Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model

Kwadwo Boateng Prempeh (), Joseph Magnus Frimpong () and Newman Amaning ()
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Kwadwo Boateng Prempeh: Sunyani Technical University
Joseph Magnus Frimpong: KNUST School of Business
Newman Amaning: Sunyani Technical University

SN Business & Economics, 2023, vol. 3, issue 1, 1-20

Abstract: Abstract In this paper, we utilise daily stock returns for the Ghanaian equity market (GSE) to examine the influence of the COVID-19 pandemic on market volatility. We take return volatility from 2nd January, 2018, to 31st December, 2021, and split it into two periods—the pre-COVID-19 period and the COVID-19 period. Utilising the exponential GARCH (EGARCH) model, we discovered leverage effects in all observed periods. Additionally, the research indicates that the COVID-19 period experienced high volatility with a transient volatility persistence. Furthermore, during the COVID-19 pandemic, positive shocks had a more significant impact on the volatility of the GSE’s returns than negative news of comparable magnitude.

Keywords: COVID-19; Stock market returns; Volatility; GSE; Shocks (search for similar items in EconPapers)
JEL-codes: E44 G1 G11 G14 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s43546-022-00401-4

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