Covid-19 Pandemic And Stock Return Volatility: Evidence From Vietnam's Stock Market

Abstract

The Covid-19 global pandemic, which has disrupted labor and financial markets around the globe, has caused financial and health complications. Using Generalized Autoregressive Conditional Heteroskedastic (GARCH) model, this study examines the effects of Covid-19 on the mean and volatility of the Vietnamese stock market returns between January 1, 2020, and December 31, 2021. Indicators of the Covid-19 pandemic are the increase in mortality and the number of confirmed cases. According to empirical data, a higher rate of growth for confirmed cases is associated with decreased stock returns. It should be emphasized that the growth rate of verified instances has a positive and significant effect on the volatility of stock return. These empirical findings could be instructive for investors and policymakers.