Impact of COVID-19 on the Saudi stock market: analysis of return, volatility and trading volume
نویسندگان
چکیده
The aim of this study is to investigate the effect coronavirus health crisis (COVID-19) on performance Saudi stock market, Tadawul. Prices Tadawul All-Shares Index (TASI) and all sector indices are collected from December 2019 end July 2020. Analysis pandemic return volatility carried out using GARCH (1, 1) model. results show that has a positive impact mean returns except for REITS sector, but mostly insignificant. shows TASI itself experienced lower during period insignificant, while 21 sectors only 9 significant impacts volatility. Out sectors, 5 significantly increased volatility, 4 trading volume stronger investor sentiment influencing higher only. This provides further understanding how various market participants around world react COVID-19 need portfolio diversification reduce risk periods.
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ژورنال
عنوان ژورنال: Journal of Asset Management
سال: 2022
ISSN: ['1479-179X', '1470-8272']
DOI: https://doi.org/10.1057/s41260-022-00269-x