Covid-19 health policy intervention and volatility of Asian capital markets

Ahmed Imran Hunjra; Ploypailin Kijkasiwat; Murugesh Arunachalam; Helmi Hammami

doi:10.1016/j.techfore.2021.120840

Covid-19 health policy intervention and volatility of Asian capital markets

Technol Forecast Soc Change. 2021 Aug:169:120840. doi: 10.1016/j.techfore.2021.120840. Epub 2021 May 11.

Authors

Ahmed Imran Hunjra¹, Ploypailin Kijkasiwat², Murugesh Arunachalam³, Helmi Hammami⁴

Affiliations

¹ Department of Business Administration, Ghazi University, Dera Ghazi Khan, Pakistan.
² The Faculty of Business Administration and Accountancy, Khon Kaen University, Thailand.
³ School of Accounting, Finance and Economics, University of Waikato, New Zealand.
⁴ Rennes School of Business, Rennes, France.

Abstract

The Covid-19 pandemic continues to disturb the global economy and capital markets. Governments across the globe relentlessly enact health policy measures to contain coronavirus and undertake economic relief programs to reduce the impacts on their economies. This paper examines the effects of Covid-19 government health measures on the volatility of capital markets in East Asian economies. The study applies Monte Carlo type simulations to determine stock price volatility over the period when health policy measures were implemented. The findings indicate that different health policy measures have affected investors' behavior and caused volatility of stock markets. However, there are country-different impacts on the volatility of these capital markets. The findings provide important insights that are useful when reviewing Covid-19 health policy measures to mitigate the impacts on stock markets.

Keywords: Asian capital markets; Covid-19; Health measures; Monte carlo approach; Stock market volatility.