The COVID-19 and Stock Return Volatility: Evidence from South Korea
dc.contributor.author | Dong-Jin Pyo | |
dc.date.accessioned | 2021-08-23T03:27:35Z | |
dc.date.available | 2021-08-23T03:27:35Z | |
dc.date.issued | 2021-06-30 | |
dc.identifier.issn | PISSN 2508‐1640 | |
dc.identifier.issn | EISSN 2508‐1667 | |
dc.identifier.uri | http://hdl.handle.net/11540/13874 | |
dc.description.abstract | This study examines the impact of the number of coronavirus cases on regime-switching in stock return volatility. This study documents the empirical evidence that the COVID-19 cases had an asymmetric effect on the regime of stock return volatility. When the stock return is in the low volatility regime, the probability of switching to the high volatility regime in the next trading day increases as the number of cumulative cases increases. In contrast, in the high volatility regime, the effect of cumulative cases on the transition probability is not statistically significant. This study also documents the evidence that the government measures against the pandemic contribute to promoting the high volatility regime of the KOSPI during the pandemic. Besides, this study projects future stock prices through the Monte Carlo simulation based on the estimated parameters and the predicted number of the COVID-19 new cases. Under a scenario where the number of new cases rapidly increases, stock price indices in Korea are expected to be in a downward trend over the next three months. On the other hand, under the moderate scenario and the best scenario, the stock indices are likely to continue to rise. | |
dc.language | English | |
dc.publisher | Korea Institute for International Economic Policy | |
dc.title | The COVID-19 and Stock Return Volatility: Evidence from South Korea | |
dc.type | Reports | |
dc.subject.expert | Public Financial Management | |
dc.subject.expert | Financial System | |
dc.subject.expert | Financial Statistics | |
dc.subject.expert | Financial Stability | |
dc.subject.expert | Financial Management System | |
dc.subject.expert | Financial Restructuring | |
dc.subject.expert | Capital Market Development | |
dc.subject.expert | Market Development | |
dc.subject.expert | Economics | |
dc.subject.expert | Erosion | |
dc.subject.expert | International Economics | |
dc.subject.expert | Macroeconomic | |
dc.subject.expert | Macroeconomic Analysis | |
dc.subject.expert | Performance Evaluation | |
dc.subject.expert | Impact Evaluation | |
dc.subject.expert | Foreign and Domestic Financing | |
dc.subject.expert | Foreign Direct Investment | |
dc.subject.expert | Financial Statements | |
dc.subject.adb | Pension Funds | |
dc.subject.adb | Mutual Funds | |
dc.subject.adb | Social Equity | |
dc.subject.adb | Financial Aspects | |
dc.subject.adb | Fiscal Policy | |
dc.subject.adb | International Financial Market | |
dc.subject.adb | Multilateral Financial Institutions | |
dc.subject.adb | Economic Recession | |
dc.subject.adb | Market | |
dc.subject.adb | Crisis | |
dc.subject.adb | Economic indicators | |
dc.subject.adb | Growth models | |
dc.subject.adb | Gross domestic product | |
dc.subject.adb | Macroeconomics | |
dc.subject.adb | Economic forecast | |
dc.subject.adb | Business Financing | |
dc.subject.adb | Investment Requirements | |
dc.subject.adb | Digital currency | |
dc.subject.adb | Labour market | |
dc.subject.adb | Income Inequality | |
dc.subject.natural | Labor policy | |
dc.subject.natural | Manpower policy | |
dc.subject.natural | Business recessions | |
dc.subject.natural | Multilateral development banks | |
dc.subject.natural | Regulatory reform | |
dc.subject.natural | Capital | |
dc.subject.natural | Exports | |
dc.subject.natural | Economic development projects | |
dc.subject.natural | Economic policy | |
dc.subject.natural | Economic forecasting | |
dc.subject.natural | Investment Requirements | |
dc.subject.natural | Banks | |
dc.subject.natural | International banks and banking | |
dc.subject.natural | Capital movements | |
dc.subject.natural | Central banks and banking | |
dc.subject.natural | Bills of exchange | |
dc.subject.natural | Swaps | |
dc.subject.natural | Banks and banking | |
dc.subject.natural | Financial crisis | |
dc.subject.natural | Credit control | |
dc.subject.natural | Credit allocation | |
dc.subject.natural | Capital market | |
dc.subject.natural | International liquidity | |
dc.subject.natural | Liquidity | |
dc.subject.natural | Exchange rate | |
dc.subject.natural | Pension plans | |
dc.subject.natural | Individual retirement accounts | |
dc.subject.natural | Employee pension trusts | |
dc.subject.natural | Investment management | |
dc.subject.natural | Investments | |
dc.subject.natural | Multiemployer pension plans | |
dc.subject.natural | Keogh plans | |
dc.subject.natural | Individual retirement accounts | |
dc.subject.natural | Pension plans | |
dc.subject.natural | Employee pension trusts | |
dc.subject.natural | Pension trusts | |
dc.subject.natural | Stocks | |
dc.subject.natural | Stock return volatility | |
dc.title.series | East Asian Economic Review | |
dc.title.volume | Vol. 25 No. 2 | |
dc.contributor.imprint | Korea Institute for International Economic Policy | |
oar.theme | Finance | |
oar.theme | Economics | |
oar.adminregion | East Asia Region | |
oar.country | Republic of Korea | |
oar.identifier | OAR-013231 | |
oar.author | Pyo, Dong-Jin | |
oar.import | TRUE | |
oar.googlescholar.linkpresent | true |