THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE
This study investigates the volatility spillover effect of the COVID-19 pandemic on investor sentiment for the Johannesburg Stock Exchange (JSE). The study analyses how new cases and deaths affected the sentiment of participants in the stock market during the pandemic. It uses the South African Vola...
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| Format: | Article |
| Language: | English |
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University of Banja Luka, Faculty of Economics
2024-12-01
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| Series: | Acta Economica |
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| Online Access: | https://www.ae.ef.unibl.org/index.php/ae/article/view/495 |
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| _version_ | 1841548012784975872 |
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| author | Kago Matlhaku Sune Ferreira-Schenk |
| author_facet | Kago Matlhaku Sune Ferreira-Schenk |
| author_sort | Kago Matlhaku |
| collection | DOAJ |
| description | This study investigates the volatility spillover effect of the COVID-19 pandemic on investor sentiment for the Johannesburg Stock Exchange (JSE). The study analyses how new cases and deaths affected the sentiment of participants in the stock market during the pandemic. It uses the South African Volatility Index (SAVI) as the main measure of market sentiment and the returns of the JSE main index. Daily data on the pandemic from 03/01/2020 to 19/03/2023 was obtained from the World Health Organisation (WHO) while the rest of the financial data was obtained from Yahoo Finance. The methods used are the Baba, Engle, Kraft and Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate GARCH with the mean equations as a Vector Auto-Regressive (VAR) system. The results show that the pandemic had a spillover effect on investor sentiment. This spillover was asymmetric implying that negative news had more effect than positive news. Furthermore, new cases had more spillover effects on investor sentiment than new deaths recorded. The study recommends that investors should trade cautiously during pandemics considering the increased volatility and that policymakers need to minimise contagion effect from the virus to financial markets by calming down the markets or even halting trading temporarily.
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| format | Article |
| id | doaj-art-daa476c1170b4061a65935dc202357ed |
| institution | Kabale University |
| issn | 1512-858X 2232-738X |
| language | English |
| publishDate | 2024-12-01 |
| publisher | University of Banja Luka, Faculty of Economics |
| record_format | Article |
| series | Acta Economica |
| spelling | doaj-art-daa476c1170b4061a65935dc202357ed2025-01-10T14:15:06ZengUniversity of Banja Luka, Faculty of EconomicsActa Economica1512-858X2232-738X2024-12-01224110.7251/ACE2441131MTHE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGEKago Matlhaku0https://orcid.org/0000-0003-1386-0168Sune Ferreira-Schenk1https://orcid.org/0000-0002-3112-4132North-West University, Vanderbijlpark, South AfricaNorth-West University, Vanderbijlpark, South AfricaThis study investigates the volatility spillover effect of the COVID-19 pandemic on investor sentiment for the Johannesburg Stock Exchange (JSE). The study analyses how new cases and deaths affected the sentiment of participants in the stock market during the pandemic. It uses the South African Volatility Index (SAVI) as the main measure of market sentiment and the returns of the JSE main index. Daily data on the pandemic from 03/01/2020 to 19/03/2023 was obtained from the World Health Organisation (WHO) while the rest of the financial data was obtained from Yahoo Finance. The methods used are the Baba, Engle, Kraft and Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate GARCH with the mean equations as a Vector Auto-Regressive (VAR) system. The results show that the pandemic had a spillover effect on investor sentiment. This spillover was asymmetric implying that negative news had more effect than positive news. Furthermore, new cases had more spillover effects on investor sentiment than new deaths recorded. The study recommends that investors should trade cautiously during pandemics considering the increased volatility and that policymakers need to minimise contagion effect from the virus to financial markets by calming down the markets or even halting trading temporarily. https://www.ae.ef.unibl.org/index.php/ae/article/view/495COVID-19volatility spilloverBEKK garchDCC garchinvestor sentiment |
| spellingShingle | Kago Matlhaku Sune Ferreira-Schenk THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE Acta Economica COVID-19 volatility spillover BEKK garch DCC garch investor sentiment |
| title | THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE |
| title_full | THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE |
| title_fullStr | THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE |
| title_full_unstemmed | THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE |
| title_short | THE VOLATILITY SPILLOVER EFFECT OF COVID-19 ON INVESTOR SENTIMENT IN JOHANNESBURG STOCK EXCHANGE |
| title_sort | volatility spillover effect of covid 19 on investor sentiment in johannesburg stock exchange |
| topic | COVID-19 volatility spillover BEKK garch DCC garch investor sentiment |
| url | https://www.ae.ef.unibl.org/index.php/ae/article/view/495 |
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