The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore

In this study, the volatility of two Asian stock markets, Bursa Malaysia and Singapore Exchange, is estimated. The analysis used data on daily closing prices indices respective markets between July 1, 2019 August 31, 2020. sample split into subsample periods: Pre-COVID-19 pandemic during COVID-19 pandemic. We estimated a standard GARCH, GARCH-M, TGARCH, EGARCH PGARCH model for each subsample. chose best GARCH that yielded lowest Schwarz information criterion normal, skewed Student’s t-distribution, generalized error distribution (GED) GED. results show both market returns are quite persistent, persistence decreases Furthermore, normal performed well Malaysian Singaporean before switched to t (skewed normal) GARCH(1,1), GARCH-M(1,1), EGARCH(1,1) returns, indicates presence leverage effect when negatively correlated its volatility.