springer, vol. 4(6), pages 1-26, June.
    2. Valentin Marian ANTOHI, 2021. "The Paradigm of Financing the Health Services from the Hospital Healthcare under the Impact of the COVID-19 Pandemic," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 3, pages 22-28.
    3. Daniel Traian PELE & Alexandra Ioana CONDA & Raul Cristian BAG & Miruna MAZURENCU-MARINESCU-PELE & Vasile Alecsandru STRAT, 2023. "Financial Risk Meter for The Romanian Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-24, March.

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