Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329164 
Year of Publication: 
2024
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 12 [Issue:] 9 [Article No.:] 238 [Year:] 2024 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
This research examines the impact of the COVID-19 pandemic on the volatility behavior of Amman Stock Exchange (ASE) returns using ARMA-GARCH-type models for three sub-periods: pre-COVID-19, during COVID-19, and post-COVID-19. The research finds that volatility persistence is significant across all periods, with the pandemic period showing the highest impact of shocks. Bad news has no statistically significant impact on volatility in the pre-COVID-19 period or during the pandemic, while in the post-pandemic period, good news significantly influences volatility. Additionally, there exist notable changes in the autocorrelation and the shock structure of the AR and MA components. Considering these alterations in the asymmetric effects, the AR and MA components suggest significant shifts in market dynamics, investor sentiments, and economic policies in response to pandemic experiences.
Subjects: 
Amman Stock Exchange
ARCH-type model
COVID-19 pandemic
Jordan
stock returns volatility
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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