IDEAS home Printed from https://ideas.repec.org/a/ovi/oviste/vxxiy2021i2p1166-1171.html
   My bibliography  Save this article

Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market

Author

Listed:
  • Cristi Spulbar

    (University of Craiova)

  • Ramona Birau

    (University of Craiova)

  • Jatin Trivedi

    (National Institute of Securities Markets)

Abstract

The main aim of this empirical study is to examine short and long run volatility movements based on a case study for Norwegian Stock Market, i.e. Oslo Stock Exchange. The econometric framework includes a series of statistical tests, ARIMA models and GARCH family models for the sample period from March 2013 to October 2021. The empirical results were influenced by the impact of COVID19 pandemic. This research paper also contributes to the existing literature regarding the influence of extreme events, such as COVID-19 pandemic on the behavior of developed stock markets, like Norwegian Stock Market.

Suggested Citation

  • Cristi Spulbar & Ramona Birau & Jatin Trivedi, 2021. "Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1166-1171, December.
    • Handle: RePEc:ovi:oviste:v:xxi:y:2021:i:2:p:1166-1171
    as

    Download full text from publisher

    File URL: https://stec.univ-ovidius.ro/html/anale/RO/2021-2/Section%205/32.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Cristi Spulbar & Jatin Trivedi & Ramona Birau & Tenea Cosmin Andrei & Abdullah Ejaz, 2019. "Estimating Volatility Spillovers, Dynamic Causal Linkages And International Contagion Patterns Between Developed Stock Markets: An Empirical Case Study For Usa, Canada, France And Uk," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 44-62, June.
    2. Muhammad Azmat Hayat & Huma Ghulam & Maryam Batool & Muhammad Zahid Naeem & Abdullah Ejaz & Cristi Spulbar & Ramona Birau, 2021. "Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    3. Bharat Kumar Meher & Iqbal Thonse Hawaldar & Latasha Mohapatra & Cristi Spulbar & Ramona Birau, 2020. "The Effects of Environment, Society and Governance Scores on Investment Returns and Stock Market Volatility," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 234-239.
    4. Luis Varona & Jorge R Gonzales, 2021. "Dynamics of the impact of COVID-19 on the economic activity of Peru," PLOS ONE, Public Library of Science, vol. 16(1), pages 1-30, January.
    5. Sondre R. Fiskerstrand & Susanne Fjeldavli & Thomas Leirvik & Yevheniia Antoniuk & Oleg Nenadić, 2020. "Sustainable investments in the Norwegian stock market," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 10(3), pages 294-310, July.
    Full references (including those not matched with items on IDEAS)

    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. Cristi Spulbar & Elena Loredana Minea, 2022. "Inefficient Stock Markets And Their Implications In The Context Of Extreme Financial Events: A Theoretical Framework," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 38-41, February.
    2. Petre Valeriu Ninulescu, 2022. "Tax Evasion And Tax Havens - A Critical Theoretical Survey," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 261-264, February.
    3. Cristi Spulbar & Ramona Birau & Lucian Florin Spulbar, 2021. "A Critical Survey on Efficient Market Hypothesis (EMH), Adaptive Market Hypothesis (AMH) and Fractal Markets Hypothesis (FMH) Considering Their Implication on Stock Markets Behavior," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1161-1165, December.
    4. Muhammad Azmat Hayat & Huma Ghulam & Maryam Batool & Muhammad Zahid Naeem & Abdullah Ejaz & Cristi Spulbar & Ramona Birau, 2021. "Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    5. Svetlana Zenchenko & Wadim Strielkowski & Luboš Smutka & Tomáš Vacek & Yana Radyukova & Vladislav Sutyagin, 2022. "Monetization of the Economies as a Priority of the New Monetary Policy in the Face of Economic Sanctions," JRFM, MDPI, vol. 15(3), pages 1-18, March.
    6. Giacomo Morelli & Rita D’Ecclesia, 2021. "Responsible investments reduce market risks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1211-1233, December.
    7. Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
    8. Srikanth Potharla & Neeraj Kumar & Pooja Choudhary & Surya Kumari Turubilli, 2024. "Is ESG Data Financially Viable? A Case of Stock Price Synchronicity," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 49(1), pages 62-81, February.
    9. Fredy S. Monge-Rodríguez & He Jiang & Liwei Zhang & Andy Alvarado-Yepez & Anahí Cardona-Rivero & Enma Huaman-Chulluncuy & Analy Torres-Mejía, 2021. "Psychological Factors Affecting Risk Perception of COVID-19: Evidence from Peru and China," IJERPH, MDPI, vol. 18(12), pages 1-16, June.
    10. Yevheniia Antoniuk, 2023. "The effect of climate disclosure on stock market performance: Evidence from Norway," Sustainable Development, John Wiley & Sons, Ltd., vol. 31(2), pages 1008-1026, April.
    11. Liu, Li-Jing & Yao, Yun-Fei & Liang, Qiao-Mei & Qian, Xiang-Yan & Xu, Chun-Lei & Wei, Si-Yi & Creutzig, Felix & Wei, Yi-Ming, 2021. "Combining economic recovery with climate change mitigation: A global evaluation of financial instruments," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 438-453.
    12. Dahlström, Petter & Lööf, Hans & Sahamkhadam, Maziar & Stephan, Andreas, 2023. "Science-based emission targets and risk-adjusted portfolio return: An analysis using global SBTi-validated stocks," Working Paper Series in Economics and Institutions of Innovation 492, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    13. Srikanth Potharla & Surya Kumari Turubilli & Mylavaram Chandra Shekar, 2024. "The Social Pillar of ESG: Exploring the Link Between Social Sustainability and Stock Price Synchronicity," Indian Journal of Corporate Governance, , vol. 17(1), pages 130-152, June.
    14. Narula, Radhika & Rao, Purnima & Kumar, Satish & Matta, Rahul, 2024. "ESG scores and firm performance- evidence from emerging market," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1170-1184.
    15. Cristi Spulbar & Ramona Birau & Iqbal Thonse Hawaldar & Jatin Trivedi & Anca Ioana Iacob (Troto), 2023. "Measuring Asymmetric Volatility Of Uk, France, And German Stock Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 134-146, February.
    16. Halima Begum & A. S. A. Ferdous Alam & Walter Leal Filho & Abd Hair Awang & Ahmad Bashawir Abdul Ghani, 2021. "The COVID-19 Pandemic: Are There Any Impacts on Sustainability?," Sustainability, MDPI, vol. 13(21), pages 1-16, October.
    17. Prasada, Imade Yoga & Nugroho, Agus Dwi & Lakner, Zoltan, 2022. "Impact of the FLEGT license on Indonesian plywood competitiveness in the European Union," Forest Policy and Economics, Elsevier, vol. 144(C).
    18. Ganga Bhavani & Reena Agrawal & Suhan Mendon & Cristi Spulbar & Ramona Birau, 2021. "An Empirical Investigation into Alarming Signals Ignored by the U.S. Multi-Brand Retailer J. Crew Incorporation during COVID-19 Pandemic," JRFM, MDPI, vol. 14(11), pages 1-21, November.
    19. Orhan Cengiz & Müge Manga, 2022. "Impact of COVID-19 pandemic on exports: new evidence from selected European Union countries and Turkey," Asia-Pacific Journal of Regional Science, Springer, vol. 6(3), pages 1195-1219, October.
    20. Kilinc-Ata, Nurcan & Proskuryakova, Liliana N., 2023. "Empirical analysis of the Russian power industry's transition to sustainability," Utilities Policy, Elsevier, vol. 82(C).

    More about this item

    Keywords

    ARIMA models; leverage effect; GARCH models; volatility; COVID-19 pandemic; stock market behavior;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets
    • G4 - Financial Economics - - Behavioral Finance

    Statistics

    Access and download statistics

    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:ovi:oviste:v:xxi:y:2021:i:2:p:1166-1171. 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: Gheorghiu Gabriela (email available below). General contact details of provider: https://edirc.repec.org/data/feoviro.html .

    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.