The outbreak of Covid‐19 pandemic and its impact on stock market volatility
Evidence from a worst‐affected economy
Bibliographic Data
| ID | 12706192 |
|---|---|
| Authors | Debakshi Bora (0000-0001-8585-5419, Department of Economics Assam Women's University Jorhat India, corresponding author), Daisy Basistha (Department of Economics Bihpuria College Lakhimpur India) |
| Year | 2021 |
| Volume | 21 |
| Issue | 4 |
| Pages | e2623-e2623 |
| Publication date | 2021-02-11 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Public Affairs (JOURNAL) |
| Journal identifiers | ISSN: 1472-3891 • E-ISSN: 1479-1854 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/pa.2623 |
| PMID | 33786019 |
| OpenAlex | W3116716254 |
| Language | EN |
| Citations received | 13 |
| References cited | 13 |
This paper empirically investigates the impact of COVID-19 on the volatility of stock prices in India with the help of a generalized autoregressive conditional heteroscedasticity model. Daily closing prices of stock indices, Nifty and Sensex from September 3, 2019 to July 10, 2020 has been used for the analysis. Further, the study has been attempted to make a comparison of stock price return in pre-COVID-19 and during COVID-19 situation. Findings reveal that the stock market in India has experienced volatility during the pandemic period. While comparing the result during COVID period with that of the pre-COVID, we found that the return on the indices is higher in the pre-COVID-19 period than during COVID-19
2019-20 coronavirus outbreak · Coronavirus disease 2019 (COVID-19 · Econometrics · Economics · Financial economics · Geography · Heteroscedasticity · Outbreak · Pandemic · Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2 · Stock (firearms · Stock market · Volatility (finance · COVID-19 Pandemic Impacts · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Medicine · Internal Medicine
Using the GARCH model to measure the dual impact of money supply (M2) on returns and volatility risk in the Vietnamese stock market
The impact of external shocks on volatility persistence and market efficiency of the foreign exchange rate regime
Impact of Covid-19 on jump occurrence in capital markets
Dynamic Return and Volatility Forecasts for Selected Economies
Pandemic, policy, and markets
Impact of Covid-19 and lockdown stringency on foreign institutional investment in India
The policy response to Covid ‐19 pandemic and its impact on the equity market sentiment
Political uncertainty, financial crises, and stock market volatility
Sustainable development and investor confidence
Time of Covid-19
Impact of the Local and the Global Crises on Stock Market Efficiency
Pandemic‐induced economic policy uncertainty and US stock exchanges
The outbreak of Covid‐19 pandemic and its impact on stock market volatility
| Unique citing works | 13 |
|---|---|
| Citations per year | 2,6 |
| Citation span | 2021 - 2026 (6) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 13 |