Stock market performance and COVID-19 pandemic: evidence from a developing economy
نویسندگان
چکیده
Purpose The purpose of this study is to assess the extent which Ghana stock market performance has been impacted by novel COVID-19 pandemic. Design/methodology/approach used exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model, using daily time series data from 2 January 2015 13 October 2020. Both pre-estimation (Augmented Dickey-Fuller and Phillips-Perron) post-estimation tests (Jarque-Bera) were conducted validate results. Findings While shows a statistically insignificant negative relationship between pandemic returns, results confirm that occasioned an increase in returns volatility 8.23%. Furthermore, confirmed presence clustering asymmetric effect, with latter implying worthy news tends affect more than unwelcome equal size. Practical implications To dampen uncertainties trigger volatility, government should surgically target worse affected businesses households check drop profits demand. Rigidities associated operations must be addressed make it attractive investors even midst Originality/value This paper pioneer attempt at assessing developing economy EGARCH model.
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ژورنال
عنوان ژورنال: Journal of Chinese Economic and Foreign Trade Studies
سال: 2021
ISSN: ['1754-4408', '1754-4416']
DOI: https://doi.org/10.1108/jcefts-08-2020-0055