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http://dx.doi.org/10.13106/jafeb.2021.vol8.no7.0001

The Impact of COVID-19 on the Malaysian Stock Market: Evidence from an Autoregressive Distributed Lag Bound Testing Approach  

GAMAL, Awadh Ahmed Mohammed (Faculty of Management and Economics, Sultan Idris Education University (UPSI))
AL-QADASI, Adel Ali (College of Science and Humanities in Al-Dawadmi, Shaqra University)
NOOR, Mohd Asri Mohd (Faculty of Management and Economics, Sultan Idris Education University (UPSI))
RAMBELI, Norimah (Faculty of Management and Economics, Sultan Idris Education University (UPSI))
VISWANATHAN, K. Kuperan (Othman Yeop Abdullah Graduate School of Business (OYAGSB), Universiti Utara Malaysia)
Publication Information
The Journal of Asian Finance, Economics and Business / v.8, no.7, 2021 , pp. 1-9 More about this Journal
Abstract
This paper investigates the impact of the domestic and global outbreak of the coronavirus (COVID-19) pandemic on the trading size of the Malaysian stock (MS) market. The theoretical model posits that stock markets are affected by their response to disasters and events that arise in the international or local environments, as well as to several financial factors such as stock volatility and spread bid-ask prices. Using daily time-series data from 27 January to 12 May 2020, this paper utilizes the traditional Augmented Dickey and Fuller (ADF) technique and Zivot and Andrews with structural break' procedures for a stationarity test analysis, while the autoregressive distributed lag (ARDL) method is applied according to the trading size of the MS market model. The analysis considered almost all 789 listed companies investing in the main stock market of Malaysia. The results confirmed our hypotheses that both the daily growth in the active domestic and global cases of coronavirus (COVID-19) has significant negative effects on the daily trading size of the stock market in Malaysia. Although the COVID-19 has a negative effect on the Malaysian stock market, the findings of this study suggest that the COVID-19 pandemic may have an asymmetric effect on the market.
Keywords
Malaysian Stock Market; COVID-19; ARDL;
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