Abstract
The objective of this research is to analyze the influence of COVID-19 on the return and volatility of stock market indices of emerging and developed countries (Brazil, Canada, United States, France, India, and Mexico) using an asymmetric exponential GARCH model. The daily returns of the market indices from January 2019 to December 2020 were considered. The results reveal negative average daily returns for all stock market indices during the first period of the COVID-19 pandemic (January 2020 to June 2020). Although the second half of the pandemic period (2020) reflects a recovery of all indices with altered strengths, volatility remains higher than in normal periods, signaling a bearish trend in the market. The variable COVID-19 has been shown to have a positive impact on the volatility of stock returns for all indices, i.e., indicating increased volatility in the analyzed stock markets. In addition, it is also found that the COVID variable has a negative impact on average returns only in the stock market of Brazil and France.
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