Stock Market Volatility

2022 ◽  
pp. 204-230
Author(s):  
Ezaz Ahmed ◽  
Md. Mahadi Hasan ◽  
Zakir Hossen Shaikh ◽  
Mohammad Irfan
Keyword(s):  
Warning Signal ◽  
Coefficient Matrix ◽  
Market Volatility ◽  
Strong Positive Correlation ◽  
Stock Market Volatility ◽  
Considerable Influence ◽  
Stock Volatility ◽  
Preventative Measures ◽  
The Government ◽  
Financial Portfolios

Researchers examine stock volatility in emerging (E7) nations prior to and during COVID-19 announcements using multiple volatility estimations. The correlation coefficient matrix indicates that there is a strong positive correlation between the specified volatility estimators in the pre-COVID-19 and post-COVID-19 periods. Rogers-Satchell standard deviation has the first rank, and Garman-Klass has the last position in the pre-post-COVID-19 analysis volatility estimators. However, the authors discover a considerable influence of pre-post COVID-19 on the world's E7 countries. The findings' primary implication is that post-COVID-19 volatility is greater than pre-COVID-19 volatility. This means that investors' financial portfolios should be rebalanced to favor industries that are less impacted by COVID-19. Additionally, it serves as an early warning signal for investors and the government to take preventative measures in the event that it occurs again in the future.

scholarly journals Capital Market Response to COVID-19 Pandemic – A Systematic Review on Stock Volatility and Performance

2021 ◽  
pp. 27-49
Author(s):  
Janga Bahadur Hamal ◽  
Rishi Raj Gautam
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Volatility ◽  
Government Response ◽  
Stock Market Performance ◽  
Policy Measures ◽  
And Performance ◽  
The Impact

This paper aims to identify the impact of the COVID-19 pandemic on stock market volatility and market return as well as the impact of government response to the COVID-19 pandemic on stock market performance. To analyze the same, the paper has adopted Systematic Literature Review (SLR) approach and conducted a review of 40 journal articles published between between2020 to mid-2021. The paper identified that the short-term impact of the COVID-19 outbreak and government policy measures had a significant and adverse impact on stock market volatility, return and overall performance. In the longer term, the stock markets slowly started to stabilize and revive. This effect on the stock market was also attributed to investor sentiment and thus, in the later stages, targeted government response had a positive effect on boosting investor confidence towards the market.

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

2007 ◽  
Vol 10 (01) ◽  
pp. 51-61 ◽  
Author(s):  
Aktham I. Maghyereh ◽  
Haitham A. Al Zoubi ◽  
Haitham Nobanee
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Extreme Value ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Price Limits ◽  
Stock Volatility ◽  
Price Limit ◽  
Taiwan Stock Exchange

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

scholarly journals Effects of Daylight Savings Time Changes on Stock Market Volatility

2010 ◽  
Vol 106 (2) ◽  
pp. 632-640 ◽  
Author(s):  
M. Hakan Berument ◽  
Nukhet Dogan ◽  
Bahar Onar
Keyword(s):  
United States ◽  
Stock Market ◽  
Stock Returns ◽  
Conditional Variance ◽  
Time Effect ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Volatility ◽  
Time Effects ◽  
Time Changes

The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Faheem Aslam ◽  
Hyoung-Goo Kang ◽  
Khurrum Shahzad Mughal ◽  
Tahir Mumtaz Awan ◽  
Yasir Tariq Mohmand
Keyword(s):  
Stock Market ◽  
Significant Risk ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Physical Damage ◽  
Stock Market Returns ◽  
Switching Model ◽  
The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

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