Global Journal of Human Social Science, E: Economics, Volume 23 Issue 2

asymmetry effect from the filtration of the bad news of fatal COVID-19 for the period October 2017 to February, 2021. This would serve asa yardstick to inform investors’ decisions into the future with regards to the investment in the stock market in Ghana. As per the theories that underpin this study (i.e. efficient market theory and rational expectation intertemporal asset pricing theory), availability of market information is often in the prices of equities or stocks and as bad new filter the market, it is only rational to hold a less risky asset. The a priori anticipation of the study is that there will exist significantly high volatility and that asymmetric effect will be negative and significant (Kahn et al., 2020). This study will help to firms, investors, and policymakers to know the extent to how risky Ghana stock exchange composite index is and how the index will be shortly. Policymakers and regulators need to know the forecast of the future trend of the stock market to formulate polices based on that empirical findings. II. L iterature R eview The pandemic is reported to have a severe impact on economies all over the world. The pandemicis said to contract the global economy by 3% which is worse than the previously experienced global crises (World Economic Outlook, 2020). The world came to know of the deadly COVID- 19 when the Wuhan Municipal Health Committee officially announced to the World Health Organisation that a “new pneumonia-like disease of unknown cause” detected in Wuhan, the capital city of Hubei province of China. Governments across the globe had to implement a wide range of policies aimed at protecting workers and supporting businesses to survive the shocks of the pandemic. Containment and economic recovery policies have been in the minds the central government and local governmentsat the provincial and municipal levels. These policies and long-ranging on tax policies, employment policies, financial policies, health policies, and international trade policies. In the United State of America, monetary and macro-financial policies touched on lowering the federal fund rate by 150bp in March to 0-0.25bp. the cost of discount window lending was reduced and the existing cost of swapping lines with major central banks was also reduced. There was an extension of the maturity of FX operations with a broadened US dollar swap lines to more centralbanks. In Ghana, the containment measures adopted by the government include banding of all kinds of social gathering exceeding 25 people for four weeks; closure of all universities and schools until further notice; closure of borders to travelers; and mandatory 14 – day self- quarantine for any Ghanaian who has been to a country with at least 200 confirmed cases of COVID-19. In the fiscal fonts, as the government intends to commit an amount of GHS 11.2 billion to face COVID-19 and its related social and economic hardships dubbed Coronavirus Alleviation Programme, large government spending has been cut on all economic classifications of government budgeted annual expenditures such as goods and services, transfers, and capital investments. The Coronavirus Alleviation Programme is intended to be used to support industries in the pharmaceutical sector supplying COVID-19 drugs, and equipment, support SMEs, build orupgrade 100 district and regional hospitals and address the availability of test kits, pharmaceuticals, equipment, and bed capacity. To finance pressing needs that COVID 19 has created, the government intends to borrow GH¢ 10 billion from the Bank of Ghana has drawn an amount of US$ 218 million from the stabilization fund. In the monitory and macro-financial sector, the policy rate was cut by 150 basis points to 14.5%. as part of efforts in mitigating the effect of the pandemic, the Monetary Policy Committee of Ghanalowered the primary reserve requirement and capital conservation buffer from 10% to 8% and 3% to 1.5% respectively. The cost of mobile payment was also lowered and was accordingly complied by both Banking and Non-Banking financial institutions. There were unfortunately no polices on the exchange rate and balance of payment level. In line with the focus of this study, Kahn et al., (2020) examined the impact of the COVID-19 pandemic on stock markets sixteen countries and found that investors in these countries react to the bad news of the pandemic at the early stage. GPD is claimed to be significantly impacted due to a decline in production among firms (Wren-Lewis, 2020). If the pandemic persists with is magnitude and fatality, Banks will soon fail to meet the financial requirement of firms which will cause the breakdown of the stock markets. The overall downturn in global production as a result of the lockdown of firms and industries risk increasing prices of essential commodities shortly. III. S tudy M ethodology The study employed the Autoregressive Integrated Moving Average (ARIMA) model to forecast the Ghana Stock exchange composite index after a period of the 8-months of shock of COVID-19 to Ghana and the world at large. The ARIMA model is also sometimes called the Box Jenkins (2019) methodology. The model uses information derived from its past behaviors to forecast its trend. It is a univariate model and wherethe variable itself is regressed on its pass value. It uses the philosophy of “let variable speak for itself”. There are two underlying assumptions of ARIMA modeling. The first assumption is a concern with the stationarity of the time series in question. The series must exhibit mean reversions, has © 2023 Global Journals Volume XXIII Issue II Version I 52 Global Journal of Human Social Science - Year 2023 ( )E Impact of COVID-19 on Stock Market Volatility and Forecast using ARIMA and EGARCH