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Volatility clustering and persistence during COVID-19: evidence of asymmetric volatility in the Asia-Pacific stock markets

Dharen Kumar Pandey & Vineeta Kumari

International Journal of Financial Services Management2022https://doi.org/10.1504/ijfsm.2022.126863article
ABDC C
Weight
0.38

What the paper says

We analyse 17 stock market indices in the Asia-Pacific region to examine the impacts of the COVID-19 on the Asia-Pacific stock markets by interpreting the generalised autoregressive conditional heteroskedasticity (GARCH) coefficients. While evidencing the absence of ARCH and GARCH effects during the pre-COVID period, we also evidence volatility clustering and persistence during the COVID period. It is evidenced that negative impacts result in higher volatility than positive impacts. The presence of time-varying volatility in the Asia-Pacific region has not been previously studied. The available literature has focused either on a single market or on the developed markets. Hence, the findings of this study are expected to contribute significantly to the finance literature.

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https://doi.org/https://doi.org/10.1504/ijfsm.2022.126863

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@article{dharen2022,
  title        = {{Volatility clustering and persistence during COVID-19: evidence of asymmetric volatility in the Asia-Pacific stock markets}},
  author       = {Dharen Kumar Pandey & Vineeta Kumari},
  journal      = {International Journal of Financial Services Management},
  year         = {2022},
  doi          = {https://doi.org/https://doi.org/10.1504/ijfsm.2022.126863},
}

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Volatility clustering and persistence during COVID-19: evidence of asymmetric volatility in the Asia-Pacific stock markets

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Evidence weight

0.38

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.08 × 0.4 = 0.03
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.