The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

• Main Authors: Ning Zhang, Aiqun Wang, Naveed-Ul- Haq, Safia Nosheen
• Format: Article
• Language: English
• Published: Taylor & Francis Group 2021-06-01
• Series: Ekonomska Istraživanja
• Subjects: covid-19; stock market volatility; china; most advanced countries; tgarch
• Online Access: http://dx.doi.org/10.1080/1331677X.2021.1936112

This study examines the volatility of China and the most advanced countries of the world stock markets due to the pandemic of COVID-19 using the TGARCH model. This research study presents empirical support for the TGARCH specification for explaining the daily time dependence in the rate of information arrival to the market for stocks traded on China stock market. Using the sample containing closing stock market returns from 05 January 2015 to 04 April 2020 of sample countries, we found that through the COVID-19, there is no significant impact of returns volatility coming from advanced countries towards the China stock market. Further, results state that China has a significant impact on explaining the volatility of the most advanced countries of the world (Switzerland, Sweden, Netherlands, and the UK) except the U.S.A. during COVID-19. We found no significant impact of China stock market returns on the U.S.A.'s volatility, but there is a presence of leverage effect during COVID −19.