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Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market

Author

Listed:
  • Cristi Spulbar

    (University of Craiova)

  • Ramona Birau

    (University of Craiova)

  • Jatin Trivedi

    (National Institute of Securities Markets)

Abstract

The main aim of this empirical study is to examine short and long run volatility movements based on a case study for Norwegian Stock Market, i.e. Oslo Stock Exchange. The econometric framework includes a series of statistical tests, ARIMA models and GARCH family models for the sample period from March 2013 to October 2021. The empirical results were influenced by the impact of COVID19 pandemic. This research paper also contributes to the existing literature regarding the influence of extreme events, such as COVID-19 pandemic on the behavior of developed stock markets, like Norwegian Stock Market.

Suggested Citation

  • Cristi Spulbar & Ramona Birau & Jatin Trivedi, 2021. "Investigating Short and Long Run Volatility Movements in the Context of COVID-19 Pandemic: A Case Study for Norwegian Stock Market," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1166-1171, December.
    • Handle: RePEc:ovi:oviste:v:xxi:y:2021:i:2:p:1166-1171
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    References listed on IDEAS

    as
    1. Cristi Spulbar & Jatin Trivedi & Ramona Birau & Tenea Cosmin Andrei & Abdullah Ejaz, 2019. "Estimating Volatility Spillovers, Dynamic Causal Linkages And International Contagion Patterns Between Developed Stock Markets: An Empirical Case Study For Usa, Canada, France And Uk," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 44-62, June.
    2. Muhammad Azmat Hayat & Huma Ghulam & Maryam Batool & Muhammad Zahid Naeem & Abdullah Ejaz & Cristi Spulbar & Ramona Birau, 2021. "Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach," JRFM, MDPI, vol. 14(6), pages 1-22, June.
    3. Bharat Kumar Meher & Iqbal Thonse Hawaldar & Latasha Mohapatra & Cristi Spulbar & Ramona Birau, 2020. "The Effects of Environment, Society and Governance Scores on Investment Returns and Stock Market Volatility," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 234-239.
    4. Sondre R. Fiskerstrand & Susanne Fjeldavli & Thomas Leirvik & Yevheniia Antoniuk & Oleg Nenadić, 2020. "Sustainable investments in the Norwegian stock market," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 10(3), pages 294-310, July.
    5. Luis Varona & Jorge R Gonzales, 2021. "Dynamics of the impact of COVID-19 on the economic activity of Peru," PLOS ONE, Public Library of Science, vol. 16(1), pages 1-30, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    ARIMA models; leverage effect; GARCH models; volatility; COVID-19 pandemic; stock market behavior;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets
    • G4 - Financial Economics - - Behavioral Finance

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