I. J. of Business & Management Research
Research Article | 
The Impact of the Covid-19 Pandemic on Boursa Kuwait Return Volatility
Author(s) : Mesfer Mahdi Al Mesfer Al Ajmi
Publisher : FOREX Publication
Published : 30 December 2021
e-ISSN : 2347-4696
Page(s) : 473-481
Abstract
The main objective of this research is to detect the impact of COVID-19 on return volatility of Boursa Kuwait main indexes using EGARCH and TGARCH models on the daily data from the All Share, Premier and Main indexes. The mean return during COVID-19 from February 24 to August 31, 2020, for the three indexes was negative with a high volatility value in the standard deviation compared to a positive return and low standard deviation for the period January 2, 2019, to February 23, 2020. Both periods’ returns for the market indexes exhibited negative skewness, large kurtosis values and abnormal distributions. There were significant EGARCH negative values during the COVID-19 period in the All Share and Premier indexes indicating leverage effects. The Main index reflected positive significant values due to the positive effects of government procedures that were implemented to counter the pandemic. The TGARCH model indicated significant negative values for the All Share and Main indexes during COVID-19 with decreased volatility when positive news on COVID-19 was announced. Using the threshold generalized autoregressive conditional heteroscedasticity (TGARCH) the Premier index value is positive and significant indicating an asymmetric effect showing that volatility increased when negative news on COVID-19 was broadcast. This is an important inference for market participants and policy makers particularly when there is a difference in the magnitude of an asymmetry.
Keywords: COVID-19, Boursa Kuwait, Asymmetric Effects, Volatility Modelling
Mesfer Mahdi Al Mesfer Al Ajmi , Department of Banking and Insurance, College of Business Studies, PAAET, Kuwait ; Email: mesfer.almesfer@yahoo.com
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Mesfer Mahdi Al Mesfer Al Ajmi (2021), The Impact of the Covid-19 Pandemic on Boursa Kuwait Return Volatility. IJBMR 9(4), 473-481. DOI: 10.37391/IJBMR.090411.