{"title":"Stock market response to the COVID-19 lockdown: the case of Dow Jones, CAC 40, DAX and FTSE 100","authors":"Amal Bakour, Fatma Abidi Aloui","doi":"10.1504/ijbem.2023.134076","DOIUrl":null,"url":null,"abstract":"The major objective of this study is to estimate the volatility of four major indices since the appearance of COVID-19 as well as the lockdown effect, by using GARCH, EGARCH and ICSS algorithm. Our sample includes daily data from January 2, 2019 to February 19, 2021 and this for the case of Dow Jones, CAC 40, FTSE 100 and DAX. The results show that shock persistence has a detrimental and permanent effect on the persistence of volatility returns. In addition, lockdown and vaccination have a positive effect on stock returns.","PeriodicalId":52261,"journal":{"name":"International Journal of Business and Emerging Markets","volume":"18 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Business and Emerging Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/ijbem.2023.134076","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 0
Abstract
The major objective of this study is to estimate the volatility of four major indices since the appearance of COVID-19 as well as the lockdown effect, by using GARCH, EGARCH and ICSS algorithm. Our sample includes daily data from January 2, 2019 to February 19, 2021 and this for the case of Dow Jones, CAC 40, FTSE 100 and DAX. The results show that shock persistence has a detrimental and permanent effect on the persistence of volatility returns. In addition, lockdown and vaccination have a positive effect on stock returns.
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