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Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model

Author

Listed:
  • Kwadwo Boateng Prempeh

    (Sunyani Technical University)

  • Joseph Magnus Frimpong

    (KNUST School of Business)

  • Newman Amaning

    (Sunyani Technical University)

Abstract

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.

Suggested Citation

  • Kwadwo Boateng Prempeh & Joseph Magnus Frimpong & Newman Amaning, 2023. "Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model," SN Business & Economics, Springer, vol. 3(1), pages 1-20, January.
    • Handle: RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00401-4
    DOI: 10.1007/s43546-022-00401-4
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    More about this item

    Keywords

    COVID-19; Stock market returns; Volatility; GSE; Shocks;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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