Abstract
ABSTRACT This study examines the volatility transmission effects between stock returns and the growth rate of total confirmed COVID-19 cases by using daily data of the hospitality and tourism industry taken from the Stock Exchange of Thailand (SET) index. Augmented Dicky–Fuller (ADF), Phillips–Perron (PP), Kwiatkowski–Phillips–Schmidt–Shin (KPSS), Elliott–Rothenberg–Stock (ERS) and Ng–Perron (NP) unit root tests were used to test, for both series are stationary. The BEKK-GARCH methodology was employed to formulate conditional variance-covariance equations. The results reveal that the pandemic interacts negatively with stock returns from the hospitality and tourism industry. Stock market returns are significantly negatively associated with daily growth in total confirmed COVID-19 cases.
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