
<strong>Paper Title</strong><br>
Analysis of The Effect of Covid-19 on The Stock Market and Volatility Spillover Effect<br>
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<strong>Abstract</strong><br>
This study investigates the effect of economic policy uncertainty (EPU) and official announcements regarding
new cases of infection and death ratio from (COVID-19) on the financial markets volatility index (VIX) in China, Romanian,
and the US. Our sample covers the period January 22, 2020 – April 30, 2020. And study the effect of volatility spillover of
stock returns among the stock markets of China, Romanian, and the US. BEKK-GARCH and DCC-GARCH models are
used to test the volatility spillover of stock returns among the stock markets. to know the impact of COVID-19 on the
volatility spillover, the sampling period is starting with January 01, 2018, up to April 30, 2020. The sample is split into two
parts; Period1 (Pre-COVID-19, i.e., January 01, 2018, to January 21, 2020) and Period2 (Post-COVID-19, i.e., from January
22, 2020, to April 30, 2020). Our results show that COVID-19 new reported cases don't affect on financial volatility in
China. In Romanian, COVID-19 contributes to a decrease in financial volatility if EPU is used as a control variable. In the
US, COVID-19 contributes to an increase in financial volatility. This result changed if EPU is used as a control variable, the
COVID-19 contributes to a decrease in financial volatility. The results for the BEKK-GARCH model for each pair of stock
markets for pre-and-post- COVID-19 periods. The impacts of the past shocks are positive on the volatility of other stock
markets. also, the impacts of past volatility effects are positive on the volatility of other stock markets. The results for DCCGARCH
for the pairs of stock markets during the pre and post COVID-19 periods. in all cases, the GARCH parameters are
significant, indicating that the volatility transmission is bi-directional between the stock index pairs. Furthermore, the ARCH
parameters are significant for all cases except the pairs of SSEC – BET in post-COVID-19 periods.
Keywords - COVID-19, VIX, EPU, Volatility spillover, BEKK-GARCH, DCC-GARCH