Investigating the effects of COVID-19 pandemic on Kuwait stock return: (A) symmetric time-varying evaluation
Journal of Financial Reporting and Accounting
ISSN: 1985-2517
Article publication date: 13 June 2023
Abstract
Purpose
This study aims to explore the long- and short-run effects of daily confirmed cases of COVID-19 (Ct) on daily stock returns (Rt) for Kuwait. This is the first study that was applied to the case of Kuwait.
Design/methodology/approach
We employed the autoregressive distributed lag (ARDL) model of Pesaran et al. (2001) and the nonlinear autoregressive distributed lag (NARDL) model of Shin et al. (2001) for daily data over the period March 2020 to August 2021.
Findings
The findings first document the existence of a long-run relationship (cointegration). Second, the findings of the ARDL model show a significant positive long-run effect of daily confirmed cases of COVID-19 (Ct) on daily stock returns (Rt) but a significant negative short-run effect. As for the NARDL model, the findings showed that the increase and decrease of daily confirmed cases of COVID-19
Originality/value
To the best of the author’s knowledge, this is the first study that was applied to the case of Kuwait.
Keywords
Acknowledgements
The author is indebted to the editor and the anonymous referees for their constructive comments and helpful suggestions. In addition, the author would like to express his sincere gratitude to Gulf University for Science and Technology, Kuwait for supporting and funding this work (Research Grant of 2020-21, Case #222383). Special appreciation to Bashayer Al-Ghanim for the valuable research and technical assistance extended to the author.
Funding: The research leading to these results received funding from Gulf University for Science and Technology - Kuwait, under Grant Agreement No. [Research Grant of 2020-21, Case #222383].
Conflicts of interests: The authors have no competing interests to declare.
Citation
Kisswani, K.M. (2023), "Investigating the effects of COVID-19 pandemic on Kuwait stock return: (A) symmetric time-varying evaluation", Journal of Financial Reporting and Accounting, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/JFRA-03-2023-0131
Publisher
:Emerald Publishing Limited
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