The outbreak of COVID‐19 pandemic and its impact on stock market volatility: Evidence from a worst‐affected economy
| Autor: | Daisy Basistha, Debakshi Bora |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Heteroscedasticity
Public Administration Coronavirus disease 2019 (COVID-19) Academic Papers 05 social sciences Outbreak Stock market index 0502 economics and business Political Science and International Relations Pandemic Econometrics Economics Academic Paper Stock market 050207 economics Volatility (finance) 050203 business & management Stock (geology) |
| Zdroj: | Journal of Public Affairs |
| ISSN: | 1479-1854 1472-3891 |
| DOI: | 10.1002/pa.2623 |
| Popis: | The outbreak of COVID-19 has affected the entire global financial market in an unprecedented way. Due to the disruptions that emerged in the global market; the financial market of India also reacted to the pandemic and witnessed sharp volatility. Given the COVID-19 situation, this paper empirically investigates the impact of COVID-19 on the Indian stock market. Using daily closing prices of indices such as Nifty and Sensex, this study examines the volatility of these indices over the period 3rd September 2019 to 10th July 2020. Further, the study has attempted to make a comparative analysis of the return of the stock market in pre-COVID-19 and during the COVID-19 situation. GARCH model is used to capture the volatility of the indices. Findings reveal that the stock market in India has experienced volatility during the pandemic period. While comparing the results with that of the pre-COVID-19 period, we find that return on the indices is higher in the pre-COVID-19 period than during COVID-19. The return of both the stock market reached the bottom line during the first lockdown period, which is from24th March to 6th April. |
| Databáze: | OpenAIRE |
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