Unleashing the Pandemic Volatility: A Glimpse into the Stock Market Performance of Developed Economies During COVID-19

The COVID-19 pandemic has led to significant financial losses globally, increasing the volatility of financial assets. To address this issue, this study models the stock market returns volatility of developed economies during the pandemic using the GJR-GARCH (1, 1) family. The dataset includes stock returns from 01-July-2019 to 18-November-2020, divided into two subsets: before and during the COVID-19 crisis. Empirical results reveal the presence of volatility and leverage effects, as well as excess kurtosis indicating leptokurtic phenomena in all stock indices returns. During the COVID-19 crisis, developed stock markets showed negative returns, increased volatility persistence, leptokurtic phenomena, and leverage effect. This study provides insight for global stock market investors regarding financial portfolio construction during crisis times.