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This is a Mixed-Methods study (also classified as: Quantitative Study).

September 16, 2025Open Access

The Effect of Global Pandemic Covid-19 and Economic Indicators on Ftse Bursa Malaysia Klci Stock Returns Volatility: An Exploratory Sequential Mixed Methods Approach

Key Points

Stock market volatility in Malaysia increased significantly due to COVID-19, revealing patterns in return volatility related to economic indicators.
The research utilized the EGARCH model, finding significant positive coefficients which indicate continuity in stock market return volatility during the pandemic.
A mixed methods approach provided insights from both quantitative data and qualitative analysis, exploring the effects of negative shocks on the market.
The findings suggest that while multiple factors affect volatility, Malaysia's gold price appears unaffected by market fluctuations during the pandemic.

Abstract

Malaysia’s stock markets experienced significant declines as the virus spread throughout the global pandemic of COVID-19. This study was undertaken to investigate the global pandemic COVID-19 and Malaysia stock market volatility during the Movement Control Order from 18 March 2020 until 30 September 2022 using a mixed method of quantitative and qualitative data. The Exponential Generalized Autoregressive Conditional Heteroskedastic (EGARCH) methodology was employed to analyse identified quantitative variables and understand stock return patterns, along with a qualitative exploratory sequential mixed methods approach to investigate the phenomenon. The EGARCH empirical finding reveals statistically positive coefficients and highlights substantial continuity in Malaysia’s stock market return volatility, besides negative shocks and significance between the variables in considering uneven volatility and their impact on FTSE Bursa Malaysia KLCI stock returns, except for Malaysia’s gold price.

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