Volatility clustering and persistence during COVID-19: evidence of asymmetric volatility in the Asia-Pacific stock markets

Dharen Pandey and Vineeta Kumari

International Journal of Financial Services Management, 2022, vol. 11, issue 3, 232-244

Abstract: We analyse 17 stock market indices in the Asia-Pacific region to examine the impacts of the COVID-19 on the Asia-Pacific stock markets by interpreting the generalised autoregressive conditional heteroskedasticity (GARCH) coefficients. While evidencing the absence of ARCH and GARCH effects during the pre-COVID period, we also evidence volatility clustering and persistence during the COVID period. It is evidenced that negative impacts result in higher volatility than positive impacts. The presence of time-varying volatility in the Asia-Pacific region has not been previously studied. The available literature has focused either on a single market or on the developed markets. Hence, the findings of this study are expected to contribute significantly to the finance literature.

Keywords: volatility; COVID-19; GARCH; EGARCH; stock market; Asia-Pacific; asymmetry. (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=126863 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijfsmg:v:11:y:2022:i:3:p:232-244

Access Statistics for this article

More articles in International Journal of Financial Services Management from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().