The impact of the covid-19 pandemic on the stock markets of some countries in the MENA region: An assessment with GARCH modeling

Abstract

This study examines the impact of the COVID-19 pandemic on stock market volatility for stock indices of a few MENA countries. The analysis consists of several elements: first, we assess the impact of this infectious disease on the standard deviations of stock market variables; second, we analyze the influence of the number of new daily cases and the number of new daily deaths on the standard deviations of these returns; and third, we assess the impact of the coronavirus on stock market volatility for these market variables using GARCH models. We find that the minimum value for most indices occurred in March 2020. Additionally, the results of the regression analysis reveal that the COVID-19 dummy variable, the number of daily new cases, and the number of new daily deaths have all had a significant negative impact on stock market volatility. Finally, the GARCH model reveals that the coefficients of COVID-19 pandemic in the conditional variance equation had a significant positive impact on the conditional variance for stock indices, further indicating that the COVID-19 outbreak increased market volatility.