Covid-19 pandemic and stock returns volatility: Evidence from Vietnam’s stock marke

Nguyen Thi My Linh ()
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Nguyen Thi My Linh: University of Finance

HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, 2023, vol. 13, issue 1, 156-168

Abstract: The Covid-19 global pandemic has caused trouble for labour and financial markets worldwide, and financial and health crises resulted. This makes policy makers get confused. The study is carried out with the aim of investigating the impacts of Covid-19 on both the mean and the conditional volatility of the Vietnamese stock market returns, using a simple the Generalized Autoregressive Conditionally Heteroskedastic (GARCH) model, spanning the period 01 January 2020 to 30 July 2021. The confirmed case and deaths growth rate are used as two proxies for the Covid-19 pandemic. The empirical evidence reveals that higher confirmed cases growth rate lead to a decrease in stock returns. It is also noted that stock returns volatility is affected positively and significantly by confirmed cases growth rate. This empirical evidence may prove informative for policy makers and investors.

Keywords: Covid-19; Garch; stock returns (search for similar items in EconPapers)
JEL-codes: G11 G14 G18 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:bjw:econen:v:13:y:2023:i:1:p:156-168

DOI: 10.46223/HCMCOUJS.econ.en.13.1.2054.2023

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