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- W4309750210 abstract "Abstract This research work assesses the volatility and leverage effect of the selected stock markets before and during the outburst of the Covid-19 of the selected international stock markets. This study is based on daily time-series data obtained from yahoo.finance database. The period of the study has been considered from 1 September 2019 to 31 December 2019, before the period of Covid-19, and from 1 January 2020 to 30 April 2020, during the period of Covid-19. In the course of analysis, descriptive statistics, the GARCH model, the EGARCH model, and the TGARCH model have been used. The GARCH test results show that volatility existed before and during the period of Covid-19. Both E-GARCH and T-GARCH test results show that the leverage effect existed before and during the period of Covid-19. So, the impact of the Covid-19 pandemic in terms of bad news has a bigger influence on international stock markets." @default.
- W4309750210 created "2022-11-29" @default.
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- W4309750210 date "2022-11-21" @default.
- W4309750210 modified "2023-10-17" @default.
- W4309750210 title "An assessment of volatility and leverage effect before and during the period of Covid-19: a study of selected international stock markets" @default.
- W4309750210 doi "https://doi.org/10.21203/rs.3.rs-2291808/v1" @default.
- W4309750210 hasPublicationYear "2022" @default.
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