ASSESSING THE CHANGES IN STATISTICAL PROPERTY OF SELECTED STOCK MARKETS BEHAVIOUR BEFORE AND AFTER COVID-19 PANDEMIC- A CASE STUDY

Jatin TRIVEDI, Cristi SPULBAR, Ramona BIRAU, Elena Loredana MINEA, ,

doi:10.38173/RST.2021.22.2.5:63-72

ASSESSING THE CHANGES IN STATISTICAL PROPERTY OF SELECTED STOCK MARKETS BEHAVIOUR BEFORE AND AFTER COVID-19 PANDEMIC- A CASE STUDY

JA

Jatin TRIVEDI¹

CR

Cristi SPULBAR²

RA

Ramona BIRAU³

EL

Elena Loredana MINEA⁴

⁵

⁶

¹ National Institute of Securities Markets, India, e-mail:

² University of Craiova, Faculty of Economics and Business Administration, Doctoral School of Economic Sciences, Craiova, Romania, e-mail: 3C-tin Brancusi Univ ersity of Targu Jiu, Faculty of Education Science, Law and Public Administration, Romania and University of Craiova, Doctoral School of Economic Sciences, Craiova, Romania , e-mail:

³ University of Craiova, Faculty of Economics and Business Administration Craiova, Romania , e-mail:

⁴ University of Craiova, Faculty of Economics and Business Administration, Doctoral School of Economic

⁵ C-tin Brancusi Univ ersity of Targu Jiu, Faculty of Education Science, Law and Public Administration

⁶ Romania and University of Craiova, Doctoral School of Economic Sciences, Craiova, Romania , e-mail:

Corresponding author: [email protected]

DOI https://doi.org/10.38173/RST.2021.22.2.5:63-72

Received 05 October 2021

Revised -

Accepted 11 November 2021

Available Online 15 November 2021

Abstract

THIS RESEARCH PAPER FOCUSES TO CAPTURE CHANGES IN STATISTICAL PROPERTY BEFORE AND AFTER THE COVID-19 PANDEMIC IMPACT. WE COLLECTED SAMPLE DATA FROM JANUARY 2018 TO SEPTEMBER 2021 FOR TWO RANDOMLY SELECTED STOCK MARKETS, SUCH AS: BELGIUM (BRUSSELS STOCK EXCHANGE) AND INDONESIA (JAKART A STOCK EXCHAN GE). THE MAIN OBJECTIVE OF THIS PAPER IS TO TEST CHANGES IN NORMALITY PATTERN CONSIDERING AUGMENTED DICKER FULLER TEST AND TO DEMONSTRATE CHANGES IN RETURN PLOTS USING LOESS FITNESS, AND WITH ESTIMATED DENSITY PLOTS. THE COVID 19 PANDEMIC HAD A SIGNIFICANT EFFECT ON THE BEHAVIOUR OF STOCK MARKETS, WHILE THE GLOBAL ECONOMY HAS BEEN SEVERELY AFFECTED.

Keywords

GARCH FAMILY MODELS VOLATILITY PATTERNS COVID-19 PANDEMIC LOESS

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