Purpose

The purpose of this study is to assess the extent to which the Ghana stock market performance has been impacted by the novel COVID-19 pandemic.

Design/methodology/approach

The study used the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model, by using daily time series data from 2 January 2015 to 13 October 2020. Both pre-estimation (Augmented Dickey-Fuller and Phillips-Perron) and post-estimation tests (Jarque-Bera) were conducted to validate the results.

Findings

While the study shows a statistically insignificant negative relationship between the COVID-19 pandemic and the Ghana stock returns, the results confirm that the COVID-19 pandemic has occasioned an increase in the Ghana stock returns volatility by 8.23%. Furthermore, the study confirmed the presence of volatility clustering and asymmetric effect, with the latter implying that worthy news tends to affect volatility more than unwelcome news of equal size.

Practical implications

To dampen uncertainties that trigger stock market volatility, the government should surgically target worse affected COVID-19 pandemic businesses and households to check the drop in profits and demand. Rigidities associated with stock market operations must be addressed to make it attractive to investors even in the midst of a pandemic.

Originality/value

This paper is a pioneer attempt at assessing the extent to which a developing economy stock market has been impacted by the novel COVID-19 pandemic using the EGARCH model.

中文翻译：

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股市表现和COVID-19大流行：来自发展中经济的证据

目的

这项研究的目的是评估新型COVID-19大流行对加纳股市表现的影响程度。

设计/方法/方法

该研究通过使用2015年1月2日至2020年10月13日的每日时间序列数据，使用指数广义自回归条件异方差性（EGARCH）模型。 -Bera）以验证结果。

发现

尽管该研究显示COVID-19大流行与加纳股票收益之间的关系在统计上不显着，但结果证实COVID-19大流行导致加纳股票收益波动率增加了8.23％。此外，该研究证实了存在波动性集群和不对称效应的情况，后者暗示有价值的新闻往往比同等大小的不受欢迎的新闻对波动性的影响更大。

实际影响

为了抑制引发股市波动的不确定性，政府应通过手术针对受影响最严重的COVID-19大流行企业和家庭，以检查利润和需求的下降。必须解决与股票市场运作相关的刚性问题，以使其即使在大流行中也对投资者有吸引力。

创意/价值

本文是使用EGARCH模型评估新型COVID-19大流行对发展中经济股票市场的影响程度的开创性尝试。