Volatility of and cross-correlation between major international stock indices before and during the COVID-19 pandemic

2021

Master's thesis in Business administration (BE501) Following the arrival of the year 2020, the extraordinary outbreak of the novel coronavirus (COVID-19), which was initially seen as an epidemic, evolved into an all-out pandemic. Consequently, its effects have shaken the global economies and affected countries across the globe. This thesis investigates the relationship between market disturbances across countries and models the recent COVID-19 pandemic’s influence on the volatility and cross-market correlation in six major stock indices: S&P 500, S&P/TSX, DAX, FTSE 100, Nikkei 225 and SSE. We estimated the pandemic effect on market volatility with a univariate GJR-GARCH model, and employed …