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Stock Market Volatility Response to COVID-19: Evidence from Thailand

Author

Listed:
  • Suthasinee Suwannapak

    (Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen 40002, Thailand)

  • Surachai Chancharat

    (Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen 40002, Thailand)

Abstract

This study investigated how stock market volatility responded dynamically to unexpected changes during the COVID-19 pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics, the interlinkages, and the conditional correlations between stock market volatility and the increasing rate of COVID-19 infection cases are examined. The increased rate of COVID-19 infections impacts stock returns detrimentally; in Thailand, stock market volatility responses are asymmetric in the increase and decline situations. This disparity is due to the unfavourable impact of the pandemic’s volatility. Finally, we acknowledge that directional volatility spillover effects exist between the increase in COVID-19 cases and stock returns, suggesting that time-varying conditional correlations occur and are generally positive. Using this study’s results, governments and financial institutions can devise strategies for subsequent recessions or financial crises. Furthermore, investment managers can manage portfolio risk and forecast patterns in stock market volatility. Academics can apply our methodology in future investment trend studies to analyse additional variables in the economic system, such as the value of the US dollar, the price of commodities, or GDP.

Suggested Citation

  • Suthasinee Suwannapak & Surachai Chancharat, 2022. "Stock Market Volatility Response to COVID-19: Evidence from Thailand," JRFM, MDPI, vol. 15(12), pages 1-9, December.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:12:p:592-:d:998096
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    References listed on IDEAS

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    Cited by:

    1. Kudbeddin Şeker & Ethem Kiliç, 2026. "Bitcoin, U.S. stock markets, and volatility: the interaction of digital assets with traditional markets," Digital Finance, Springer, vol. 8(1), pages 1-25, March.
    2. Danai Likitratcharoen & Lucksuda Suwannamalik, 2024. "Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand’s Transportation Sector during COVID-19," Risks, MDPI, vol. 12(3), pages 1-20, March.

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