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The COVID-19 and Stock Return Volatility: Evidence from South Korea

dc.contributor.authorDong-Jin Pyo
dc.date.accessioned2021-08-23T03:27:35Z
dc.date.available2021-08-23T03:27:35Z
dc.date.issued2021-06-30
dc.identifier.issnPISSN 2508‐1640
dc.identifier.issnEISSN 2508‐1667
dc.identifier.urihttp://hdl.handle.net/11540/13874
dc.description.abstractThis 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.languageEnglish
dc.publisherKorea Institute for International Economic Policy
dc.titleThe COVID-19 and Stock Return Volatility: Evidence from South Korea
dc.typeReports
dc.subject.expertPublic Financial Management
dc.subject.expertFinancial System
dc.subject.expertFinancial Statistics
dc.subject.expertFinancial Stability
dc.subject.expertFinancial Management System
dc.subject.expertFinancial Restructuring
dc.subject.expertCapital Market Development
dc.subject.expertMarket Development
dc.subject.expertEconomics
dc.subject.expertErosion
dc.subject.expertInternational Economics
dc.subject.expertMacroeconomic
dc.subject.expertMacroeconomic Analysis
dc.subject.expertPerformance Evaluation
dc.subject.expertImpact Evaluation
dc.subject.expertForeign and Domestic Financing
dc.subject.expertForeign Direct Investment
dc.subject.expertFinancial Statements
dc.subject.adbPension Funds
dc.subject.adbMutual Funds
dc.subject.adbSocial Equity
dc.subject.adbFinancial Aspects
dc.subject.adbFiscal Policy
dc.subject.adbInternational Financial Market
dc.subject.adbMultilateral Financial Institutions
dc.subject.adbEconomic Recession
dc.subject.adbMarket
dc.subject.adbCrisis
dc.subject.adbEconomic indicators
dc.subject.adbGrowth models
dc.subject.adbGross domestic product
dc.subject.adbMacroeconomics
dc.subject.adbEconomic forecast
dc.subject.adbBusiness Financing
dc.subject.adbInvestment Requirements
dc.subject.adbDigital currency
dc.subject.adbLabour market
dc.subject.adbIncome Inequality
dc.subject.naturalLabor policy
dc.subject.naturalManpower policy
dc.subject.naturalBusiness recessions
dc.subject.naturalMultilateral development banks
dc.subject.naturalRegulatory reform
dc.subject.naturalCapital
dc.subject.naturalExports
dc.subject.naturalEconomic development projects
dc.subject.naturalEconomic policy
dc.subject.naturalEconomic forecasting
dc.subject.naturalInvestment Requirements
dc.subject.naturalBanks
dc.subject.naturalInternational banks and banking
dc.subject.naturalCapital movements
dc.subject.naturalCentral banks and banking
dc.subject.naturalBills of exchange
dc.subject.naturalSwaps
dc.subject.naturalBanks and banking
dc.subject.naturalFinancial crisis
dc.subject.naturalCredit control
dc.subject.naturalCredit allocation
dc.subject.naturalCapital market
dc.subject.naturalInternational liquidity
dc.subject.naturalLiquidity
dc.subject.naturalExchange rate
dc.subject.naturalPension plans
dc.subject.naturalIndividual retirement accounts
dc.subject.naturalEmployee pension trusts
dc.subject.naturalInvestment management
dc.subject.naturalInvestments
dc.subject.naturalMultiemployer pension plans
dc.subject.naturalKeogh plans
dc.subject.naturalIndividual retirement accounts
dc.subject.naturalPension plans
dc.subject.naturalEmployee pension trusts
dc.subject.naturalPension trusts
dc.subject.naturalStocks
dc.subject.naturalStock return volatility
dc.title.seriesEast Asian Economic Review
dc.title.volumeVol. 25 No. 2
dc.contributor.imprintKorea Institute for International Economic Policy
oar.themeFinance
oar.themeEconomics
oar.adminregionEast Asia Region
oar.countryRepublic of Korea
oar.identifierOAR-013231
oar.authorPyo, Dong-Jin
oar.importTRUE
oar.googlescholar.linkpresenttrue


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