Covid-19 health policy intervention and volatility of Asian capital markets

Hunjra, Ahmed Imran; Kijkasiwat, Ploypailin; Arunachalam, Murugesh; Hammami, Helmi

doi:10.1016/j.techfore.2021.120840

Cited by 27 publications

(29 citation statements)

References 41 publications

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“…However, although the COVID-19 pandemic undesirably affected worldwide economies and stock exchanges, Fernandez-Perez et al (2021) proved that culture significantly influences market volatility since nations with reduced individualism and great uncertainty avoidance respond more adversely and with larger instability than nations with high individualism and weak uncertainty avoidance. Thus, Hunjra et al (2021) supported that East Asian markets reacted differently to manifold sanitation arrangements and virus security strategies. Additionally, Bannigidadmath et al (2021) explored 25 nations and showed that their reaction to government measures was dissimilar, claiming that in states where the guidelines counted, the impact was mainly harmful.…”

Section: Introductionmentioning

confidence: 93%

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

Gherghina

Armeanu

Joldeș

2021

JRFM

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This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

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Section: Introductionmentioning

confidence: 93%

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

Gherghina

Armeanu

Joldeș

2021

JRFM

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“…According to Hunjra et al (2021), the COVID-19 pandemic disrupted the global economy and capital markets. Indeed, COVID-19 could cause damage similar to the 1929 catastrophe in the form of stagpression, in which recessions overlapped depressions, resulting in structural economic collapse (Estrada et al , 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Also, the persistent decline in stock returns during the pandemic implies greater volatility (Yong et al , 2021). Several studies have attempted to identify the source of this volatility, namely, news about the health crisis and COVID-19 spreading (Alzyadat et al , 2021; Mishra and Mishra, 2021), distribution activities that facilitate mobility and economic shocks (Egger and Zhu, 2021) and the implementation of movement restriction policy that caused panic at the start of the pandemic (Chowdhury et al , 2021; Hunjra et al , 2021). Lin and Falk (2021) demonstrated that volatility increases idiosyncratic risk, posing a difficulty for investors in making investment portfolios.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Articles in this theme cluster discussed the regulations enacted by the government in response to the pandemic and how these policies affected investors and the market as a whole. Most countries throughout the world have opted to lockdown, close businesses and schools, enforce social distancing and urge people to stay at home (Hunjra et al , 2021; Kaczmarek et al , 2021; Phuong, 2021; Zaremba et al , 2021) because the COVID-19 outbreak is infectious and spreads rapidly among humans. While it is agreed that government intervention is necessary to mitigate the negative impact of COVID-19 uncertainty, researchers have documented varying results regarding the effect of these government policies on the stock market, depending on the country, industry and even the type of policy.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Confirmed cases and deaths continued to increase throughout the first year of the COVID-19 pandemic, with the highest number of increases for cases occurring on 20 January, 2021, and deaths on 3 February, 2021. The countries' governments enacted several policies to limit the severe impacts of COVID-19, including lockdowns, movement restrictions, learning from home, working from home for non-essential businesses or services, the cancelation of events, banning crowds and fiscal stimulus (Abu et al , 2021; Hunjra et al , 2021). However, because COVID-19 is a novel coronavirus whose strain has never been identified in humans before, many countries were unsure how to handle it.…”

Section: Introductionmentioning

confidence: 99%

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What happens to the stock market during the COVID-19 pandemic? A systematic literature review

Anggraini

Utami

Wulandari

2022

PAR

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Purpose This study aims to evaluate papers that discuss the stock market during the COVID-19 pandemic to discover lessons that may be beneficial for coping with similar situations in the future. Design/methodology/approach This study used the review procedures following Hoque (2014) with modifications, including co-words analysis to map themes. The articles to be reviewed were identified by entering the search keywords “capital market” AND “Covid” and “stock market” AND “Covid” in the Scopus database. After applying a set of criteria, 89 articles were used in the subsequent analysis. The country setting and study findings are recognized, and the lessons learned are further determined. Findings As COVID-19 has been designated a global pandemic by the WHO, and its impact is seen in many countries, the setting adopted by many researchers includes two or more countries (i.e., “International”). Six clusters of themes are identified, namely, market responses, spillover/contagion, investor sentiment, investor herding, policy and asset intensity. In this way, the lessons gained cover several stock market elements, including the market, industry, investors, government and companies. Originality/value Given the importance of understanding the COVID-19 pandemic and the relevance of the stock market in indicating its severity, to the best of the authors’ knowledge, there has been no literature review research on the stock market during COVID-19. Furthermore, this study also defines what lessons can be drawn.

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Modeling the impact of the COVID‐19 outbreak on environment, health sector and energy market

Armeanu

Gherghina

Vasile

et al. 2022

Sustainable Development

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The global outbreak of COVID‐19 disease had a significant impact on the entire globe. Such a notable public health event can be seen as a “black swan” that brings unpredictable and unusual forces into the economic context and that it could typically lead to a chain of adverse reactions and market disruptions. Hence, the purpose of this study is to examine how COVID‐19 affects the environment, health, and the oil and energy markets. To achieve this objective, we used daily data for several measures that refer to the environment, health, and oil and energy, for the first wave of the COVID‐19 pandemic (December 31, 2019–May 22, 2020). The variable integration mix led to the approach of the ARDL model, and the Granger causality test was also employed. These empirical techniques allowed us to examine the cointegration between variables and causal relationships. The econometric results of the ARDL models exhibited that the global new cases and new deaths of COVID‐19 have short and long‐term effects on the environment, the health sector, the oil, and energy measures. However, no significant causal connection was found between the pandemic and the environment, the health sector, or the oil and energy industry, according to the Granger causality test. The uniqueness of current approach consists in the investigation of pandemic impact on the health, environment, oil, and energy sector by applying the ARDL model that permits the analysis of cointegration both in the long run and in the short term. This study provides important insights for investors and policy makers.

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Covid-19 health policy intervention and volatility of Asian capital markets

Cited by 27 publications

References 41 publications

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

What happens to the stock market during the COVID-19 pandemic? A systematic literature review

Modeling the impact of the COVID‐19 outbreak on environment, health sector and energy market

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