The Impact of COVID-19 on the Volatility of Bangladeshi Stock Market: Evidence from GJR-GARCH Model

• 발행기관: 한국유통과학회
• 저자명: Uttam GOLDER Nishat RUMALY A. H. M. SHAHRIAR Mohammad Jahangir ALAM Al Amin BISWAS Mohammad Nazrul ISLAM
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』The Journal of Asian Finance, Economics, and Business Vol. 9 No.4, 29~38쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.04.30

영문 초록

The enormous sway of COVID-19 on the international financial market has been felt across the globe. The financial markets of Bangladesh have also been similarly affected by the global epidemic and experienced a significant increase in volatility. To scrutinise the connection between COVID-19 and the Dhaka Stock Exchange (DSE) indices’ return and instability, this study uses data of the DSE from February 2014 to September 2021. A comparative examination of the return and instability of the stock indices of the DSE has also been done considering the outbreak of the current COVID-19 situation. After using the GJR-GARCH (1,1) model, this review uncovers that the outbreak of COVID-19 has a statistically positive noteworthy association with the DSE stock indices’ instability, which increases the market’s volatility. Traders’ fear and the rising frequency of COVID-19 reported patients could cause this. Besides, according to this study, COVID-19 shows a substantial positive linkage with stock market returns that increases the market’s return. An appealing valuation, lower interest rates in the banking channel, economic rebound following the closure to prevent coronavirus transmission, improved remittance inflows, and a return of export revenues could all have contributed to this outcome. In addition, the findings also reveal that all market indices are in a mean-reverting phase.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Results and Findings

5. Conclusion

References

키워드

COVID-19 Dhaka Stock Exchange (DSE) Volatility GJR-GARCH Bangladesh