The Study of the Pandemic on Asian stock markets during the COVID 19 Period

The Study of the Pandemic on Asian stock markets during the COVID 19 Period

The COVID-19 epidemic has spread to every country on the planet. Furthermore, some studies have claimed that there is a considerable return on investment and that volatility spillovers between China and Asian stock markets are bigger than before. This study will focus on both stock return and volatility spillovers between China and six Asian countries before, during and after the COVID-19 pandemic. By using unit-root tests to look at the stationarity of all the series, as well as the VAR model with Granger Causality test and impulse response function to look at the spillover dynamics and return transmission between nations. Furthermore, this paper use the BEKK GARCH model to see if the extents of volatility spillover change in three pandemic eras. Except for Malaysia, return spillovers between China and Asian markets appear to be excellent both during and after the COVID- 19 outbreak. In compared to the pre-COVID-19 era, impulse reactions from one nation to another are substantially longer and stronger during the COVID-19 period, but are significantly weaker following the pandemic. This suggests that the nations grew more integrated during the outbreak and less integrated after the pandemic ended.