Stand Still and Do Nothing: COVID-19 and Stock Returns and Volatility

Authors

  • Muhammad Akbar Senior Lecturer, Birmingham City Business School, Birmingham City University, UK
  • Aima Tahir University of Reading, United Kingdom
  • Syeda Faiza Urooj Syeda Faiza Urooj Assistant Professor, Commerce Department, Federal Urdu University, Islamabad, Pakistan.

DOI:

https://doi.org/10.51239/nrjss.v13i4.234

Keywords:

COVID-19, Stock Returns and Volatility, DCC, Multivariate GARCH

Abstract

We examine the intraday returns and volatility in the US equity market amid the COVID-19 pandemic crisis. Our empirical results suggest an increase in volatility over time with mostly negative returns and higher volatility in the last trading session of the day. Our Univariate analysis reveals structural break(s) since the first trading halt in March 2020 and that failure to account for this may lead to biased and unstable conditional estimates. Allowing for time-varying conditional variance and conditional correlation, our dynamic conditional correlation tests suggest that COVID-19 cases and deaths are jointly related to stock returns and realised volatility.

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Published

2020-12-30

Issue

Vol. 13 No. 4 (2020): October-December

Section

Articles

License

Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution (CC-BY) 4.0 License that allows others to share the work with an acknowledgment of the work’s authorship and initial publication in this journal.

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