Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model

In this paper, we utilise daily stock returns for the Ghanaian equity market (GSE) to examine the influence of the COVID-19 pandemic on market volatility. We take return volatility from 2nd January, 2018, to 31st December, 2021, and split it into two periods—the pre-COVID-19 period and the COVID-19...

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Autores principales: Prempeh, Kwadwo Boateng, Frimpong, Joseph Magnus, Amaning, Newman
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2022
Materias:
Original Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9786530/
https://www.ncbi.nlm.nih.gov/pubmed/36590699
http://dx.doi.org/10.1007/s43546-022-00401-4
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author Prempeh, Kwadwo Boateng
Frimpong, Joseph Magnus
Amaning, Newman
author_facet Prempeh, Kwadwo Boateng
Frimpong, Joseph Magnus
Amaning, Newman
author_sort Prempeh, Kwadwo Boateng
collection PubMed
description In this paper, we utilise daily stock returns for the Ghanaian equity market (GSE) to examine the influence of the COVID-19 pandemic on market volatility. We take return volatility from 2nd January, 2018, to 31st December, 2021, and split it into two periods—the pre-COVID-19 period and the COVID-19 period. Utilising the exponential GARCH (EGARCH) model, we discovered leverage effects in all observed periods. Additionally, the research indicates that the COVID-19 period experienced high volatility with a transient volatility persistence. Furthermore, during the COVID-19 pandemic, positive shocks had a more significant impact on the volatility of the GSE’s returns than negative news of comparable magnitude.
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spelling pubmed-97865302022-12-27 Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model Prempeh, Kwadwo Boateng Frimpong, Joseph Magnus Amaning, Newman SN Bus Econ Original Article In this paper, we utilise daily stock returns for the Ghanaian equity market (GSE) to examine the influence of the COVID-19 pandemic on market volatility. We take return volatility from 2nd January, 2018, to 31st December, 2021, and split it into two periods—the pre-COVID-19 period and the COVID-19 period. Utilising the exponential GARCH (EGARCH) model, we discovered leverage effects in all observed periods. Additionally, the research indicates that the COVID-19 period experienced high volatility with a transient volatility persistence. Furthermore, during the COVID-19 pandemic, positive shocks had a more significant impact on the volatility of the GSE’s returns than negative news of comparable magnitude. Springer International Publishing 2022-12-23 2023 /pmc/articles/PMC9786530/ /pubmed/36590699 http://dx.doi.org/10.1007/s43546-022-00401-4 Text en © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2022, Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Original Article
Prempeh, Kwadwo Boateng
Frimpong, Joseph Magnus
Amaning, Newman
Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model
title Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model
title_full Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model
title_fullStr Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model
title_full_unstemmed Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model
title_short Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model
title_sort determining the return volatility of the ghana stock exchange before and during the covid-19 pandemic using the exponential garch model
topic Original Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9786530/
https://www.ncbi.nlm.nih.gov/pubmed/36590699
http://dx.doi.org/10.1007/s43546-022-00401-4
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