The East-Asian stock markets during the COVID-19 pandemic

Abstract

We study the dynamics and volatilities of six East Asian stock market indices during the COVID-19 pandemic with five types of ARCH/GARCH models.  The main results are: 1) Most of the volatilities of the series of returns show leverage effects; 2) the FIGARCH(1,1,1) model is the best one to describe the series of returns associated to the Shenzen and Shangai-Composite indices; 3) the GJR-GARCH(1,1,1) model is the best one to describe the series associated to the Hang-Seng, KOSPI and Nikkei-225 indices; and, 4) the APARCH(1,1,1,1) model is the best one to describe the series associated to the Taiwan-Weighted index.  We develop the study with daily indices for the period between January 2nd, 2020 and December 16th, 2021.