COVID-19 大流行对约旦股市回报波动性的影响:来自 ASE20 的证据

IF 2.1 Q2 ECONOMICS Economies Pub Date : 2024-09-06 DOI:10.3390/economies12090238
Nahil Ismail Saqfalhait, Omar Mohammad Alzoubi
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引用次数: 0

摘要

本研究使用 ARMA-GARCH 型模型研究了 COVID-19 大流行对安曼证券交易所(ASE)收益波动行为的影响,包括三个子时期:COVID-19 前、COVID-19 期间和 COVID-19 后。研究发现,波动持续性在所有时期都很显著,大流行病时期的冲击影响最大。在 COVID-19 前和大流行期间,坏消息对波动性没有统计意义上的显著影响,而在大流行后,好消息对波动性有显著影响。此外,AR 和 MA 成分的自相关性和冲击结构也发生了明显的变化。考虑到这些非对称效应的变化,AR 和 MA 变量表明市场动态、投资者情绪和经济政策会随着大流行病的发生而发生重大变化。
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The Impact of COVID-19 Pandemic on the Jordanian Stock Market Returns Volatility: Evidence from ASE20
This research examines the impact of the COVID-19 pandemic on the volatility behavior of Amman Stock Exchange (ASE) returns using ARMA–GARCH-type models for three sub-periods: pre-COVID-19, during COVID-19, and post-COVID-19. The research finds that volatility persistence is significant across all periods, with the pandemic period showing the highest impact of shocks. Bad news has no statistically significant impact on volatility in the pre-COVID-19 period or during the pandemic, while in the post-pandemic period, good news significantly influences volatility. Additionally, there exist notable changes in the autocorrelation and the shock structure of the AR and MA components. Considering these alterations in the asymmetric effects, the AR and MA components suggest significant shifts in market dynamics, investor sentiments, and economic policies in response to pandemic experiences.
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来源期刊
Economies
Economies Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
4.00
自引率
11.50%
发文量
271
审稿时长
11 weeks
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