| Abstrakt: |
The outbreak of Covid-19 is an unprecedented shock to the global economy. Covid-19 which has spread across the world started from Wuhan, China. Though the spread is high in USA and Europe, India is also witnessing a sharp increase in Covid-19 cases. In this context, the global lockdown, worldwide economic downturn and disruption in demand and supply are likely to bring inevitable financial crisis and slowdown. The sentiment of stock markets across the world is also gloomy. This is reflected in the frequent crashes of the stock markets in different parts of the world. However, the impact-study of Covid-19 on financial markets is still in the nascent stage. The objective of this paper is to investigate the impact of Covid-19 cases on the Indian stock markets, especially NSE, to observe the level of volatilities on a day-to-day basis or on a weekly basis. The data considered for the given study is from May 16, 2019 to May 13, 2020. The analysis is based on GARCH model, which suggests that the rise in the number of Covid cases does not have any impact on stock market returns. However, it is found that there is evidence of positive impact on the conditional variance of the Nifty 50 returns. The model is tested for autocorrelation and ARCH effect in residual by using correlogram test and ARCH-LM test. [ABSTRACT FROM AUTHOR] |
