The East-Asian stock markets during the COVID-19 pandemic


  • Antonio Ruiz Porras University of Guadalajara
  • Clemente Hernandez Rodriguez Universidad de Guadalajara

Palabras clave:

Stock Markets, East Asia, COVID-19, ARCH/GARCH Models


We study the dynamics and volatilities of six East Asian stock market indices during the COVID-19 pandemic with five types of ARCH/GARCH models.  The main results are: 1) Most of the volatilities of the series of returns show leverage effects; 2) the FIGARCH(1,1,1) model is the best one to describe the series of returns associated to the Shenzen and Shangai-Composite indices; 3) the GJR-GARCH(1,1,1) model is the best one to describe the series associated to the Hang-Seng, KOSPI and Nikkei-225 indices; and, 4) the APARCH(1,1,1,1) model is the best one to describe the series associated to the Taiwan-Weighted index.  We develop the study with daily indices for the period between January 2nd, 2020 and December 16th, 2021.                                                                    


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20-10-2022 — Actualizado el 14-05-2023


Cómo citar

Ruiz Porras, A., & Hernandez Rodriguez, C. (2023). The East-Asian stock markets during the COVID-19 pandemic. China Global Review, 1(1), 84–107. Recuperado a partir de (Original work published 20 de octubre de 2022)