Stock market volatility response to COVID-19: Evidence from Thailand

Su hasinee Suwannapak; Su achai Chancha a A icle S ock ma ke ola ili y esponse o COVID-19: E idence om Thailand Jou nal o Risk and Financial Managemen P o ided in Coope a ion wi h: MDPI – Mul idisciplina y Digi al Publishing Ins i u e, Basel Sugges ed Ci a ion: Su hasinee Suwannapak; Su achai Chancha a (2022) : S ock ma ke ola ili y esponse o COVID-19: E idence om Thailand, Jou nal o Risk and Financial Managemen , ISSN 1911-8074, MDPI, Basel, Vol. 15, Iss. 12, pp. 1-9, h ps://doi.o g/10.3390/j m15120592 This Ve sion is a ailable a : h ps://hdl.handle.ne /10419/275069 S anda d-Nu zungsbedingungen: Die Dokumen e au EconS o dü en zu eigenen wissenscha lichen Zwecken und zum P i a geb auch gespeiche und kopie we den. Sie dü en die Dokumen e nich ü ö en liche ode komme zielle Zwecke e iel äl igen, ö en lich auss ellen, ö en lich zugänglich machen, e eiben ode ande wei ig nu zen. 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Jou nal o Risk and Financial Managemen 15: 592. h ps:// doi.o g/10.3390/j m15120592 Academic Edi o s: Gulaseka an Rajagu u and Shigeyuki Hamo i Recei ed: 21 Oc obe 2022 Accep ed: 5 Decembe 2022 Published: 9 Decembe 2022 Publishe ’s No e: MDPI s ays neu al wi h ega d o ju isdic ional claims in published maps and ins i u ional a il- ia ions. Copy igh : © 2022 by he au ho s. Licensee MDPI, Basel, Swi ze land. This a icle is an open access a icle dis ibu ed unde he e ms and condi ions o he C ea i e Commons A ibu ion (CC BY) license (h ps:// c ea i ecommons.o g/licenses/by/ 4.0/). Jou nal o Risk and Financial Managemen A icle S ock Ma ke Vola ili y Response o COVID-19: E idence om Thailand Su hasinee Suwannapak and Su achai Chancha a * Facul y o Business Adminis a ion and Accoun ancy, Khon Kaen Uni e si y, Khon Kaen 40002, Thailand *Co espondence: [email p o ec ed] Abs ac : This s udy in es iga ed how s ock ma ke ola ili y esponded dynamically o unexpec ed changes du ing he COVID-19 pandemic and he esul ing unce ain y in Thailand. Using a mul i a i- a e GARCH-BEKK model, he condi ional ola ili y dynamics, he in e linkages, and he condi ional co ela ions be ween s ock ma ke ola ili y and he inc easing a e o COVID-19 in ec ion cases a e examined. The inc eased a e o COVID-19 in ec ions impac s s ock e u ns de imen ally; in Thailand, s ock ma ke ola ili y esponses a e asymme ic in he inc ease and decline si ua ions. This dispa i y is due o he un a ou able impac o he pandemic’s ola ili y. Finally, we acknowledge ha di ec ional ola ili y spillo e e ec s exis be ween he inc ease in COVID-19 cases and s ock e u ns, sugges ing ha ime- a ying condi ional co ela ions occu and a e gene ally posi i e. Using his s udy’s esul s, go e nmen s and inancial ins i u ions can de ise s a egies o subsequen ecessions o inancial c ises. Fu he mo e, in es men manage s can manage po olio isk and o ecas pa e ns in s ock ma ke ola ili y. Academics can apply ou me hodology in u u e in es men end s udies o analyse addi ional a iables in he economic sys em, such as he alue o he US dolla , he p ice o commodi ies, o GDP. Keywo ds: BEKK-GARCH; COVID-19; s ock e u n; ola ili y JEL Classi ica ion: C32; C58; G11; G12 1. In oduc ion The li e a u e e eals ha nume ous ypes o e en s, including wa s (Hudson and U quha 2015), disas e s (Pagno oni e al. 2022), spo s (Šk inja i´c and Ba iši´c 2019), news (Al-Thaqeb 2018), poli ical e en s (He old e al. 2021), and o he s, such as chemical acciden s (Makino 2016), can impac s ock ma ke pe o mance. In addi ion, pandemic diseases such as se e e acu e espi a o y synd ome (SARS) and he Ebola i us disease (EVD) (Iche and Ma inˇc 2018) may ha e an impac on s ock ma ke gains. Howe e , he e is limi ed esea ch on he ex en o which pandemic diseases impac s ock e u ns. The e has been a conside able inc ease in new COVID-19 cases epo ed globally, including I aly and Sou h Ko ea, since Feb ua y 2020, wi h cases soon o e aking China, he ini ial epicen e o he pandemic. The Wo ld Heal h O ganiza ion (WHO) designa ed he new i us as a public heal h eme gency o global conce n on 30 Janua y 2020 and COVID-19 was o mally decla ed a pandemic on 11 Ma ch 2020. Since hen, go e nmen s ha e implemen ed he highes le el o con ainmen measu es. Fo ins ance, mos na ions ha e announced mo emen con ol measu es wi hin hei bo de s, such as he closu e o amusemen pa ks, he suspension o comme cial and nonp o i ope a ions, he closu e o all le els o educa ion, e c. Fo eigne s’ igh o c oss bo de s is cu en ly subjec o a numbe o se e e equi emen s. Howe e , he e would s ill be mo e han 30 million COVID-19 cases epo ed by he end o Sep embe 2020 and close o 100,000 a ali ies wo ldwide. The COVID-19 i us is con inuously sp eading, which makes i di icul o he go e nmen ’s con ainmen policies—which mos ly include a a el ban and a na ionwide o local lockdown— o be e ec i e. The e ec s o his pandemic a e unimaginably se e e. J. Risk Financial Manag. 2022,15, 592. h ps://doi.o g/10.3390/j m15120592 h ps://www.mdpi.com/jou nal/j m J. Risk Financial Manag. 2022,15, 592 2 o 9 Since he s a o he pandemic, conside able li e a u e examining he ela ionship be ween COVID-19 and s ock ma ke s has been published (Ahma and del Val 2020; Al-Awadhi e al. 2020 ;Goodell and Huynh 2020;Kanno 2021;X. Liu e al. 2022;Z. Liu e al. 2021;Shehzad e al. 2020;Sun e al. 2021;Xu 2021). Mos s udies ha e ocused on he ela ionships be ween COVID-19 and s ock ma ke s in China and de eloped ma ke s, excep o a ew ha ocus on eme ging ma ke s (Dju o ic e al. 2020;Gongkhonkwa 2021; Ha jo o and Rossi 2021;Jindal and Gup a 2022;Sadiq e al. 2021;Topcu and Gulal 2020), and de eloped and eme ging coun ies (Ash a 2020;Ce an es e al. 2022;E dem 2020; Feyen e al. 2021;M. Liu e al. 2020;Oko ie and Lin 2021;Sami as e al. 2022;Vo e al. 2022; Vuong e al. 2022). This s udy ocused on analysing he e ec o COVID-19 on he Thai s ock ma ke . The COVID-19 ou b eak had a subs an ial economic impac on Thailand in 2020. The coun y’s GDP was expec ed o decline by mo e han 6% by 2020, and many wo ke s, no ably hose in he ou ism indus y, we e unemployed (Wo ld Bank 2022). Companies lis ed on he S ock Exchange o Thailand (SET) epo ed a 53% decline in ne p o i s in 2020 due o he pandemic. Fu he mo e, he anspo a ion and logis ics sec o ’s ne ea nings e oded he mos , owing o signi ican o ganisa ional losses. Con e sely, he ope a ing p o i o he ag ibusiness, ood and be e age, pe sonal p oduc s and pha maceu icals, and packaging indus ies inc eased (SET 2021). The Wo ld Bank p edic ed ha he pandemic would ha e a signi ican impac on Thailand’s economy (i sh ank by a leas 5% in 2020) and ha he GDP ou pu would ake a ew yea s o e u n o p e-COVID-19 le els (Wo ld Bank 2022). The SET index plunged by almos 10% because o he ea o COVID-19. The SET ansac ions amoun ed o THB 59.677 billion, wi h an index high o 1065.67 and a low o 969.08 in Ma ch 2020 (SET 2021). The SET has been he mos liquid s ock exchange in ASEAN since 2012, wi h an a e age daily ading alue o THB 93.9 billion (app ox. USD 2.81 billion) and he la ges und- aising enue in ASEAN du ing 2014–2019. Mo eo e , he numbe o Thai-lis ed companies in e na ionally ecognised o ou s anding sus ainabili y pe o mance con inually ose amid he socially esponsible in es ing boom. Addi ionally, he SET o e s a di e se po olio o a ac i e p oduc s ha add alue and di e si y in es men choices o clien s (SET 2021). Following Bloombe g’s s udy, which assessed 17 eme ging ma ke s and measu ed hei ou look based on 10 indica o s o economic pe o mance, Thailand eme ged on op, pa ly because o i s subs an ial o eign ese es and a high po en ial o po olio in low. Recen s udies on he Thai s ock ma ke indica e ha Asia is one o he mos a ac i e eme ging ma ke s. Howe e , ew s udies ha e been conduc ed o assess he impac o he pandemic on he Thai capi al ma ke . Fo example, Panyagome h (2020) s udied he impac o he unp eceden ed pandemic on he s ock ma ke in e ms o bo h p ice eac ions and ola ili y. Howe e , he examined only 46 Thai s ock ma ke indexes in he p e-COVID-19 ime ame om 3 Janua y 2019 o 1 Ap il 2020, excluding he Omic on a ia ion. This s udy examines he i s pandemic ou b eak and he accina ion pe iod om Janua y 2021 o Decembe 2021. Gongkhonkwa (2021) in es iga ed whe he he ola ili y o ade alue was mo e in luenced by new, con i med, and a al COVID-19 cases du ing he i s pandemic han du ing he second pandemic pe iod. The s udy e eals ha he numbe o COVID-19 inciden s has a mo e signi ican impac on ade alue in he sho e m han in he in e media e and long uns. Fu he mo e, he ise in he numbe o e i ied COVID-19 cases was e ealed o signi ican ly channel he conce ns and unce ain ies a ound he pandemic, inducing unan icipa ed d ops in Asian s ock ma ke s, pa icula ly Thailand. This s udy in es iga es how s ock e u ns espond o he unce ain y su ounding he pandemic and he unexpec ed changes in he numbe o cases. This s udy’s indings can assis in es o s and policymake s in di e si ying hei po olio in es men s du ing he pandemic, which is pa icula ly impo an ollowing he Wo ld Bank’s p edic ion ha he pandemic will ha e a la ge impac on Thailand’s economy. In 2020, he Thai GDP sh ank by a leas 5%, and a eco e y ime o mo e han wo yea s is expec ed. Wi hou such J. Risk Financial Manag. 2022,15, 592 3 o 9 di e si ica ion, he nex wa e o pandemic shocks o o he ou b eaks may igge ano he o a mo e p o ac ed ecession. The e o e, his s udy’s implica ions a e c ucial o s ock ma ke in es o s and inancial egula o s o unde s and and p edic he beha iou o s ock ma ke e u ns du ing pandemics. This s udy adds o he body o knowledge on he dynamic esponses o s ock e u ns o unp edic ed luc ua ions in he numbe o people in ec ed wi h COVID-19 and o he ambigui y connec ed wi h he pandemic by employing da a om Janua y 2020 o Janua y 2022 in he con ex o a mul i a ia e BEKK-GARCH model. X. Liu e al. (2022) s a ed ha he BEKK-GARCH model is used o ex ac he in e ac ions be ween inancial ime se ies. Mo eo e , he ollowing dis inguishing ad an age o BEKK-GARCH is no able: he posi i e de ini eness o he a iance–co a iance ma ix and i s e iciency in educing pa ame e s o es ima ion (Chen e al. 2020). To assess he pandemic’s in luence on he SET, his s udy de e mines he signi ican posi i e and nega i e e ec s on he Thai s ock ma ke . The cu en s udy also p o ides sugges ions o in es o s ega ding di e si ying hei in es men s a egies and o e s policymake s ways o manage s ock ma ke ola ili y. Global c ises in ecen yea s, including he SARS epidemic, na u al ca as ophes, economic and inancial c ises, and he mos ecen COVID-19 pandemic ola ili y, signal impending ecessions o c ises o in es o s deciding whe he o in es in Thailand’s s ock ma ke . 2. Li e a u e Re iew Since he s a o he pandemic, a signi ican body o li e a u e has examined he ela ionship be ween COVID-19 and economic pe o mance. In a ecen pionee ing s udy, Goodell (2020) p o ides a ho ough li e a u e e iew on he economic e ec s o na u al disas e s, such as nuclea wa s, clima e change, o localised disas e s. He emphasises ha he COVID-19 pandemic is causing unp eceden ed le els o de as a ing global economic ha m. He no es ha he pandemic may ha e wide- anging e ec s on he inancial sec o , including s ock ma ke s, banking, and insu ance. His indings a e consis en wi h he indings o Baek e al. (2020), who asse ha ola ili y is in luenced by pa icula economic indica o s and is sensi i e o COVID-19 news. Bo h de imen al and ad an ageous in o ma- ion ega ding COVID-19 is impo an , ye he bad news is mo e in luen ial, which sugges s he e is a nega i i y bias. Howe e , Bou i e al. (2021) s udied he ema kable change in he s uc u e and ime- a ying pa e ns o e u n connec i i y ac oss se e al asse s (gold, c ude oil, global s ocks, cu encies, and bonds) in he a e ma h o he COVID-19 ou b eak. Thei indings demons a e he apid and dis up i e consequences o he COVID-19 epidemic on he inancial ma ke s. Mo eo e , Zhang and Hamo i (2021) in es iga ed he c ude oil ma ke s and s ock ma ke ’s e u n and ola ili y spillo e du ing he COVID-19 pandemic in 2020. Acco ding o hei esea ch, he impac o he COVID-19 pandemic on inancial ma ke s is unp edic able in he sho and long e m. To elabo a e, e u n spillo e happens mos ly in he nea e m, bu ola ili y spillo e occu s p ima ily in he long un. Li e a u e on COVID-19 and he inancial ma ke s has been published in andem wi h he COVID-19 ou b eak since Ma ch 2020. Goodell and Huynh (2020) examined he abno mal e u ns o 49 indus ial sec o s om 9 Decembe 2019 o 28 Feb ua y 2020 in e ms o s ock ma ke s. The asymme ic GARCH model was used by Shehzad e al. (2020) o de e mine ha COVID-19 signi ican ly lowe ed ma ke e u ns in he US and Japan. The ise in COVID-19 cases has had a de imen al impac on he s ock ma ke as a whole, acco ding o Xu (2021), who examined he dynamic esponses o s ock e u ns o unexpec ed changes in COVID-19 cases and he unce ain ies su ounding he pandemic in Canada and he US. Ahma and del Val (2020) sough o o ecas he nea - e m dis ibu ion o con i med cases o COVID-19 and IBEX in Spain. The Su eARIMA app oach was p e e ed o e ARIMA o calcula ing he daily o ecas s o con i med COVID-19 cases and he IBEX in Spain, which can be in e ed om he esul s o o ecas ing me hods. As he pandemic wo sens and sp eads o e e y coun y in he wo ld, he e is an inc easing concen a ion o s udies on quan i ying he de imen al impac s o COVID-19 on he s ock ma ke . Using da a on s ock ma ke e u ns and daily COVID-19 con i med cases J. Risk Financial Manag. 2022,15, 592 4 o 9 and dea hs om 64 na ions, Ash a (2020) no ed ha he s ock ma ke s eac ed un a ou ably o he ise in COVID-19 con i med cases. A simila conclusion was documen ed by Oko ie and Lin (2021), who used de ended mo ing c oss-co ela ion analysis and de ended c oss-co ela ion analysis echniques. To ack he inancial sec o ’s policy esponse o he pandemic ac oss 155 ju isdic ions o e ime, Feyen e al. (2021) de eloped a new global da abase and a amewo k o ca ego ising policy esponses. Thei indings show ha decision make s in weal hie and mo e populous na ions ha e been no iceably mo e esponsi e and ha e implemen ed mo e policy changes. A as e and mo e equen in e en ion is also subs an ially co ela ed wi h membe ship in a mone a y union. Sami as e al. (2022) in es iga ed he pandemic’s e ec s on 51 signi ican s ock ma - ke s, including hose o eme ging and de eloped coun ies. The indings demons a e ha he lockdown and he sp ead o COVID-19 caused an ins an aneous inancial con a- gion. Fu he , Vo e al. (2022) e iewed he impac o he pandemic on ma ke ola ili y in he Asia-Paci ic egion o e he p e ious 25 mon hs. They no ed ha en o cing pan- demic managemen measu es lowe s ma ke ola ili y a he na ional and egional le els. Ce an es e al. (2022) in es iga ed he connec ion be ween panic b ough on by he COVID- 19 pandemic ou b eak and he s ock ma ke s o eme ging and indus ialised economies. O e all, hei indings indica ed ha changes in panic indices b ough on by he COVID-19 pandemic and aw s ock ma ke e u ns a e no signi ican ly co ela ed. 3. Da a and Me hodology We employed da a on he daily COVID-19 in ec ions epo ed in Thailand be ween 13 Janua y 2020 and 31 Decembe 2021. Thailand epo ed i s i s case on 13 Janua y 2020. These da a we e sou ced om publicly a ailable WHO da a. We used he SET index om Da aS eam o calcula e he e u ns on s ocks in Thailand. Figu e 1no es he inc ease in he numbe o people in ec ed wi h he i us and hei s ock e u ns. The desc ip i e s a is ics a e shown in Table 1, which p esen s summa y in o ma ion on s ock ma ke e u ns and he inc eased COVID-19 case a es. The a e age e u ns and g ow h in COVID-19 cases a e bo h posi i e. J. Risk Financial Manag. 2022, 15, x FOR PEER REVIEW 5 o 10 −10 0 10 20 30 −0.12 −0.08 −0.04 0.00 0.04 0.08 M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12 M1 M2 M3 M4 M5 M6 M7 M8 M9 M10 M11 M12 2020 2021 COVID-19 cases g ow h a e S ock e u n ( igh axis) Figu e 1. COVID-19 cases’ g ow h a e and s ock e u n. Using he condi ional co a iance ma ix, we analysed he ansmission mechanisms o ola ili y be ween Thai s ock ma ke e u ns and he pace o inc ease in he numbe o people in ec ed wi h COVID-19. Acco dingly, we speci ied he condi ional mean equa ion in a s aigh o wa d me hodological speci ica ion, omi ing exogenous a iables ha could al e he ola ili y o he s ock e u ns unde conside a ion. The speci ica ions a e as ollows: 1 1 2 1 R R Case     −− = + + + (1) whe e R and Case ep esen a 2 × 1 ec o o daily e u ns o he SET index and he g ow h a e o COVID-19 cases, espec i ely, and  indica es a 2 × 1 ec o o cons an s. Gi en he a ailable in o ma ion se , 11 12 21 22    =  is a 2 × 2 ma ix o coe icien s assessing he in luences o i s own lagged and c oss-a e age sp eads be ween wo se ies, and  is a ec o o e o s wi h a condi ional co a iance ma ix H . We employed Engle and K one ’s (1995) bi a ia e BEKK-GARCH app oach o sol e he condi ional a iance–co a iance equa ion. A mul i a ia e BEKK-GARCH model was es ablished o examine he co ela ions be ween many a iables ac oss ime wi h a ying complexi ies. The BEKK-GARCH me hod ends o be mo e p o i able han he GARCH model in analyses o he e ec s o he ola ili y o s ock e u ns. The BEKK speci ica ion s ands ou because i places no limi a ions on how he a iables’ co ela ion s uc u es can be o ganised (Va da and Aydogan 2019). This model p esen s he es ima ed a iance equa ion: ' ' ' ' 1 1 1 H CC A A B H B  − − − = + + (2) whe e C, Ai, and Bi a e ma ices o 2 × 2, and he dis ibu ion o C is iangula . The diag- onal BEKK-GARCH p o ides a sa is ac o y ou come, as does a ma ix o pa ame e s o he wo a iables. Figu e 1. COVID-19 cases’ g ow h a e and s ock e u n. J. Risk Financial Manag. 2022,15, 592 5 o 9 Table 1. Desc ip i e s a is ics. Va iables Mean S d. De . Skewness Ku osis S ock e u ns 0.0001 0.0119 −2.3256 30.2056 G ow h a e o COVID-19 cases 0.2953 1.7660 5.5451 51.9777 Fu he mo e, he inc ease in COVID-19 cases had a highe deg ee o i egula i y han ma ke e u ns, as de e mined by a s anda d de ia ion o 1.7660. S ock e u ns we e nega i ely skewed, indica ing a le -skewed dis ibu ion. By con as , an inc ease in cases, which shows posi i e-skew dis ibu ions, is he in e se. They a e bo h lep oku ic, wi h he o e all inc ease a e in cases demons a ing mo e excess ku osis. We also employed augmen ed Dickey–Fulle and Phillips–Pe on uni oo es s, which e ealed ha he e u n se ies was s able. The esul s e ealed a uni oo hypo hesis ejec ion a he 1% signi icance le el o bo h se ies. Using he condi ional co a iance ma ix, we analysed he ansmission mechanisms o ola ili y be ween Thai s ock ma ke e u ns and he pace o inc ease in he numbe o people in ec ed wi h COVID-19. Acco dingly, we speci ied he condi ional mean equa ion in a s aigh o wa d me hodological speci ica ion, omi ing exogenous a iables ha could al e he ola ili y o he s ock e u ns unde conside a ion. The speci ica ions a e as ollows: R =µ+φ1R −1+φ2Case −1+ε (1) whe e Rand Case ep esen a 2 × 1 ec o o daily e u ns o he SET index and he g ow h a e o COVID-19 cases, espec i ely, and µ indica es a 2 × 1 ec o o cons an s. Gi en he a ailable in o ma ion se , φ=φ11 φ12 φ21 φ22 is a 2 × 2 ma ix o coe icien s assessing he in luences o i s own lagged and c oss-a e age sp eads be ween wo se ies, and ε is a ec o o e o s wi h a condi ional co a iance ma ix H . We employed Engle and K one ’s (1995) bi a ia e BEKK-GARCH app oach o sol e he condi ional a iance–co a iance equa ion. A mul i a ia e BEKK-GARCH model was es ablished o examine he co ela ions be ween many a iables ac oss ime wi h a ying complexi ies. The BEKK-GARCH me hod ends o be mo e p o i able han he GARCH model in analyses o he e ec s o he ola ili y o s ock e u ns. The BEKK speci ica ion s ands ou because i places no limi a ions on how he a iables’ co ela ion s uc u es can be o ganised (Va da and Aydogan 2019). This model p esen s he es ima ed a iance equa ion: H =C0C+A0ε −1ε0 −1A+B0H −1B(2) whe e C,A i , and B i a e ma ices o 2 × 2, and he dis ibu ion o Cis iangula . The diagonal BEKK-GARCH p o ides a sa is ac o y ou come, as does a ma ix o pa ame e s o he wo a iables. We employed he quasi-maximum likelihood echnique using a combina ion o he con en ional g adien -sea ch algo i hm and he simplex algo i hm o es ima e all he model pa ame e s o he VAR-BEKK-GARCH speci ica ion ( µ1 , φ ,C,A,B). The condi ional log-likelihood unc ion L(θ)is symbolised by he ollowing: L(θ) = −Tln(2π)−1 2 T ∑ =1 [ln|H( )|+ε (θ)0H0 ε (θ)] (3) whe e θ ep esen s he pa ame e o be es ima ed wi h a sample o size T. 4. Empi ical Resul s The empi ical esul s indica e ha he inc ease in he a e o people in ec ed wi h COVID-19 had a de imen al impac on s ock e u ns in gene al. Thailand’s s ock ma ke ola ili y esponses we e no ed o be asymme ic in e ms o g ow h and decline. In J. Risk Financial Manag. 2022,15, 592 6 o 9 addi ion, di ec ional ola ili y spillo e e ec s we e no ed be ween he g ow h a e o he pandemic examples and s ock e u ns, and we sugges ha ime- a ying condi ional co ela ions exis and a e gene ally posi i e. Equa ions (1) and (2) demons a e he diagonal BEKK-GARCH model employed o in es iga e he ola ili y spillo e s o Thailand’s s ock ma ke e u ns and he inc ease in he a e o con i med COVID-19 in ec ions. The indings a e p esen ed in Table 2, which p esen s he ansmissions o s ock ma ke e u ns and he ola ili y be ween Thai s ock ma ke e u ns and he inc ease in COVID-19 cases. The mean equa ion coe icien s ( φ11 and φ22 ) a e nega i e and s a is ically signi ican , implying ha he lagged e u n o each a iable helps o o ecas i s cu en sho - e m e u ns. The e u n spillo e e ec s om he inc ease in COVID-19 cases o s ock e u ns and ice e sa a e cap u ed by he pa ame e s φ12 and φ21 , espec i ely. In e es ingly, he esul s e eal he exis ence o posi i e unila e al e u n spillo e s om he s ock e u ns o he inc eased a e o COVID-19 cases. In o he wo ds, he cu en inc ease in he numbe o people in ec ed wi h COVID-19 was in luenced by he las pe iod’s e u ns in he Thai s ock ma ke . These indings show ha he his o ical inc ease a e in he numbe o indi iduals in ec ed wi h he i us canno be used o o ecas he cu en inc ease a es in he sho un. Table 2. Es ima ion o he diagonal BEKK-GARCH model. Coe icien S d. E o Mean equa ion µ10.0003 0.0002 φ11 −0.0411 * 0.0243 φ12 0.0000 0.0001 µ2−0.0067 0.0052 φ21 1.7785 * 1.0078 φ22 −0.1191 *** 0.0232 Va iance equa ion c11 0.0000 * 0.0000 c12 0.0000 0.0000 c22 0.0018 * 0.0011 a11 0.3507 *** 0.0894 a22 0.2976 *** 0.0772 b11 0.9706 *** 0.0052 a22 0.9707 *** 0.0030 LL 1902.0050 AIC −5.2664 SIC −5.1771 HQ −5.2319 No e: * and *** deno e signi icance a he 10% and 1% le els, espec i ely. Acco ding o Table 2’s a iance equa ion coe icien s o shock ( a11 and a22 ) and ola il- i y spillo e s ( b11 and b22 ), he indings e eal ha lagged ola ili y and lagged shocks ha e a c ucial and bene icial impac on he cu en condi ional ola ili y o s ock ma ke e u ns and he inc ease a es o COVID-19 scena ios in o al. In gene al, he shock spillo e is cons uc i e and conside able, implying ha p e ious shocks ha e a bene icial impac on cu en ola ili y. Fu he mo e, pas ola ili y coe icien s a e g ea e han pas shock coe icien s, e ealing ha p e ious ola ili ies, a he han pas shocks, a e an addi ional c i ical componen o p edic ing cu en ola ili ies. 5. Discussion This s udy shows ha an inc ease in ins ances has a nega i e e ec on he s ock ma ke , which is consis en wi h Jindal and Gup a (2022). As he con i med cases inc eased, s ock e u ns dec eased. Howe e , his s udy applies he diagonal BEKK-GARCH model o u he in es iga e he ola ili y spillo e s o Thailand’s s ock ma ke e u ns and he a e J. Risk Financial Manag. 2022,15, 592 7 o 9 o inc ease in he numbe o people in ec ed wi h COVID-19, and inds ha he inc ease in COVID-19 in ec ions h oughou he las pe iod had no e ec on s ock e u ns in Thailand. This e idence is in line wi h Vo e al. (2022), who ound daily COVID-19 ins ances and ma ke ola ili y o be signi ican ly co ela ed. An inc ease in new COVID-19 cases appea s o be linked o a ise in ma ke ola ili y in Aus alia, China, Japan, New Zealand, and Singapo e. The s udy no es ha hese na ions ha e ecei ed ela i ely low anks in he G een Zone ankings despi e con inuing o ha e a signi ican numbe o new COVID-19 cases. Fu he mo e, di ec ional ola ili y spillo e e ec s exis be ween he inc ease in COVID-19 cases and s ock e u ns, sugges ing ha ime- a ying condi ional co ela ions occu and a e gene ally posi i e. The esul s o his s udy a e signi ican since he e has no been any p e ious esea ch on how s ock ma ke ola ili y changed dynamically in esponse o unan icipa ed e en s du ing he COVID-19 pandemic in Thailand. Ou me hod- ology p o ides signi ican insigh s in o he o ganisa ion o co ela ion s uc u es be ween he a iables wi hou es ic ions. 6. Conclusions In ea ly 2020, he COVID-19 ou b eak caugh global inancial ma ke s by su p ise, esul ing in ex eme unp edic abili y ha a ec ed in es men choices. The pandemic o igi- na ed in China, bu he disease’s s eady global sp ead led o an unhea d-o de e io a ion in ela ions be ween ading na ions. Financial ma ke s became ex emely ola ile, and go e nmen s and cen al banks we e o ced o ake ex ao dina y s imulus measu es o p esen he economy om c ashing. This pape aims o p o ide addi ional insigh s in o he ela ionship be ween he Thai s ock ma ke and he successi e wa es o he COVID-19 pandemic. The esul s assessed he in luence o he COVID-19 pandemic on he SET o de e mine he signi ican posi i e and nega i e e ec s on he Thai s ock ma ke . The esul s o he s a iona i y da a o s ock e u ns and he pace o inc ease in he numbe o people in ec ed wi h he i us e ealed ha he s a iona i y da a ha e a signi icance le el o 0.01. The s a iona y da a e e o ime se ies da a whe e he mean and a iance do no change o e ime. I he e is a clea end o seasonali y in he da a, i is said o be nons a iona y. A uni oo es in s a is ics examines whe he a ime se ies a iable is nons a iona y and has a uni oo . The uni oo es alues we e less han he c i ical alues, indica ing ha bo h se ies a e s a iona y. We hen examined how he Thai s ock ma ke esponded o he pandemic’s shock and unce ain y, as well as whe he he shocks had an asymme ic e ec on s ock e u ns. Based on he daily da a employed, we no ed ha an inc ease in cases has an ad e se impac on he s ock ma ke in gene al. S ock e u ns we e ound o be asymme ic in he numbe o people in ec ed wi h he i us in Thailand. This asymme y is impu ed by he des uc i e impac o he unce ain y conce ning he pandemic on he Thai s ock ma ke . Fu he mo e, he Po man eau es ’s app oach displayed empi ical indings when assessing he link be ween hei exceeding analysis esidual da a alues o he analysis o he abo e esul s. The Po man eau es is a ype o s a is ical hypo hesis es whe e he al e na i e hypo hesis is only aguely cha ac e ised, bu he null hypo hesis is well de ined. These indings e eal a lack o au oco ela ion be ween he a iables. Finally, he diagonal BEKK-GARCH model is app op ia e in his case. This s udy can be used o o ecas u u e pa e ns be ween s ock ma ke ola ili y and he inc easing a e o people in ec ed wi h COVID-19. Due o he ecen COVID-19 ou b eak, he inancial da a o his s udy we e es ic ed o hose om he daily s ock ma ke . The u ilisa ion o business inancial da a, mac oeconomic da a, and o he ma ke da a such as c edi de aul swaps is hus ad ised o u u e s udies. Fo u u e in es men - end s udies, in e es ed schola s can apply ou me hodologies o in es iga e addi ional a iables in he economic sys em, such as he US dolla , commodi y p ices, o GDP. This s udy has no di ided ma ke ola ili y esponses in o sec o al le els. The COVID-19 c isis is expec ed o ha e a di e en e ec on sec o al e u n ola ili y. The S ock Exchange o Thailand is di ided in o nume ous sec o s, and J. Risk Financial Manag. 2022,15, 592 8 o 9 each sec o will eac di e en ly o he COVID-19 e ec . Fo example, he COVID-19 c isis will ha e a nega i e impac on he ou ism and anspo a ion indus ies bu a posi i e impac on heal hca e se ices. Fu he esea ch ocusing on ways o minimise ma ke ola ili y due o a c isis and moni o ing sec o al e u n ola ili y will be o in e es o capi al ma ke egula o s. Au ho Con ibu ions: Concep ualiza ion, S.C.; da a cu a ion, S.S. and S.C.; unding acquisi ion, S.S.; in es iga ion, S.S. and S.C.; me hodology, S.C.; p ojec adminis a ion, S.C.; so wa e, S.C.; supe ision, S.C.; alida ion, S.C.; w i ing—o iginal d a , S.S. and S.C.; w i ing— e iew and edi ing, S.S. and S.C. All au ho s ha e ead and ag eed o he published e sion o he manusc ip . 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