Impact of COVID-19 and government interventions on Bursa Malaysia sectors

Yee Peng Chow and Young Han Tan

Journal of Chinese Economic and Foreign Trade Studies, 2022, vol. 16, issue 2, 99-118

Abstract: Purpose - The purpose of this paper is to examine the influence of the daily growth in confirmed COVID-19 cases in Malaysia and government interventions on the daily returns of financial times stock exchange Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) and eight selected Bursa Malaysia sectorial indices for the period January 29, 2020 to March 31, 2021. Design/methodology/approach - This paper adopts the multivariate generalized autoregressive conditional heteroscedasticity model to determine the effects for the entire study period and four sub-periods, i.e. pre-government intervention, movement control order (MCO), conditional MCO (CMCO) and recovery MCO phases. Findings - This paper finds no evidence of the effect of the daily growth in confirmed COVID-19 cases on the returns of FBMKLCI and eight Bursa Malaysia sectorial indices for the full study period. However, the former has exerted different effects over the four sub-periods. Sectors that are positively affected for the MCO period are financial services and real estate investment trust. Yet, these sectors are negatively affected for the CMCO period along with the industrial products and services and technology sectors. Sectors that consistently demonstrate statistically insignificant results are construction, energy, plantation and utilities. Originality/value - This study makes an initial attempt to investigate the influence of the COVID-19 pandemic on the returns of Bursa Malaysia sectorial indices over different phases of government interventions in Malaysia.

Keywords: Bursa Malaysia; COVID-19; Government interventions; Sectorial indices; Stock market performance; Volatility (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jcefts:jcefts-06-2022-0039

DOI: 10.1108/JCEFTS-06-2022-0039

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