The study has attempted to study the impact of COVID‐19 on downside stock market risk in the G‐20 nations using Vaue‐at‐Risk models. The findings of the study suggest that all the G‐20 nations have experienced very high level of risk during Global Financial Crisis and COVID‐19 as all the countries’ stock markets are critical during these two periods, but the magnitude of risk is found to be highest during COVID‐19 period compared to other regimes in most of the countries. However, one shocking revelation is that China is found to be on safe zone having very less market risk, whereas all other countries are found to be critical.

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COVID-19 has traumatised the whole world in every aspect ranging from normal day-to-day activities to complete halt of the economies. This piece of work attempted to examine the response of the stock markets to the outbreak of COVID-9 by considering stock indices of five leading countries and comparing the risk with other periods of crisis viz. global financial crisis of 2007-2008 and stock market fluctuation in 1992. Both negative and positive fluctuation are examined, however special emphasis is placed on downside risk. The risk is measured using Value-at-Risk models with different distributional assumptions. The main observation of the study points towards gravity of this deadly virus as the volatility in the stock markets of all the countries is higher even compared to the global crisis of 2008 except China which is quite absurd. On the other hand, global markets are found to be highly correlated in the COVID-19 period. However, investors are also found to be reacting positively when favourable news is transmitted. The findings of this paper will help the investors in understanding the short-run dynamics of the stock markets and use such information in future for investment in similar circumstances.

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