Investigation of financial markets performance due to coronavirus outbreak: EGARCH and bivariate regression approach

Alireza Rokhsari, Neda Doodman and Akbar Esfahanipour

International Journal of Financial Markets and Derivatives, 2022, vol. 8, issue 4, 315-335

Abstract: The emergence of COVID-19 since December 2019 has dramatically affected financial markets and economies across the world. This paper aims to investigate the detrimental effect of COVID-19, which caused the financial crisis worldwide. The returns and volatilities of some major capital markets of different countries have been calculated and examined by the EGARCH method along with some principal commodities such as oil, gold, and bitcoin. We also examine the relationship between different financial securities and the number of cases of COVID-19 in the world using the bivariate regression model. We perform this study at 6-time intervals before and after the pandemic. Our findings demonstrate that some countries have taken the best policies to contain the virus. Several others have taken some measures and initiatives to uphold the businesses and their markets, which will alleviate the negative impact of the outbreak on their economy.

Keywords: financial crisis; financial securities; COVID-19; EGARCH; bivariate regression model. (search for similar items in EconPapers)
Date: 2022
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