使用指数广义自回归条件异方差模型确定新冠疫情之前及期间加纳证券交易所的回报波动性。
Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model.
作者信息
Prempeh Kwadwo Boateng, Frimpong Joseph Magnus, Amaning Newman
机构信息
Department of Accountancy, Faculty of Business and Management Studies, Sunyani Technical University, Ghana Sunyani.
KNUST School of Business, Kumasi, Ghana.
出版信息
SN Bus Econ. 2023;3(1):21. doi: 10.1007/s43546-022-00401-4. Epub 2022 Dec 23.
In this paper, we utilise daily stock returns for the Ghanaian equity market (GSE) to examine the influence of the COVID-19 pandemic on market volatility. We take return volatility from 2nd January, 2018, to 31st December, 2021, and split it into two periods-the pre-COVID-19 period and the COVID-19 period. Utilising the exponential GARCH (EGARCH) model, we discovered leverage effects in all observed periods. Additionally, the research indicates that the COVID-19 period experienced high volatility with a transient volatility persistence. Furthermore, during the COVID-19 pandemic, positive shocks had a more significant impact on the volatility of the GSE's returns than negative news of comparable magnitude.
在本文中，我们利用加纳股票市场（GSE）的每日股票回报率来研究新冠疫情对市场波动性的影响。我们获取了2018年1月2日至2021年12月31日的回报率波动性，并将其分为两个时期——新冠疫情前时期和新冠疫情时期。利用指数广义自回归条件异方差（EGARCH）模型，我们在所有观察期内发现了杠杆效应。此外，研究表明，新冠疫情时期波动性较高，且波动性具有短暂的持续性。此外，在新冠疫情期间，正向冲击对GSE回报率波动性的影响比同等规模的负面消息更大。
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