Affiliation:
1. College of Business Administration, Taibah University, Tunisia
Abstract
This study aims to investigate the impact of unexpected events related to new cases, confirmed cases, and death cases of COVID-19 on the volatility of the financial market in Saudi Arabia. To conduct the analysis, the authors employ a GARCH(1,1) model and incorporate the surprise component into the estimated model. The data used in this study spans from January 1, 2019 to December 31, 2020. The empirical findings reveal that the daily returns and volatilities of the stock indexes in the financial market of Saudi Arabia exhibit significant peaks, particularly during the first quarter of 2020 when the COVID-19 pandemic was most widespread. Interestingly, they observe that the announcements of death cases related to COVID-19 in the United States have a substantial impact on the stock market index in Saudi Arabia. This study is the first of its kind to examine the effect of unexpected events in financial markets, specifically those related to new cases, confirmed cases, and death cases of COVID-19 on the volatility of the financial market in Saudi Arabia.
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