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 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.

THE RELATIONSHIP BETWEEN FINANCIAL INDICATORS AND FINANCIAL INTERMEDIARIES’ STOCK PRICE VOLATILITY LISTED ON THE BM&FBOVESPA INDEX IN THE CRISIS PERIOD OF 2008 AND 2020 (COVID-19)

“…For Vikram, Hotwan, and Mohanty (2022), the crisis impacted the investments of companies with financial constraints more sharply compared to unrestricted companies. On the other hand, Driver and Muñoz-Bugarin (2019) pointed out that the financial crisis mainly affected larger companies, which became more sensitive to financial restrictions during the crisis.…”

“…In the 2020 crisis, the devastating element was Covid-19, which emerged in China, and the diffusion factor was the freedom of movement of people that spread throughout and the world the contaminating elements of the economic system itself. Therefore, this crisis can be considered unique mainly because its nature is fundamentally due to a public health problem, with economic and social consequences (Jebabli;Kouaissah;& Arouri, 2022, Vikram;Hotwan;& Mohanty, 2022). Jiang et al (2019) studied the relationship between the financial indicators of total asset turnover rate, return on equity, earnings per share and general indebtedness, with the volatility of the price of shares in the financial sector in China.…”

Nexus between foreign exchange rate and stock market: evidence from India

“…Jarque-Bera test is used by the researchers to check the normality of the data (Thadewald & Büning, 2007). The study of financial asset returns is distinct from the analysis of other types of asset returns due to the leptokurtic dispersion of financial time series data, the volatility clustering of financial time series data, and the influence of leverage (Teplova & Shutova, 2011;Vikram et al, 2022). Models that measure volatility over time are of great value in times of turbulence.…”