The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore

Jordan Ngu Chuan Yong (), Sayyed Ziaei () and Kenneth Szulczyk

Asian Economic and Financial Review, 2021, vol. 11, issue 3, 191-204

Abstract: In this study, the volatility of two Asian stock markets, Bursa Malaysia and Singapore Exchange, is estimated. The analysis used data on daily closing prices of the indices of the respective stock markets between July 1, 2019 and August 31, 2020. The sample is split into two subsample periods: Pre-COVID-19 pandemic and during the COVID-19 pandemic. We estimated a standard GARCH, GARCH-M, TGARCH, EGARCH and PGARCH model for each subsample. We chose the best GARCH that yielded the lowest Schwarz information criterion for the normal, skewed normal, Student’s t-distribution, skewed Student’s t-distribution, generalized error distribution (GED) and skewed GED. The results show that both stock market returns are quite persistent, and the persistence decreases for both stock market returns during the pandemic. Furthermore, the normal distribution performed well for Malaysian and Singaporean stock markets before the pandemic and switched to a Student’s t (skewed normal) during the pandemic. The standard GARCH(1,1), GARCH-M(1,1), and EGARCH(1,1) performed well for both stock market returns, and the EGARCH indicates the presence of the leverage effect when stock market returns are negatively correlated to its volatility.

Keywords: COVID19 pandemic; Stock returns; Volatility; GARCH family model; Bursa Malaysia; Singapore exchange. (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://archive.aessweb.com/index.php/5002/article/view/2067/3296 (application/pdf)
https://archive.aessweb.com/index.php/5002/article/view/2067/7363 (text/html)

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:asi:aeafrj:v:11:y:2021:i:3:p:191-204:id:2067

Access Statistics for this article

More articles in Asian Economic and Financial Review from Asian Economic and Social Society
Bibliographic data for series maintained by Robert Allen ().