
Dynamic Financial Accounting Lead Analyst at EY with expertise in regulatory compliance and risk management. Proven track record in enhancing reporting accuracy through data analytics and designing effective controls. Adept at collaborating with cross-functional teams, leveraging strong analytical skills to deliver impactful financial insights and drive strategic decision-making.
The impact of the COVID-19 pandemic on stock market volatility: evidence from a selection of developed and emerging stock markets
This study analyses the effects of the COVID-19 pandemic on stock market volatility across selected developed and emerging markets, specifically focusing on China, India, Pakistan, the UK, and the US. Using daily stock price data from 2016 to 2021, the research employs GARCH and Threshold GARCH models, incorporating a COVID-19 dummy variable to capture the pandemic's impact on volatility. The findings reveal that volatility was persistent and significantly increased during the pandemic period. Furthermore, asymmetric effects were observed, with negative news related to the pandemic having a stronger influence on volatility than positive news across all markets. Additionally, the study finds no significant impact of the US market on Chinese market volatility during this time. These results are important for international investors aiming to manage portfolios and mitigate risks during crises like COVID-19, as well as for policymakers preparing for future pandemics.