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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Financial Services Management
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
