Saleem Asima
Faculty of Management Sciences, National University of Modern Languages, Islamabad, Pakistan.
Ann Data Sci. 2022;9(1):33-54. doi: 10.1007/s40745-021-00349-6. Epub 2021 Jul 3.
The Southern Region has reported a large number of contagious pandemic outbreaks. These epidemics brought threats to human health and resulted in serious economic losses. The COVID-19 is a global virus and has weakened the global financial markets with significant effect on stock returns and market volatilities. The study obtained a dataset about the financial market structure of South Asian Association for Regional Cooperation (SAARC) Countries. The purpose of the study is to determine the effect of 2019-nCov on stock market performance of SAARC member states. The study considered indexes of the National Stock Exchanges of each country and applied an event study approach for estimating the impact of Mad COVID-19 on the stock returns and market volatilities with an event window of 25 days of severe pandemic hits. The CAR approach proved the declining effect of Mad COVID-19 on the stock returns of SAARC countries. Asymmetric GJR-GARCH Model estimated the changeable volatility and proved the increase in volatility with COVID-19 as a negative shock. SAARC Region significantly reacts to Mad COVID-19 with falling markets and rising volatility.
南部地区报告了大量传染性大流行疫情。这些疫情给人类健康带来威胁，并造成了严重的经济损失。新冠病毒是一种全球病毒，削弱了全球金融市场，对股票回报和市场波动产生了重大影响。该研究获得了一份关于南亚区域合作联盟（南盟）国家金融市场结构的数据集。该研究的目的是确定2019新型冠状病毒对南盟成员国股票市场表现的影响。该研究考虑了每个国家的国家证券交易所指数，并采用事件研究方法，以25天的严重疫情冲击事件窗口来估计新冠病毒对股票回报和市场波动的影响。累积异常收益率（CAR）方法证明了新冠病毒对南盟国家股票回报的下降影响。非对称广义自回归条件异方差（GJR-GARCH）模型估计了可变波动率，并证明了新冠病毒作为负面冲击导致波动率增加。南盟地区对新冠病毒的反应显著，市场下跌且波动率上升。
