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Title: VECTOR AUTOREGRESSIVE MODELLING OF KENYAN ECONOMIC UNCERTAINTY OF THE COVID-19 PANDEMIC ON STOCK AND OIL MARKETS VOLATILITY
Authors: Maket Juma Isaiah
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Maket Juma Isaiah PhD student, Doctoral School of Economics, University of Szeged, Hungary
MLA 8 Isaiah, Maket Juma. "VECTOR AUTOREGRESSIVE MODELLING OF KENYAN ECONOMIC UNCERTAINTY OF THE COVID-19 PANDEMIC ON STOCK AND OIL MARKETS VOLATILITY." Int. j. of Social Science and Economic Research, vol. 5, no. 11, Nov. 2020, pp. 3445-3465, doi:10.46609/IJSSER.2020.v05i11.011. Accessed Nov. 2020. APA 6 Isaiah, M. (2020, November). VECTOR AUTOREGRESSIVE MODELLING OF KENYAN ECONOMIC UNCERTAINTY OF THE COVID-19 PANDEMIC ON STOCK AND OIL MARKETS VOLATILITY. Int. j. of Social Science and Economic Research, 5(11), 3445-3465. doi:10.46609/IJSSER.2020.v05i11.011 Chicago Isaiah, Maket Juma. "VECTOR AUTOREGRESSIVE MODELLING OF KENYAN ECONOMIC UNCERTAINTY OF THE COVID-19 PANDEMIC ON STOCK AND OIL MARKETS VOLATILITY." Int. j. of Social Science and Economic Research 5, no. 11 (November 2020), 3445-3465. Accessed November, 2020. doi:10.46609/IJSSER.2020.v05i11.011.
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Abstract: The widening uncertainty related to COVID-19 has stressed the business cycle of both local and global economy. The adverse effects of imbalances of demand and supply of oil products as well as stock returns pose a great threat to economic certainty. This paper focused on analysing the effect of economic uncertainty of the COVID-19 pandemic on oil and stock markets volatility in Kenya using Vector Autoregressive (VAR) model. The study considered a sampling period of between 13th March, 2020 to 30th September, 2020, yielding 202 observations. The study followed a purposive sampling technique in selecting the study sample size of daily data of COVID-19 new death and new infection cases, oil prices, number of days of travel bans and stock prices. The paper demonstrates that a positive shock of economic uncertainty caused by COVID-19 pandemic results to a decrease in the oil prices during the impact period. In regards to stock market volatility, the findings indicate that increase in new cases and new deaths creates worst economic uncertainty associated with travel bans and business restrictions thereby increasing the stock market volatility as several stock investors lose confidence in the market. Therefore, in light of this, concerted efforts should be put in place by the Kenyan government so as to speed the economic recovery. These may include easing on business travel restrictions and reduced interest rates. This will increase money supply and by extend result into increased lending to the business investments.

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