SACM - United Kingdom

Browse

Now showing 1 - 1 of 1

Restricted
What are the comparative effects of the subprime crises and COVID-19 pandemic on US stock market volatility: an empirical study
(Essex University, 2023-12-04) Alajmi, Mona; Nawosah, Vivek
This study examines the effects of the subprime crises and COVID-19 on stock market volatility in the United States, utilizing the GJR GARCH model. The data utilized is the daily closing prices of the S&P 500 stock index. The study's findings highlight the prevalence of volatility clustering during the subprime crisis that occurred between 2007 and 2008. However, the lack of a substantial asymmetric evidence suggests an absence of compelling empirical proof for the existence of asymmetry within that period and during the COVID-19 pandemic, it was observed that there were occurrences of volatility clustering and asymmetry. This shows that compared to positive shocks, negative shocks have a more significant effect on increasing volatility which is commonly known as leverage effects.
11 0