GARCH Effect and Abnormal Returns during COVID-19 Pandemic

Heniwati, Elok (2021) GARCH Effect and Abnormal Returns during COVID-19 Pandemic. In: ICEBE 2020, 1st October 2020, Tangerang, Indonesia.

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Abstract

Considering that in general stock returns display time-varying volatility, researchers focus on how abnormal returns are calculated because it impacts on how it will be interpreted. This study uses a market model for the GARCH effect to obtain a more efficient estimation result. Using the sample of bank stocks, we empirically investigate how this adjustment impacts the magnitude of the abnormal return associated with the COVID-19 event. The results show that the calculation of abnormal returns taking into account the GARCH effect results in a more widespread than OLS. It suggests that the traditional market model should be sharpened for conditional heteroscedasticity when calculating abnormal returns during the COVID-19 outbreaks.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: covid-19 indonesia capital market garch volatility
Subjects: H Social Sciences > H Social Sciences (General)
Depositing User: EAI Editor IV
Date Deposited: 17 May 2021 08:15
Last Modified: 17 May 2021 08:15
URI: https://eprints.eudl.eu/id/eprint/3254

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