Abstract

This study described an empirical link between COVID-19 fear and stock market volatility. Studying COVID-19 fear with stock market volatility is crucial for planning adequate portfolio diversification in international financial markets. The study used AR (1) – GARCH (1,1) to measure stock market volatility associated with the COVID-19 pandemic. Our findings suggest that COVID-19 fear is the ultimate cause driving public attention and stock market volatility. The results demonstrate that stock market performance and GDP growth decreased significantly through average increases during the pandemic. Further, with a 1% increase in COVID-19 cases, the stock return and GDP decreased by 0.8%, 0.56%, respectively. However, GDP growth demonstrated a slight movement with stock exchange. Moreover, public attention to the attitude of buying or selling was highly dependent on the COVID-19 pandemic reported cases index, death index, and global fear index. Consequently, investment in the gold market, rather than in the stock market, is recommended. The study also suggests policy implications for key stakeholders.

摘要

这项研究描述了 COVID-19 恐惧与股市波动之间的经验联系。研究 COVID-19 对股市波动的恐惧对于规划国际金融市场的充分投资组合多元化至关重要。该研究使用 AR (1) – GARCH (1,1) 来衡量与 COVID-19 大流行相关的股市波动。我们的研究结果表明，对 COVID-19 的恐惧是推动公众关注和股市波动的最终原因。结果表明，在大流行期间，股市表现和 GDP 增长通过平均增长而显着下降。此外，随着 COVID-19 病例增加 1%，股票回报率和 GDP 分别下降 0.8%、0.56%。然而，GDP 增长显示出与证券交易所的轻微变动。而且，公众对买卖态度的关注高度依赖于 COVID-19 大流行报告病例指数、死亡指数和全球恐惧指数。因此，建议投资于黄金市场，而不是股票市场。该研究还提出了对主要利益相关者的政策影响。