Introducing the GVAR-GARCH model: Evidence from financial markets

Arsenios-Georgios Prelorentzos, Konstantinos Konstantakis, Panayotis Michaelides, Panos Xidonas, Stephane Goutte and Dimitrios Thomakos

Journal of International Financial Markets, Institutions and Money, 2024, vol. 91, issue C

Abstract: This study investigates the impact of the COVID-19 pandemic on East Asian financial markets, specifically China, Japan, Korea, Indonesia, Malaysia, and the Philippines, by introducing the innovative GVAR-GARCH model. Examining the period from November 2019 to August 2023, our findings show that while these economies initially absorbed pandemic-induced shocks, subsequent variations in daily death rates had no statistically significant effects on stock market returns or ten-year bond yields. This research deepens our understanding of market dynamics during crises and highlights the effectiveness of the proposed GVAR-GARCH model. In terms of policy implications, the study suggests that targeted measures addressing both public health and economic stability can enhance market resilience during crises. Policymakers can leverage these insights to formulate strategies that recognize the interconnectedness of health crises and financial markets, promoting economic stability in the face of unforeseen challenges.

Keywords: Financial markets; East Asia; GVAR; GARCH; COVID-19; Shock; Stability; Policy; Crisis (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000027

DOI: 10.1016/j.intfin.2024.101936

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