Covid-19 och börsvärdets påverkan av volatiliteten

Abstract

Covid-19 has contributed to a major impact on the world economy. Stock markets have tumble and show to be more volatile than usual. In this study, we investigate if the size of a company matter in how volatile they are under and before covid-19. The companies were divided in to three different categories of OMX Stockholm Price Index: large-, mid- and small companies. Daily closing returns were collected and analyzed. Previous studies have proven that smaller companies are more affected by financial shocks and more volatile. The results from GARCH (1.1) in this study reinforce these findings. Small companies show the highest sensitivity with the covid chock and contains the most volatile time serie. Large companies show the highest persistence in the variance process with the highest estimated beta values.