COVID-19 Pandemic and Stock Markets: The Case of Select Asian Economies (original) (raw)

Sustainable Strategies for Economic Growth and Decent Work: New Normal

Introduction: The present study attempts to capture the dynamic connection between the outbreak of the COVID-19 pandemic and stock indices of select Asian emerging economies like China, India, South Korea, Indonesia, Hong Kong, and Thailand, along with the volatility in the select stock markets occurring out of the COVID-19 pandemic. Methodology: The study period begins on January 1, 2019 and continues up to April 6, 2022. The Bai-Perron test for the identification of structural breaks and the Wald test for the determination of short-run causality are used. Granger causality test measures the existence of uni-directional or bi-directional causality. To capture the volatility, Dummy-GARCH (1,1) along with EGARCH are used. Results: The results reveal the existence of causality over the short-run among the indices and COVID-19, as well as the existence of ARCH and GARCH effects in most of the stock indices, which may have occurred due to the external shock of the pandemic. Conclusion: ...