Stock Market Volatility of G-20 Countries before and during the COVID Crisis

Abstract

This research explores into the intricate dynamics and drivers of stock market volatility in both emerging and developed G20 economies. Empirical results from GARCH (1,1) and EGARCH (1,1) indicate the existence of both short-run and long-run symmetric and asymmetric volatility in the market returns of the G20 countries before and during the crisis and also captured the presence of information asymmetry. Argentina and China’s markets experienced the highest symmetric short- and long-run volatility persistency during the pre-pandemic period, whereas the Russian market had the largest symmetric and asymmetric short- and long-run volatility persistency during the COVID-19 crisis among the other G20 countries. Consequently, the findings of this research contributed to the existing body of knowledge on stock market volatility, offering nuanced perspectives on the distinct characteristics and dynamics of emerging and developed economies, and paving the way for more informed decision-making in the global financial landscape.

Keywords: Market Volatility, G20 Economics, Emerging Countries, Developed Countries, GARCH Models

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