Speaker
Description
This study presents a systematic literature review (SLR) examining the impact of the COVID-19 pandemic on stock market return and volatility across global markets. The unprecedented nature of the pandemic induced extreme uncertainty, significantly disrupting investor sentiment, asset prices, and volatility patterns in both developed and emerging economies. Recognizing the importance of understanding financial market behavior during systemic shocks, this review synthesizes findings from nine peer-reviewed empirical studies published between 2020 and 2023.
The review employs the PRISMA framework to identify and analyse relevant literature from Scopus, ScienceDirect, and Emerald Insight. The studies selected reflect diverse methodologies—including GARCH models, panel regressions, event studies, and wavelet analysis—capturing variations in volatility dynamics, return behaviour, and sectoral performance during different pandemic phases. Results consistently reveal sharp market declines and heightened volatility during the early pandemic period, though the intensity and duration of impact varied by geography, sector, and institutional response.
Key research gaps were also identified. Notably, there is limited empirical focus on Malaysia despite its unique policy responses and economic structure. Furthermore, studies differ in their use of stock indices (main, sectoral, individual), control variables, and timeframes, limiting cross-study comparability. This review proposes future research directions that emphasize emerging markets, robust econometric modelling, and clearer periodization of pandemic phases.
By consolidating current evidence and identifying gaps, this study offers valuable insights for researchers, policymakers, and investors seeking to enhance financial resilience and strategic preparedness in the face of global crises.
Keywords: stock market return; volatility; Covid-19; systematic literature review; financial markets
