Action for Action: Mad COVID-19, Falling Markets and Rising Volatility of SAARC Region

Asima Saleem ()
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Asima Saleem: National University of Modern Languages

Annals of Data Science, 2022, vol. 9, issue 1, No 3, 33-54

Abstract: Abstract The Southern Region has reported a large number of contagious pandemic outbreaks. These epidemics brought threats to human health and resulted in serious economic losses. The COVID-19 is a global virus and has weakened the global financial markets with significant effect on stock returns and market volatilities. The study obtained a dataset about the financial market structure of South Asian Association for Regional Cooperation (SAARC) Countries. The purpose of the study is to determine the effect of 2019-nCov on stock market performance of SAARC member states. The study considered indexes of the National Stock Exchanges of each country and applied an event study approach for estimating the impact of Mad COVID-19 on the stock returns and market volatilities with an event window of 25 days of severe pandemic hits. The CAR approach proved the declining effect of Mad COVID-19 on the stock returns of SAARC countries. Asymmetric GJR-GARCH Model estimated the changeable volatility and proved the increase in volatility with COVID-19 as a negative shock. SAARC Region significantly reacts to Mad COVID-19 with falling markets and rising volatility.

Keywords: COVID-19; Cumulative abnormal returns; Event study methodology; GJR-GARCH model; South Asian Association for Regional Cooperation (SAARC); Volatility effect (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s40745-021-00349-6

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