Covid-19大流行对科威特证券交易所回报率波动的影响

Q4 Business, Management and Accounting International Journal of Management and Business Research Pub Date : 2021-12-30 DOI:10.37391/ijbmr.090411
Mesfer Mahdi Al Mesfer Al Ajmi
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引用次数: 0

摘要

本研究的主要目的是利用EGARCH和TGARCH模型对科威特证券交易所All Share、Premier和main指数的日数据,检测COVID-19对科威特证券交易所主要指数收益波动的影响。与2019年1月2日至2020年2月23日期间的正收益和低标准差相比,2019年2月24日至2020年8月31日期间,三个指数的平均收益为负,标准差波动值高。两个时期市场指数的收益率均表现为负偏度,峰度大,分布异常。All Share和Premier指标在新冠疫情期间EGARCH均为显著负值,说明杠杆效应显著。主要指数反映了积极的显著值,这是由于为防治这一流行病而实施的政府程序产生了积极影响。TGARCH模型显示,在新冠肺炎疫情期间,所有股票指数和主要指数均为显著负值,当新冠肺炎疫情的正面消息公布时,波动性下降。使用阈值广义自回归条件异方差(TGARCH), Premier指数值为正且显著,表明不对称效应表明,当新冠肺炎负面新闻播出时,波动性增加。这对市场参与者和政策制定者来说是一个重要的推论,特别是当不对称的程度存在差异时。
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The Impact of the Covid-19 Pandemic on Boursa Kuwait Return Volatility
The main objective of this research is to detect the impact of COVID-19 on return volatility of Boursa Kuwait main indexes using EGARCH and TGARCH models on the daily data from the All Share, Premier and Main indexes. The mean return during COVID-19 from February 24 to August 31, 2020, for the three indexes was negative with a high volatility value in the standard deviation compared to a positive return and low standard deviation for the period January 2, 2019, to February 23, 2020. Both periods’ returns for the market indexes exhibited negative skewness, large kurtosis values and abnormal distributions. There were significant EGARCH negative values during the COVID-19 period in the All Share and Premier indexes indicating leverage effects. The Main index reflected positive significant values due to the positive effects of government procedures that were implemented to counter the pandemic. The TGARCH model indicated significant negative values for the All Share and Main indexes during COVID-19 with decreased volatility when positive news on COVID-19 was announced. Using the threshold generalized autoregressive conditional heteroscedasticity (TGARCH) the Premier index value is positive and significant indicating an asymmetric effect showing that volatility increased when negative news on COVID-19 was broadcast. This is an important inference for market participants and policy makers particularly when there is a difference in the magnitude of an asymmetry.
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来源期刊
International Journal of Management and Business Research
International Journal of Management and Business Research Business, Management and Accounting-Business and International Management
CiteScore
0.70
自引率
0.00%
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0
期刊介绍: International Journal of Management and Business Research (IJMBR) is a scholarly, referred, peer reviewed publication of Graduate School of Management and Economics, Science and Research Branch, IAU in Iran.
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