Impact of COVID-19 on the Nigerian Stock Exchange Market

Babangida Danladi Safiyanu, Musa Isa and Isah Isah Lawan

MPRA Paper from University Library of Munich, Germany

Abstract: Volatility in financial markets particularly the stock exchange market is an important issue that concerns theorists and practitioners. This paper examined the impact of COVID-19 related cases and death on the Nigerian stock exchange market. Using the number of reported cases and death in Nigeria, China, and the US, and Nigerian stock exchange all share index daily data from 31st December 2019 to 16th April 2020, the study estimated GARCH 11, TGARCH 11, and EGARCH 11. The selection of best model was done based on Akaike Info, Schwarz and Hannan-quinn information Criteria; we found GARCH 11, TGARCH 11, and EGARCH 11 to be the best models. The study shows that only Nigerian confirmed cases have a significant impact on the Nigerian Stock Exchange's All Share Index (NSE's ASI), suggesting that the changes in the external cases and death from China and U.S do not have a significant impact on the NSE's ASI 2 during the period of analysis. Also, TGARCH 11 and E-GARCH 11 indicate the absence of leverage effect.

Keywords: COVID-19; EGARCH 11; TGARCH 11; Nigerian Stock Exchange; All share Index (search for similar items in EconPapers)
JEL-codes: G00 (search for similar items in EconPapers)
Date: 2020-09
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