Impact of COVID-19 on volatility of BSE Sensex stock index

Bhullar, Pritpal Singh; Gupta, Pradeep Kumar; Bhatnagar, Dyal

doi:10.1504/ijef.2022.122185

Cited by 4 publications

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“…For example, the role of R&D and advertising can influence the relationship between CSR expenditure and FP. In this study, we did not use any interaction terms. It may be useful to see, for instance, how CSR expenditure in interaction with communication or public relations strategy may affect FP. Further research can also consider the effect of the COVID-19 pandemic on CSR expenditure and FP (Bhullar et al , 2022). …”

Section: Discussionmentioning

confidence: 99%

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Social expenditure, business responsibility reporting score and firm performance: empirical evidence from India

Bhatnagar

Bhullar

2023

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Purpose The purpose of this study is to examine the impact of corporate social responsibility (CSR) expenditure and business responsibility report (BRR) on a firm’s financial performance. Additionally, the study explores whether CSR expenditure and firm performance are related linearly or otherwise. The study also assesses the influence of mandating CSR expenditure on a firm’s performance. Design/methodology/approach The study is set in India and uses a nine-year data set from 165 companies listed on the Bombay Stock Exchange. Data compilation and analysis are done by using content analysis and panel data regressions. Findings The main findings of the study are that the effect of CSR expenditure on firm performance in India is non-linear and can be characterized as parabolic for investigated firms. While some performance indicators suggest a U-shaped relationship, others show an inverted U-type pattern, making a definitive conclusion elusive in either direction. BRR scores themselves have a positive impact on firm performance. Mandatory CSR expenditure affects the financial performance negatively, but the market performance improves in general. Originality/value The study provides new insights on the relationship between CSR expenditure, BRR scores and firm performance from India, which is not only a notable emerging market but also has other gripping characteristics. It has a prolific history of philanthropy, and yet, it is the first country in the world to mandate CSR expenditure in recent times. The equation between reported economic progress and general quality of life remains intriguing, and yet the number of studies on the effects of CSR expenditure on firm performance are no match to the volume of ongoing and completed works in more developed markets. This study attempts to trim the gap and provide some useful insights for managers, policymakers and stakeholders, apart from prompting further research.

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Section: Discussionmentioning

confidence: 99%

“…Further research can also consider the effect of the COVID-19 pandemic on CSR expenditure and FP (Bhullar et al , 2022).…”

Section: Discussionmentioning

confidence: 99%

Social expenditure, business responsibility reporting score and firm performance: empirical evidence from India

Bhatnagar

Bhullar

2023

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“…(Geske & Roll, 1983) [23] depicted a positive relationship between industrial production and stock returns. [1,13] . "The ARCH process introduced by (Engle and Sokalska, 2012) explicitly recognizes the difference between the unconditional and the conditional variance allowing the latter to change over time as a function of past errors."…”

Section: Exchange Ratementioning

confidence: 99%

“…The GARCH model is the extension of the model of ARCH (Autoregressive Conditional Heteroskedasticity) model. ARCH is a method that distinctly models the change in variance over time in a time series(Bhullar et al, 2022;Kirby & Ostdiek, 2012)…”

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confidence: 99%

Impact of bond profile on bond volatility: Evidence from India

Bhullar,

Bhatnagar

2023

Int. J. Finance Manage. Econ.

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The main aim of this study is to investigate the relationship between bond profile and bond volatility in the Indian capital market. The dataset pertaining to the bond market has been gathered during a decadelong timeframe, spanning from 2012 to 2022. The researchers employed regression analysis, a statistical technique, to evaluate the potential influence of bond profile on bond volatility. The research findings suggest that the duration of bonds is the primary factor influencing their volatility, irrespective of their individual qualities. The findings reveal that the coupon rate does not exert a substantial influence on the conditional volatility of unsecured bonds. The empirical evidence supports a strong association between the duration of bonds and the volatility shown by unsecured bonds. Additionally, the research suggest that the evaluation of bond ratings does not have a significant impact on their conditional volatility.

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“…Further, the extant literature is brimming with studies that document the extensive effects of the pandemic on economies and markets worldwide. For example, the effect of dividend announcements (Pandey and Kumari, 2022), pandemic related stimulus package (Kumari et al, 2022(Kumari et al, , 2023, the behavior of global airline industry during COVID related air travel restrictions (Kumari et al, 2022(Kumari et al, , 2023, COVID-19 and oil price risk exposure (Akhtaruzzaman et al, 2021a, b), financial contagion during the COVID-19 crisis (Akhtaruzzaman et al, 2021a, b), the impact of Sin versus green investment social distancing on economic growth in the short and long-term effects (Ashraf and Goodell, 2022), the impact of COVID-19 pandemic on WTI (West Texas Intermediate) prices (Corbet et al, 2020), pandemic induced market volatility (Corbet et al, 2021) and (Bhullar et al, 2022).…”

Section: Introductionmentioning

confidence: 99%

Sin versus green investment: A retrospective study on investor choice during pre- and through COVID regime

Bhatnagar

Bhullar

2023

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PurposeIncreasing focus on socially responsible investments (SRIs) and green projects in recent times, coupled with the arrival of COVID pandemic, are the main drivers of this study. The authors conduct a post-factum analysis of investor choice between sin and green investments before and through the COVID outbreak.Design/methodology/approachA passive investor is introduced who seeks maximum risk-adjusted return and/or investment variance. When presented an opportunity to add sin and/or green investments to her initial one-asset market-only investment position, she views and handles this issue as a portfolio problem (MPT). She estimates value-at-risk (VaR) and conditional-value-at-risk (CVaR) for portfolios to account for downside risk.FindingsGreen investments offer better overall risk-return optimization in spite of major inter-period differences in return-risk dynamics and substantial downside risk. Portfolios optimized for minimum variance perform just as well as the ones optimized for minimum downside risk. Return and risk have settled at higher levels since the onset of COVID, resulting in shifting the efficient frontier towards north-east in the return-risk space.Originality/valueThe study contributes to the literature in two ways: One, it examines investor choice between sin and green investments during a global health emergency and views this choice against the one made during normal times. Two, instead of using the principles of modern portfolio theory (MPT) explicitly for diversification, the study uses them to identify investor preference for one over the other investment type. This has not been widely done thus far.

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Impact of COVID-19 on volatility of BSE Sensex stock index

Cited by 4 publications

References 0 publications

Social expenditure, business responsibility reporting score and firm performance: empirical evidence from India

Social expenditure, business responsibility reporting score and firm performance: empirical evidence from India

Impact of bond profile on bond volatility: Evidence from India

Sin versus green investment: A retrospective study on investor choice during pre- and through COVID regime

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