Determinants of Malaysian Glove Stocks Performance at Different Phases of Lockdown in Response to Covid-19

Chai, Zhen Kang (2022) Determinants of Malaysian Glove Stocks Performance at Different Phases of Lockdown in Response to Covid-19. Masters thesis, Tunku Abdul Rahman University College.

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Abstract

This study aims to answer two research questions: (1) the causal impact of selected independent variables on 9 Malaysian glove stocks returns at different phases of lockdown in response to COVID-19, and (2) the causal impact of selected independent variables on 9 Malaysian glove stocks volatility at different phases of lockdown in response to COVID-19. The independent variables used in this study are daily COVID-19 cases, daily COVID-19 deaths, government’s response to COVID-19, United States (U.S) economy policy uncertainty, China economy policy uncertainty, and COVID-19 vaccine news. To answer the research objective, the observations are divided into 6 samples, which represented full sample and different phases of lockdown (pre-MCO, MCO, CMCO, RMCO, and Targeted CMCO). Subsequently, panel regression technique such as Pooled OLS, random effect model, and fixed effect model are used to perform data analysis. For each dependent variables, 6 models are estimated which represented 6 samples. The panel regression results showed that the impact of independent variables on Malaysian glove stocks returns and volatility varied across different phases of lockdown. For empirical result of research question 1, the daily COVID-19 cases found to have negative impacts on returns at the tightening stages, but they turned positive afterward. However, these impacts are not significant at majority of the time. Next, daily COVID-19 deaths have negative and insignificant impact on glove stocks returns. On the other hand, the government’s response to COVID-19 was found to have negative impact on glove stocks return most of the time. The U.S. and China EPU exhibited positive and significant impact on glove stocks return except in pre-MCO, MCO and Targeted CMCO. Lastly, COVID-19 vaccine news was found to have negative impact on glove stocks returns. For empirical result of research question 2, the daily COVID-19 cases have positive and significant impact on glove stocks volatility at the beginning of pandemic, but subsequently turned negative and became insignificant afterward. Secondly, daily COVID-19 deaths showed significant and negative impact on glove stocks volatility most of the time. Next, the impact of government’s response to COVID-19 on volatility were significant at tightening stages, but insignificant at easing stage and retightening stage. The U.S. EPU exhibited negative and significant impact on Malaysian glove stocks volatility except at the beginning of pandemic and during RMCO. China EPU consistently exhibited positive and significant impact on Malaysian glove stocks volatility throughout all phases of lockdown. Lastly, COVID-19 vaccine news found to have significant and positive impact on glove stocks volatility. This study concluded that Malaysian glove stocks investors should pay attention to different factors at different phases of lockdown. The findings of this study should contribute significantly to the establishment of Malaysian glove stocks investment strategy at different phases of lockdown as the COVID-19 pandemic is still ongoing.