Does COVID-19 Affect Stock Market Volatility

Abstract

This study was conducted to measure the effect of the Covid-19 pandemic in the form of confirmed cases and death rate on stock volatility during the period from 25 February 2020 to 12 June 2021 by applying regression, Autoregressive Conditional heteroscedasticity (ARCH), and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) using daily time-series data from two South Asian countries that are Pakistan and India. The variables were chosen for measuring the results which are confirmed cases and death rates as independent variables and stock volatility as a dependent variable. Results found that the Covid-19 Confirmed Cases and Death Rates have significant effects on stock volatility between Pakistan and India.