The aim of this thesis is to analyze the impact of the COVID-19 pandemic on stock markets, with a specific focus on the Ghanaian Stock Exchange. Using the ARIMA and EGARCH models, this study explores the influence of COVID-19 on stock market volatility, based on daily data from the Ghana Stock Exchange Composite Index from October 2018 to August 2020.
Inhaltsverzeichnis (Table of Contents)
- Introduction
- Literature Review
- Methodology
- Specification of the ARIMA Model
- Exponential GARCH Model
- Diagnostics test for the EGARCH
- Results and Discussions
- Estimates of ARIMA Model
- Conclusion
Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)
This study aims to forecast the volatility of the Ghana stock exchange composite index and analyze the presence of asymmetry effects from the filtration of negative news about COVID-19. The study period spans from October 2018 to August 2020. The findings will inform investors' decisions regarding stock market investments in Ghana.
- The impact of COVID-19 on stock market volatility.
- The forecasting of the Ghana stock exchange composite index.
- The asymmetry effects of negative news on stock volatility.
- The implications of the study's findings for investors and policymakers.
- The application of ARIMA and EGARCH models to analyze stock market behavior.
Zusammenfassung der Kapitel (Chapter Summaries)
- Introduction: This chapter introduces the study's focus on the impact of COVID-19 on the Ghana stock exchange composite index. It highlights the global economic disruptions caused by the pandemic and discusses the containment measures implemented in Ghana.
- Literature Review: This chapter examines existing research on the impact of the COVID-19 pandemic on economies worldwide. It discusses the contraction of the global economy and the effects on industries and stock markets. The chapter cites studies on the impact of COVID-19 on crude oil prices and the US stock market volatility.
- Methodology: This chapter outlines the methodology used in the study. It includes details about the specification of the ARIMA model, the Exponential GARCH model, and the diagnostics test for the EGARCH.
- Results and Discussions: This chapter presents the estimates of the ARIMA model. The chapter will likely discuss the results of the analysis, focusing on the impact of COVID-19 on stock market volatility and the forecast of the Ghana stock exchange composite index.
Schlüsselwörter (Keywords)
The study focuses on the impact of COVID-19 on stock market volatility, specifically analyzing the Ghana stock exchange composite index. It employs the ARIMA and EGARCH models to examine the effects of negative news and forecast future trends. Key terms include COVID-19, stock exchange, ARIMA, EGARCH, volatility, asymmetry effects, and investment decisions.
- Citation du texte
- Anthony Abaidoo (Auteur), Aminu Osman (Auteur), Justina Antwi-Konadue (Auteur), 2022, COVID-19's Impact on Ghana's Stock Market. Analysis and Predictions with ARIMA and EGARCH Models, Munich, GRIN Verlag, https://www.grin.com/document/1370264
