Version 1
: Received: 31 January 2024 / Approved: 1 February 2024 / Online: 2 February 2024 (06:03:48 CET)
How to cite:
Trabelsi, E. Covid-19 and Uncertainty Effects on Tunisian Stock Market Volatility: Insights from GJR-GARCH, Wavelet Coherence, and ARDL. Preprints2024, 2024020028. https://doi.org/10.20944/preprints202402.0028.v1
Trabelsi, E. Covid-19 and Uncertainty Effects on Tunisian Stock Market Volatility: Insights from GJR-GARCH, Wavelet Coherence, and ARDL. Preprints 2024, 2024020028. https://doi.org/10.20944/preprints202402.0028.v1
Trabelsi, E. Covid-19 and Uncertainty Effects on Tunisian Stock Market Volatility: Insights from GJR-GARCH, Wavelet Coherence, and ARDL. Preprints2024, 2024020028. https://doi.org/10.20944/preprints202402.0028.v1
APA Style
Trabelsi, E. (2024). Covid-19 and Uncertainty Effects on Tunisian Stock Market Volatility: Insights from GJR-GARCH, Wavelet Coherence, and ARDL. Preprints. https://doi.org/10.20944/preprints202402.0028.v1
Chicago/Turabian Style
Trabelsi, E. 2024 "Covid-19 and Uncertainty Effects on Tunisian Stock Market Volatility: Insights from GJR-GARCH, Wavelet Coherence, and ARDL" Preprints. https://doi.org/10.20944/preprints202402.0028.v1
Abstract
This study rigorously investigates the impact of COVID-19 on the Tunisian stock market volatility. The investigation spans from January 2020 to December 2022, employing a GJR-GARCH model, bias-corrected wavelet analysis, and an ARDL approach. Specific variables related to health measures and government interventions are incorporated. The findings highlight that confirmed and death cases contribute significantly to the escalation in TUNINDEX volatility. Interestingly, certain indices related to government interventions exhibit no substantial impact on volatility, indicating a weak resilience of the Tunisian stock market amidst the challenges posed by COVID-19. However, the application of the bias-corrected wavelet analysis yields more nuanced outcomes in terms of correlations of volatility to the same metrics. Notably, the study recognizes the potential influence of uncertainties linked to the duration of lockdowns on financial market volatility. The positive and long-term impact on volatility of the US Equity Market uncertainty and VIX is evident through the Autoregressive Distributed Lag Model (ARDL), whereas economic policy uncertainty shows no significant impact. This indicates a potential vulnerability of the Tunisian stock market to future shocks, emphasizing the need for government efforts to instill investor confidence. This comprehensive exploration contributes to our understanding of the dynamics between the pandemic’ metrics, government interventions, and financial market stability. Our findings provide valuable insights for implementing risk management strategies amid the COVID‐19 crisis.
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
