Asymmetric impact of COVID-19 on Thailand's stock market volatility: an industry group analysis

This study investigates the effect of the COVID-19 outbreak on the industry group index in the Stock Exchange of Thailand (SET). Daily data on confirmed cases and industry group indices were collected from January 1, 2020, to December 30, 2022. Using the EGARCH model, the results indicate that the agricultural, real estate, construction, resource, and service groups responded negatively to the increase in COVID-19 confirmed cases, leading to decreases in the stock returns for these industrial groups. Conversely, the technology group experienced a positive response, with stock returns increasing as the number of confirmed COVID-19 cases rose.