Abstract
This study examined the asymmetric impact of the COVID-19 pandemic on the Gulf Cooperation Council (GCC) stock market return volatility. The data included daily closing prices of the GCC stock market from the day of the acknowledgment of the first case of COVID-19 in each country to March 6, 2021. In addition, the study employed generalized autoregressive conditional heteroscedasticity (GARCH) family models. According to the Akaike information criterion, GARCH and exponential GARCH (EGARCH) were the most accurate models. The findings of the GARCH model indicate that the COVID-19 pandemic affected the GCC stock markets. The EGARCH model also confirmed the impact of the COVID-19 pandemic on the GCC stock markets, confirming that the COVID-19 negatively affected GCC stock market returns. The value of the persistence of this volatility continued over a long period. This study has potential implications for investors and policymakers in diversifying investment portfolios and adopting strategies to maintain investor confidence during such crises. Moreover, mechanisms must be developed for reducing risks in financial markets in times of crisis, and central banks should take financial measures to mitigate risks to capital markets. AcknowledgmentsThis achievement was made with the aid of my family’s support, thank you all.
Highlights
The COVID-19 pandemic began in December 2019, and by the end of February 2020, countries started to impose border closures, lockdown and quarantine practices, and compulsory social distancing
The exponential GARCH (EGARCH) model confirmed the impact of the COVID-19 pandemic on the Gulf Cooperation Council (GCC) stock markets, confirming that the COVID-19 negatively affected GCC stock market returns
This study explored the impact of the COVID-19 pandemic on stock market returns in GCC The ARCH model was considered the most suitable countries by examining the daily closing price model for studying the stock markets’ revenue volof all GCC stock markets
Summary
The COVID-19 pandemic began in December 2019, and by the end of February 2020, countries started to impose border closures, lockdown and quarantine practices, and compulsory social distancing. Choi and Jung (2021) employed methods, demonstrating that both nets traded valthe daily data of the Korean stock returns from ues and ownership of holding values had a negative January 28, 2020, to January 13, 2021, using the impact on trading operation development in the GARCH [1, 1] to estimate the model Two studies have examined the impact of the pan- Previous studies have asserted that the ARCH and demic on the GCC stock markets from different GARCH models are the most appropriate for estiperspectives and approaches but neglected to con- mating stock market returns
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