أبحاث إقتصادية معاصرة
Volume 8, Numéro 1, Pages 405-426
2025-04-30
Modeling And Analyzing Stock Price Volatility In Stock Exchanges Of Selected Islamic Countries During The Covid-19 Pandemic
Authors : Beldjehem Moufida . Amor Abda Samia .
Abstract
This study analyzed stock price fluctuations in the exchanges of several Islamic countries and the impact of the COVID-19 pandemic. Covering 14 countries, it used daily data from 01/03/2020 to 31/12/2022, employing GARCH and EGARCH models, along with the EGARCH news impact curve. The findings indicated that the pandemic influenced the exchanges, resulting in asymmetric volatility and persistent shocks. New cases impacted stock price fluctuations more than new deaths. The news impact curve showed that negative information had a greater effect than positive information. The EGARCH model is recommended for analyzing severe and asymmetric volatility increased by the pandemic.
Keywords
COVID-19 Pandemic ; Stock Price Fluctuations ; GARCH And EGARCH Models ; News Impact Curve
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