Comparison of International Stock market Volatility: An Empirical Analysis during Economic Crisis 2008 and Covid-19

ABSTRACT

The repercussions occasionally are more detrimental than the storm. Similar is the scenario of the Economic Crisis 2008. It was devastating at the moment, but the concern was more towards the time period it has prolonged in the economy. In mid-March 2020, when our honourable Prime Minister announced about the entire nation lockdown, Covid-19 was proven to be a pandemic that not only deteriorated the health of the nation but also was a revolutionary change for the economy as well. Hence, estimating volatility in such dreadful scenarios becomes extremely important. Earlier researchers have made an attempt to study the impact of these two devastating events individually. However, this study makes an attempt to provide a comparative analysis of the volatility of Economic Crisis 2008 and Covid 19 in order to observe the nature of volatility in two different events of top 10 economies which comprises 66% of the whole world's GDP and accordingly can be taken as intermediary to address the world's economy.The data has been bifurcated into two sections, first comprises of Economic Crisis 2008 Period ranging from 1st of January 2008 to 31st of May 2011. While second section comprises of Covid-19 Period ranging from January 1, 2020 to May 12, 2021. In order to estimate the volatility and effect GARCH, T-GARCH and E-GARCH models have been applied for the fulfilment of the objective. The results provide with the conclusion that there has been significant impact of both the events on the volatility of the stock market.The study can be beneficial for the financial analysts and, retail and individual investors in order to make a prudent decision in such extremities as it presents with an insight of how different economies react to different circumstances correspondingly. © The Electrochemical Society