Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic
We study the impact of shocks (news flow) on stock market volatility in different economic regions, namely the developed, emerging, frontier, and BRIC stock markets during the COVID-19 pandemic, which was a‘Black Swan Event’. The daily returns of relevant MSCI indices from January 30, 2020 to Octobe...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
FUCAPE Business School
2022-01-01
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| Series: | BBR: Brazilian Business Review |
| Subjects: | |
| Online Access: | http://www.redalyc.org/articulo.oa?id=123075329002 |
| _version_ | 1797250495060901888 |
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| author | Nayanjyoti Bhattacharjee Anupam De |
| author_facet | Nayanjyoti Bhattacharjee Anupam De |
| author_sort | Nayanjyoti Bhattacharjee |
| collection | DOAJ |
| description | We study the impact of shocks (news flow) on stock market volatility in different economic regions, namely the developed, emerging, frontier, and BRIC stock markets during the COVID-19 pandemic, which was a‘Black Swan Event’. The daily returns of relevant MSCI indices from January 30, 2020 to October 30, 2020 are examined using the EGARCH model’s News Impact Curve to gain a perspective on the volatility behaviour in stock markets in the developed, emerging, frontier, and BRIC countries' stock markets. Evidence suggests that the developed markets in the Pacific and Europe, the BRIC countries, the emerging markets in Asia, Europe, and Latin America and the frontier markets in Asia were associated with asymmetric volatility response to shocks. Further, the developed markets in North America, and the frontier markets in Africa were associated with a symmetric volatility response. We observe that the volatility response to shocks in different regions is not uniform and varies according to the size and sign of the shock. The findings of the study provide insights to the investors and the academics in understanding the behaviour of volatility globally during a Black Swan Event, and provides critical inputs in global portfolio decisions. |
| first_indexed | 2024-03-07T20:26:17Z |
| format | Article |
| id | doaj.art-5ddb509ca87147e6a274b0cb80e4b8d3 |
| institution | Directory Open Access Journal |
| issn | 1807-734X |
| language | English |
| last_indexed | 2024-04-24T20:47:17Z |
| publishDate | 2022-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj.art-5ddb509ca87147e6a274b0cb80e4b8d32024-03-21T19:30:20ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2022-01-01195492507http://dx.doi.org/10.15728/bbr.2022.19.5.2.ptBlack Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 PandemicNayanjyoti BhattacharjeeAnupam DeWe study the impact of shocks (news flow) on stock market volatility in different economic regions, namely the developed, emerging, frontier, and BRIC stock markets during the COVID-19 pandemic, which was a‘Black Swan Event’. The daily returns of relevant MSCI indices from January 30, 2020 to October 30, 2020 are examined using the EGARCH model’s News Impact Curve to gain a perspective on the volatility behaviour in stock markets in the developed, emerging, frontier, and BRIC countries' stock markets. Evidence suggests that the developed markets in the Pacific and Europe, the BRIC countries, the emerging markets in Asia, Europe, and Latin America and the frontier markets in Asia were associated with asymmetric volatility response to shocks. Further, the developed markets in North America, and the frontier markets in Africa were associated with a symmetric volatility response. We observe that the volatility response to shocks in different regions is not uniform and varies according to the size and sign of the shock. The findings of the study provide insights to the investors and the academics in understanding the behaviour of volatility globally during a Black Swan Event, and provides critical inputs in global portfolio decisions.http://www.redalyc.org/articulo.oa?id=123075329002volatilitybricemerging marketsdeveloped marketsfrontier markets |
| spellingShingle | Nayanjyoti Bhattacharjee Anupam De Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic BBR: Brazilian Business Review volatility bric emerging markets developed markets frontier markets |
| title | Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
| title_full | Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
| title_fullStr | Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
| title_full_unstemmed | Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
| title_short | Black Swan Event and The Stock Market Volatility Response to Shocks in Developed, Emerging, Frontier and the BRIC Markets: Lessons from the COVID-19 Pandemic |
| title_sort | black swan event and the stock market volatility response to shocks in developed emerging frontier and the bric markets lessons from the covid 19 pandemic |
| topic | volatility bric emerging markets developed markets frontier markets |
| url | http://www.redalyc.org/articulo.oa?id=123075329002 |
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