Impact of Covid-19 pandemic on stock market returns volatility of Gulf Cooperation Council countries


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This study examined the asymmetric impact of the COVID-19 pandemic on the Gulf Cooperation Council (GCC) stock market return volatility. The data included daily closing prices of the GCC stock market from the day of the acknowledgment of the first case of COVID-19 in each country to March 6, 2021. In addition, the study employed generalized autoregressive conditional heteroscedasticity (GARCH) family models. According to the Akaike information criterion, GARCH and exponential GARCH (EGARCH) were the most accurate models. The findings of the GARCH model indicate that the COVID-19 pandemic affected the GCC stock markets. The EGARCH model also confirmed the impact of the COVID-19 pandemic on the GCC stock markets, confirming that the COVID-19 negatively affected GCC stock market returns. The value of the persistence of this volatility continued over a long period. This study has potential implications for investors and policymakers in diversifying investment portfolios and adopting strategies to maintain investor confidence during such crises. Moreover, mechanisms must be developed for reducing risks in financial markets in times of crisis, and central banks should take financial measures to mitigate risks to capital markets.

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    • Figure 1. Volatility in GCC stock market return index
    • Figure 2. News impact curves of volatility models
    • Table 1. The stock exchange market indexes and the announcement of the first COVID-19 infection
    • Table 2. Descriptive statistics of stock market return indexes
    • Table 3. ADF unit root test
    • Table 4. Zivot and Andrews (1992) unit root test
    • Table 5. Heteroskedasticity test: ARCH
    • Table 6. GARCH results
    • Table 7. Sign bias test result
    • Table 8. TGARCH and EGARCH results
    • Table 9. News impact and volatility persistence
    • Table 10. Heteroskedasticity test
    • Conceptualization
      Tomader Elhassan
    • Data curation
      Tomader Elhassan
    • Formal Analysis
      Tomader Elhassan
    • Investigation
      Tomader Elhassan
    • Methodology
      Tomader Elhassan
    • Project administration
      Tomader Elhassan
    • Supervision
      Tomader Elhassan
    • Validation
      Tomader Elhassan
    • Visualization
      Tomader Elhassan
    • Writing – original draft
      Tomader Elhassan
    • Writing – review & editing
      Tomader Elhassan