The Impact of COVID-19 on Stock Market Volatility in Pakistan

2021/02/11 by Syed, Ateeb Akhter Shah, Fatima, Kaneez
#FOS: Economics and business #General Finance (q-fin.GN)

paper · doi:10.48550/arxiv.2103.03219

Abstract

This paper examines the impact of coronavirus (COVID-19) on stock market volatility (SMV) in Pakistan by controlling the effect of exchange rate, interest rate and government/central bank interventions to combat the pandemic. We used the vector autoregressive (VAR) model over a sample period ranging from February 25, 2020 to December 7, 2020. We find that a shock to total daily coronavirus cases in Pakistan lead to a significant increase in SMV. This result is aligned with a vast literature on pandemics and investors uncertainty and remains robust to several robustness checks applied in our analysis.

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