Impact of COVID-19 on the Saudi stock market: analysis of return, volatility and trading volume

Shaista Wasiuzzaman ()
Additional contact information
Shaista Wasiuzzaman: Universiti Teknologi Brunei

Journal of Asset Management, 2022, vol. 23, issue 4, No 6, 350-363

Abstract: Abstract The aim of this study is to investigate the effect of the coronavirus health crisis (COVID-19) on the performance of the Saudi stock market, the Tadawul. Prices of the Tadawul All-Shares Index (TASI) and all sector indices are collected from December 2019 to end of July 2020. Analysis of the pandemic on the return and volatility is carried out using the GARCH (1, 1) model. The results show that the pandemic has a positive impact on the mean returns of all indices except for the REITS sector, but the impact is mostly insignificant. Analysis of the pandemic on the volatility shows that the TASI itself experienced lower volatility during the pandemic period but the impact is insignificant, while out of 21 sectors only 9 experienced significant impacts on volatility. Out of the 9 sectors, 5 experienced significantly increased volatility, while 4 experienced significantly lower volatility. Analysis of the impact of trading volume on the volatility shows stronger investor sentiment influencing volatility for the sectors that experienced higher volatility only. This study provides further understanding of how various market participants around the world react to the COVID-19 pandemic and the need for portfolio diversification to reduce risk during crisis periods.

Keywords: COVID-19; GARCH model; Volatility; Market returns; Sentiments (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1057/s41260-022-00269-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00269-x

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/s41260-022-00269-x

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().