Stock Market Volatility: A Pre-Post Covid19 Analysis of Emerging Markets

Abstract

Using several volatility estimations, researchers investigate the stock volatility on pre and post COVID19 announcements among emerging (E7) countries. The correlation coefficient matrix finding shows that low, moderate, and negative correlation in pre-COVID19 and post-COVID19 has a highly positive correlation found between the selected volatility estimators. RogersSatchell, Standard deviation has the first rank, and Garman-Klass has the last position in the pre-post covid19 analysis volatility estimators. However, the authors find that the significant effect of pre-post covid19 on E7 countries in the world. The findings key implication is the volatility of post-covid-19 gets higher than that of pre-COVID19. It suggests that investors need to adjust their financial portfolio to focus on which sectors are less influenced by COVID19. Moreover, it gives an early warning signal for investors and the government to take precautionary action for possible it even occurs in the future.