Analysis of US, China and Malaysia stock market index reaction during the COVID-19 pandemic / Fatinn Nur Aliah Mohd Zainal
The presence of this virus was reported by the World Health Organization (WHO) on December 31, 2019. Moving further, the virus was claimed to have spread to additional cities and nations on January 21, 2020. It has affected the global financial market such as the United States, China and Malaysia. T...
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| Format: | Thesis |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://ir.uitm.edu.my/id/eprint/106358/1/106358.pdf |
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| Summary: | The presence of this virus was reported by the World Health Organization (WHO) on December 31, 2019. Moving further, the virus was claimed to have spread to additional cities and nations on January 21, 2020. It has affected the global financial market such as the United States, China and Malaysia. This study was to analyse the stock market index performance namely Standard and Poor's 500 (S&P500), Shanghai Composite Index (SSE) and Kuala Lumpur Composite Index (KLCI) during the virus outbreak COVID-19. The dependent variables used were the stock market indices (S&P500, SSE, KLCI). The independent variables were the Brent Oil Price, the Chicago Board of Exchange (CBOE) Volatility Index and the number of daily COVID-19 cases. The sample observation period consisted of 600 days which was 300 days before the event date where the first case started in the countries (US, China, Malaysia) and 300 days during the pandemic COVID-19. The findings showed that the stock indices were more volatile when the pandemic happened due to the investors' market sentiment. The results also showed that the independent variables Brent Oil tended to affect the stock indices during the COVID-19. Whereas for the other independent variables CBOE volatility index and number of daily COVID-19 cases, only S&P500 had a positive relationship with the daily COVID-19 cases and the volatility index (CBOE VIX) tended not to affect the stock market. The results of this research can help market participants or other researchers to analyse the stock market indices during the COVID-19. |
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