Abstract
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.
Highlights
Market Volatility: A GARCHThe coronavirus malady (COVID-19) is a sanitary and economic turning point that has harmed the basis of the human condition (Verma and Gustafsson 2020), it being one of the most acute health emergencies in the recent past (Vera-Valdés 2021)
The impact of COVID-19 on the capital markets did not take long to appear, so it initially manifested itself on the largest stock markets in the world, due to the contagion effect, it was transmitted to the other smaller markets
The studies conducted on the Romanian capital market related to the research of volatility during the pandemic are extremely limited, which led us to focus on analyzing the volatility of the Bucharest Stock Exchange (BSE) indices
Summary
The coronavirus malady (COVID-19) is a sanitary and economic turning point that has harmed the basis of the human condition (Verma and Gustafsson 2020), it being one of the most acute health emergencies in the recent past (Vera-Valdés 2021). The occurrence of the disease hurt the global economies and caused insecurity on worldwide equity markets (Engelhardt et al 2021). The extensive uncertainty of the plague and its related economic failures has triggered markets to turn extremely volatile and unpredictable (Zhang et al 2020). As compared with the 2008 crash which commenced in the United States and progressively diffused to other nations with a substantial time postponement, the coronavirus disease rapidly brought the worldwide economy to a stoppage by instantaneously hampering demand and supply lines around the globe due to extensive lockdowns (Ozkan 2021). As compared with the 2008 crash which commenced in the United States and progressively diffused to other nations with a substantial time postponement, the coronavirus disease rapidly brought the worldwide economy to a stoppage by instantaneously hampering demand and supply lines around the globe due to extensive lockdowns (Ozkan 2021). Anser et al (2021) noticed that
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