ArticleSN business & economics2023
Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model.
Article in SN business & economics, 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Not yet cited in PubMed.
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3 authors at 2 institutions in 1 country.
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Abstract
In this paper, we utilise daily stock returns for the Ghanaian equity market (GSE) to examine the influence of the COVID-19 pandemic on market volatility. We take return volatility from 2nd January, 2018, to 31st December, 2021, and split it into two periods-the pre-COVID-19 period and the COVID-19 period. Utilising the exponential GARCH (EGARCH) model, we discovered leverage effects in all observed periods. Additionally, the research indicates that the COVID-19 period experienced high volatility with a transient volatility persistence. Furthermore, during the COVID-19 pandemic, positive shocks had a more significant impact on the volatility of the GSE's returns than negative news of comparable magnitude.
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