Browsing Newly Added Theses by Author "Khan, Md Nafeesur Rahman"
Emerging Market Indexes During the Pandemic PeriodKhan, Md Nafeesur Rahman; Faculty of Business ProgramsThe thesis empirically examines and analyzes an unusual episode in the behavior of emerging indexes. Specifically, it investigates the sensitivity of high-frequency five-minute interval index price movements to COVID-19-related news announcements and macroeconomic news announcements during the pandemic. The author hypothesized that COVID-19 infection cases, deaths, vaccination counts, major vaccine development announcements, and government response measures related to COVID significantly impact the emerging equity markets’ returns and volatility, namely Argentine, Brazilian, Chilean, and Mexican equity indexes. They also hypothesized an asymmetric effect of macroeconomic news before and during the pandemic. Findings reveal that pandemic cases, vaccination, and death-related news announcements exhibit a statistically significant effect on intraday volatility but not so much on returns. At the same time, government response measures have a more pronounced and significant effect on return and volatility. Additionally, vaccine research & development and approval news increase intraday volatility. Findings also suggest that very few macroeconomic news indicators exhibit statistically significant asymmetric interaction before and during the pandemic, and fewer US macroeconomic news indicators are significant during the pandemic than before. The results support previous findings that US macroeconomic news announcements significantly impact Canadian and Mexican equity indexes, suggesting a linkage between them with US financial markets.