Dublin Core
Title
Stock market performance and COVID-19 pandemic: evidence from a developing economy
Creator
Michael Insaidoo, Lilian Arthur, Samuel Amoako, Francis Kwaw Andoh
Description
Purpose
The purpose of this study is to assess the extent to which the Ghana stock market performance has been impacted by the novel COVID-19 pandemic.
Design/methodology/approach
The study used the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model, by using daily time series data from 2 January 2015 to 13 October 2020. Both pre-estimation (Augmented Dickey-Fuller and Phillips-Perron) and post-estimation tests (Jarque-Bera) were conducted to validate the results.
Findings
While the study shows a statistically insignificant negative relationship between the COVID-19 pandemic and the Ghana stock returns, the results confirm that the COVID-19 pandemic has occasioned an increase in the Ghana stock returns volatility by 8.23%. Furthermore, the study confirmed the presence of volatility clustering and asymmetric effect, with the latter implying that worthy news tends …
The purpose of this study is to assess the extent to which the Ghana stock market performance has been impacted by the novel COVID-19 pandemic.
Design/methodology/approach
The study used the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model, by using daily time series data from 2 January 2015 to 13 October 2020. Both pre-estimation (Augmented Dickey-Fuller and Phillips-Perron) and post-estimation tests (Jarque-Bera) were conducted to validate the results.
Findings
While the study shows a statistically insignificant negative relationship between the COVID-19 pandemic and the Ghana stock returns, the results confirm that the COVID-19 pandemic has occasioned an increase in the Ghana stock returns volatility by 8.23%. Furthermore, the study confirmed the presence of volatility clustering and asymmetric effect, with the latter implying that worthy news tends …
Publisher
Emerald Publishing Limited
Date
2021
Source
https://scholar.google.com/citations?view_op=view_citation&hl=en&user=8wFumg4AAAAJ&citation_for_view=8wFumg4AAAAJ:u5HHmVD_uO8C
Language
English