Title: Stock market response to the COVID-19 lockdown: the case of Dow Jones, CAC 40, DAX and FTSE 100

Authors: Amal Bakour; Fatma Abidi Aloui

Addresses: Université de Manouba, ESCT, LARIMRAF LR21ES29, Campus Universitaire Manouba, 2010, Tunisia ' Université de Manouba, ESCT, LARIMRAF LR21ES29, Campus Universitaire Manouba, 2010, Tunisia

Abstract: The major objective of this study is to estimate the volatility of four major indices since the appearance of COVID-19 as well as the lockdown effect, by using GARCH, EGARCH and ICSS algorithm. Our sample includes daily data from January 2, 2019 to February 19, 2021 and this for the case of Dow Jones, CAC 40, FTSE 100 and DAX. The results show that shock persistence has a detrimental and permanent effect on the persistence of volatility returns. In addition, lockdown and vaccination have a positive effect on stock returns.

Keywords: COVID-19; EGARCH model; stock market volatility; lockdown; ICSS algorithm.

DOI: 10.1504/IJBEM.2023.134076

International Journal of Business and Emerging Markets, 2023 Vol.15 No.4, pp.380 - 395

Accepted: 12 Apr 2023
Published online: 10 Oct 2023 *

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