Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model.

使用指数 GARCH 模型确定在 COVID - 19 大流行之前和期间加纳证券交易所的收益波动率。

• 发表时间: 2023
• 来源期刊: SN Bus Econ
• DOI: 10.1007/s43546-022-00401-4
• PMID: 36590699
• 文章类型: Journal Article
• 作者列表: Prempeh KB,Frimpong JM,Amaning N

关键词: COVID-19; GSE; Shocks; Stock market returns; Volatility

Abstract

In this paper, we utilise daily stock returns for the Ghanaian equity market (GSE) to examine the influence of the COVID-19 pandemic on market volatility. We take return volatility from 2nd January, 2018, to 31st December, 2021, and split it into two periods-the pre-COVID-19 period and the COVID-19 period. Utilising the exponential GARCH (EGARCH) model, we discovered leverage effects in all observed periods. Additionally, the research indicates that the COVID-19 period experienced high volatility with a transient volatility persistence. Furthermore, during the COVID-19 pandemic, positive shocks had a more significant impact on the volatility of the GSE\'s returns than negative news of comparable magnitude.

摘要

在本文中,我们利用加纳股票市场(GSE)的每日股票回报来检验新冠肺炎大流行对市场波动的影响。我们从1月2日开始考虑回报波动，2018年12月31日，2021年，并将其分为两个时期-前COVID-19时期和COVID-19时期。利用指数GARCH(EGARCH)模型，我们在所有观察到的时期都发现了杠杆效应。此外,研究表明，COVID-19期间经历了高波动，具有短暂的波动持续性。此外，在COVID-19大流行期间，积极冲击对GSE收益波动的影响比同等幅度的负面消息更显著。