The Asymmetric Effects of Covid-19 and the Russia-Ukraine War on Developed Countries' Stock Markets: Evidence from the GJR-GARCH Model

This study examines the impact of the COVID-19 pandemic and Russia's invasion of Ukraine on the stock markets of France, Canada, the United States and Germany using the GJR-GARCH model.The sample period was February 26, 2020, to December 30, 2023, divided into two sub-periods: the COVID-19 period and the Russia-Ukraine war period.The results of the study show that there was persistent volatility in these markets.In addition, the results of the model applied indicate that the asymmetric term was significant in all the markets analyzed, confirming that bad news, such as the pandemic and the war, had a stronger impact on the conditional variance of returns compared to good news.It was also found that the US and Canadian markets were more affected by the COVID-19 pandemic, while the French and German markets were more affected by Russia's invasion of Ukraine.The results have important implications for international investors in terms of portfolio management and minimizing investment risks in the face of events such as the pandemic and war.