The Impact of the Coronavirus Pandemic on Financial Markets Returns - A Study of a Sample of Middle Eastern and North African Countries Using the GJR GARCH Model

Abstract

This study aims to examine the impact of the Corona virus pandemic on the financial markets returns of the Middle East and North Africa countries for the UAE (DFMGI), Bahrain (BAX), Jordan (AMGNRLX), Egypt (EGX30), and Tunisia (TUNINDEX) from the period January 29, 2020 to June 16, 2022 using the GJR GARCH model. The results of the GJR-GARCH models show that the Corona virus has a significant positive impact on stock market volatility in three out of five of the studied countries (i.e. Bahrain, Tunisia, Jordan), but its impact is small in the UAE and especially Egypt.