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http://dx.doi.org/10.13106/jafeb.2022.vol9.no4.0029

The Impact of COVID-19 on the Volatility of Bangladeshi Stock Market: Evidence from GJR-GARCH Model  

GOLDER, Uttam (Department of Finance and Banking, Jashore University of Science and Technology)
RUMALY, Nishat (Department of Finance and Banking, Jashore University of Science and Technology)
SHAHRIAR, A.H.M. (Department of Finance and Banking, Jashore University of Science and Technology)
ALAM, Mohammad Jahangir (Department of Accounting and Information Systems, Jashore University of Science and Technology)
BISWAS, Al Amin (Department of Finance and Banking, Jashore University of Science and Technology)
ISLAM, Mohammad Nazrul (Department of Finance and Banking, Jashore University of Science and Technology)
Publication Information
The Journal of Asian Finance, Economics and Business / v.9, no.4, 2022 , pp. 29-38 More about this Journal
Abstract
The enormous sway of COVID-19 on the international financial market has been felt across the globe. The financial markets of Bangladesh have also been similarly affected by the global epidemic and experienced a significant increase in volatility. To scrutinise the connection between COVID-19 and the Dhaka Stock Exchange (DSE) indices' return and instability, this study uses data of the DSE from February 2014 to September 2021. A comparative examination of the return and instability of the stock indices of the DSE has also been done considering the outbreak of the current COVID-19 situation. After using the GJR-GARCH (1,1) model, this review uncovers that the outbreak of COVID-19 has a statistically positive noteworthy association with the DSE stock indices' instability, which increases the market's volatility. Traders' fear and the rising frequency of COVID-19 reported patients could cause this. Besides, according to this study, COVID-19 shows a substantial positive linkage with stock market returns that increases the market's return. An appealing valuation, lower interest rates in the banking channel, economic rebound following the closure to prevent coronavirus transmission, improved remittance inflows, and a return of export revenues could all have contributed to this outcome. In addition, the findings also reveal that all market indices are in a mean-reverting phase.
Keywords
COVID-19; Dhaka Stock Exchange (DSE); Volatility; GJR-GARCH; Bangladesh;
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