Volatility of financial markets index affected by COVID-19

Document Type : Original Article

Authors

1 lecturer, Accounting Department, Shahre Qods Branch, Islamic Azad University, Tehran, Iran.

2 Assistant Professor, Accounting Department, Shahre qods Branch, Islamic Azad University, Tehran, Iran.

3 lecturer, Accounting Department, Razi University, Iran.

Abstract

The spread of Corona Virus (COVID-19) has a significant impact on financial markets around the world. This creates an unprecedented amount of risk and causes investors to incur significant losses in a very short period of time. The aim of this study was to investigate the volatility of the main stock market indices of COVID-19 in countries with the highest number of Corona Virus patients during the period 12/30/2019 to 04/27/2020 with the help of daily data by test. GARCH-BEKK is done. The results of this study show that, the COVID-19 method in China has not affected the fluctuations of the Chinese stock index according to the obtained results, but in Iran and Italy with the outbreak of COVID-19, the stock index has begun to grow and increase. The outbreak of COVID-19 in South Korea has also caused the stock index to fall. On the other hand, fluctuations in China's stock market index have no effect on Iran's stock index, but reduce Italy's stock index and increase South Korea's stock index.

Keywords

References

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International Journal of Finance & Managerial Accounting
Volume 6, Issue 23 - Serial Number 23
October 2021
Pages 103-111

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