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The Impact of COVID-19 Pandemic on the Jordanian Stock Market Returns Volatility: Evidence from ASE20

Author

Listed:
  • Nahil Ismail Saqfalhait

    (Department of Business Economics, School of Business, The University of Jordan, Amman 11942, Jordan)

  • Omar Mohammad Alzoubi

    (Independent Researcher, Amman 11942, Jordan)

Abstract

This research examines the impact of the COVID-19 pandemic on the volatility behavior of Amman Stock Exchange (ASE) returns using ARMA–GARCH-type models for three sub-periods: pre-COVID-19, during COVID-19, and post-COVID-19. The research finds that volatility persistence is significant across all periods, with the pandemic period showing the highest impact of shocks. Bad news has no statistically significant impact on volatility in the pre-COVID-19 period or during the pandemic, while in the post-pandemic period, good news significantly influences volatility. Additionally, there exist notable changes in the autocorrelation and the shock structure of the AR and MA components. Considering these alterations in the asymmetric effects, the AR and MA components suggest significant shifts in market dynamics, investor sentiments, and economic policies in response to pandemic experiences.

Suggested Citation

  • Nahil Ismail Saqfalhait & Omar Mohammad Alzoubi, 2024. "The Impact of COVID-19 Pandemic on the Jordanian Stock Market Returns Volatility: Evidence from ASE20," Economies, MDPI, vol. 12(9), pages 1-20, September.
    • Handle: RePEc:gam:jecomi:v:12:y:2024:i:9:p:238-:d:1473212
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    References listed on IDEAS

    as
    1. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
    2. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
    3. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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