Kouamé Marcel Anzian

Analysis of the Effects of the COVID-19 Crisis

An Application to the Phenomenon of Persistence and Asymmetry in Paris Stock Market Volatility

• Broschiertes Buch

Produktbeschreibung

The purpose of this book is to analyse the impact of the COVID-19 crisis on the phenomenon of persistence and asymmetric volatility of the Paris stock market. To do this, we have split our series into two periods before (from 03/01/2017 to 23/01/2020) and during (from 24/01/2020 to 21/10/2021) the COVID-19 crisis based on the appearance of the first case of COVID-19 in France (January 24, 2020). Subsequently, we applied a GARCH model to capture the phenomenon of volatility persistence and the EGARCH and GJR-GARCH models for asymmetric effects. The conclusions of this work led firstly to the confirmation of the increase in the persistence of the volatility of the CAC All-Share and CAC 40 indices and secondly to the appearance of an asymmetry effect in the behavior of volatility. These results imply that unlikely events outside the financial markets produce turbulence and uncertainties that drive the level of volatility to very high peaks following fluctuations in the valuation of financial assets listed on the stock exchange.

Produktdetails

• Verlag: LAP Lambert Academic Publishing
• Seitenzahl: 56
• Erscheinungstermin: 17. August 2022
• Englisch
• Abmessung: 220mm x 150mm x 4mm
• Gewicht: 102g
• ISBN-13: 9786205490884
• ISBN-10: 6205490889
• Artikelnr.: 65693134

Autorenporträt

ANZIAN Kouamé Marcel, Doctoral student in the Faculty of Economic Sciences and Development at the University Alassane Ouattara of Bouaké (Ivory Coast). He is also a member of the ¿¿Laboratoire d¿Analyse et de Modélisation des Politiques Économiques (LAMPE)¿¿. Passionate about economics issues, financial markets and financial econometrics.