Stock market response to the COVID-19 lockdown: the case of Dow Jones, CAC 40, DAX and FTSE 100

Amal Bakour and Fatma Abidi Aloui

International Journal of Business and Emerging Markets, 2023, vol. 15, issue 4, 380-395

Abstract: The major objective of this study is to estimate the volatility of four major indices since the appearance of COVID-19 as well as the lockdown effect, by using GARCH, EGARCH and ICSS algorithm. Our sample includes daily data from January 2, 2019 to February 19, 2021 and this for the case of Dow Jones, CAC 40, FTSE 100 and DAX. The results show that shock persistence has a detrimental and permanent effect on the persistence of volatility returns. In addition, lockdown and vaccination have a positive effect on stock returns.

Keywords: COVID-19; EGARCH model; stock market volatility; lockdown; ICSS algorithm. (search for similar items in EconPapers)
Date: 2023
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