Does the implementation of a moratorium bring positive shock to the bank stock price amidst the global pandemic?

Azmi Majid and Rozilee Asid and Lim, Thien Sang and Zaiton Osman (2024) Does the implementation of a moratorium bring positive shock to the bank stock price amidst the global pandemic? Malaysian Journal of Business and Economics (MJBE), 11 (2). pp. 1-16.

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Abstract

Malaysia was the only nation that provided moratorium on loan repayment in a blanket basis during the global pandemic. Thus, this study examines the whether moratorium has a contractionary or an expansionary impact from the perspective of loan repayment towards the volatility of banking stock prices listed in Bursa Malaysia. The Exponential GARCH (EGARCH) was employed with daily data from 2 January 2019 to 31 December 2021. The empirical findings showed that the loan-repayment moratorium induced a positive shock to the volatility of Hong Leong Bank, Public Bank, RHB Bank, and Alliance Bank. However, all these banks exhibit a leverage effect, and negative shocks were more pronounced towards their stock price volatility during the moratorium implementation. The findings were crucial for investors and authorities to understand the impact of a moratorium on the banks towards the stock price.

Item Type:	Article
Keyword:	Pandemic, Moratorium, Banks, Stock price, EGARCH
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance > HG4001-4285 Finance management. Business finance. Corporation finance R Medicine > RA Public aspects of medicine > RA1-1270 Public aspects of medicine > RA421-790.95 Public health. Hygiene. Preventive medicine > RA648.5-767 Epidemics. Epidemiology. Quarantine. Disinfection
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	SITI AZIZAH BINTI IDRIS -
Date Deposited:	17 Jan 2025 14:44
Last Modified:	17 Jan 2025 14:44
URI:	https://eprints.ums.edu.my/id/eprint/42681

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