VOlUME 05 ISSUE 08 AUGUST 2022
1Rayane Bode Youssouf,2SITKI SÖNMEZER
1Istanbul Commerce University, Graduate School of Finance, Istanbul, Turkey,Orcid: 0000-0002-4518-2042
2Istanbul Commerce University, Banking and Finance Department, Istanbul, Turkey,Orcid: 0000-0002-3509- 9317
DOI : https://doi.org/10.47191/ijsshr/v5-i8-69Google Scholar Download Pdf
ABSTRACT
With the support of a generalized autoregressive conditional heteroscedasticity model, this research experimentally examines the effect of COVID-19 on the volatility of stock prices in 3 different stock indexes. The analysis used daily closing prices from May 31, 2012, through May 31, 2022, for stock indices tracked by Euronext and SSE. Additionally, the study aimed to compare the market price return between the pre-pandemic and after situations. According to the findings, the stock markets in China, Europe, and the S&P 500 all experienced volatility during the pandemic period. We discovered that the return on the indices was higher in the pre-COVID-19 period than it was in the pandemic period when comparing the results of the disease period with those of the pre-COVID period.
KEYWORDS:Stock indexes, volatility, structural breaks
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