Indian Stock Market during the COVID-19 Pandemic: Vulnerable or Resilient?: Sectoral analysis

Shankar, Rishika; Dubey, Priti

doi:10.15388/omee.2021.12.51

Cited by 14 publications

(8 citation statements)

References 57 publications

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“…To understand the changed scenario, it is essential to analyse the situation standalone. Lastly, many studies (like Liu et al, 2020;Estrada and Lee 2020;Shankar and Dubey, 2021;Maitra et.al, 2022) have already done the comparative analysis of the pre-Covid and post-Covid period with the respect to financial markets. Therefore, the present study analyses the daily observations for the post-Covid period i.e., from January 2020 to August 2022.…”

Section: Methodsmentioning

confidence: 99%

Investment in Virtual Digital Assets Vis-A-Vis Equity Stock and Commodity: A Post-Covid Volatility Analysis

Sharma

Rawat

Kaur³

2022

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Virtual digital assets including cryptocurrencies, non-fungible tokens and decentralized financial asset have been initially used as an alternative currency but are currently being purchased as an asset and hedging instruments. Exponentially growing trading volume witnesses the growing inclination of investors towards these assets, and this calls for volatility analysis of these assets. In this reference, the present study assessed and compared the volatility of returns from investment in virtual digital assets, equity and commodity market. Daily closing prices of selected cryptocurrencies, non-fungible tokens and decentralized financial assets, stock indices and commodities have been analysed for the post-covid period. Since returns were observed to be heteroscedastic, autoregressive conditional heteroscedastic models have been used to assess the volatility. The results indicate a low correlation of commodity investment with all other investment opportunities. Also, Tether and Dai have been observed to be negatively correlated with stock market. This indicates the possibility of minimizing risk through portfolio diversification. In terms of average returns, virtual digital assets are discerned to be better options than equity stock or commodity yet the variance scenario of these investment avenues is not very rosy. The volatility parameters reveal that unlike commodity market, virtual digital assets have got a significant impact of external shocks in the short-run. Further, the long run persistency of shocks is observed to be higher for the UK stock market, followed by Ethereum, Tether and Dai. The present analysis is crucial as the decision about its acceptance as legal tender money is still sub-judice in some countries. The results are expected to provide insight to regulatory bodies about these assets.

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Section: Methodsmentioning

confidence: 99%

Investment in Virtual Digital Assets Vis-A-Vis Equity Stock and Commodity: A Post-Covid Volatility Analysis

Sharma

Rawat

Kaur³

2022

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“…According to Moran and Liu (2020), VIX is usually negatively correlated with price movements of the stock indexes, and, in periods of sharp decline in stock markets, it tends to rise. Grima et al (2021) used the VIX index to assess the effect of daily new cases and deaths caused by COVID-19 on major stock markets, and Shankar and Dubey (2021) included VIX as a control variable in the model assessing the impact of the COVID-19 pandemic on the Indian stock market. Baek et al (2020) also included VIX as a regressor in models measuring the impact of COVID-19 related news on US stock market volatility.…”

Section: Methodsmentioning

confidence: 99%

Stock Market Reactions during Different Phases of the COVID-19 Pandemic: Cases of Italy and Spain

Keliuotytė-Staniulėnienė¹,

Kviklis²

2021

Economies

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The COVID-19 pandemic and pandemic-induced lockdowns and quarantine establishments have inevitably affected individuals, businesses, and governments. At the same time, the spread of the COVID-19 pandemic had a dramatic impact on financial markets all over the world and caused an increased level of uncertainty; the stock markets were no exception either. Most of the studies on the impact of the COVID-19 pandemic on stock markets are based either on the analysis of a relatively short period (the beginning of pandemic) or a longer period, which, in turn, is very heterogeneous in terms of both the information available on the COVID-19 virus and the measures taken to contain the virus and address the consequences of the pandemic. However, it is very important to assess the impact not only at the beginning of the pandemic but also in the subsequent periods and to compare the nature of this impact; the studies of this type are still fragmentary. Therefore, this research aims to investigate the impact of the COVID-19 pandemic on stock markets of two of the most severely affected European countries—Italy and Spain. To reach the aim of the research OLS regression models, heteroscedasticity-corrected models, GARCH (1,1) models, and VAR-based impulse response functions are employed. The results reveal that the stock market reaction to the spread of the COVID-19 pandemic differs depending on the country and period analyzed: OLS regression and heteroscedasticity-corrected models have not revealed the statistically significant impact of the spread of the COVID-19 pandemic, while impulse response functions demonstrated the non-zero primary response of analyzed markets to the COVID-19 shock, and GARCH models (in the case of Spain) confirmed that the COVID-19 pandemic increased the volatility of stock market return. This research contributes to the literature by providing a comprehensive impact assessment both during the whole pre-vaccination period of the pandemic and during different stages of this period.

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“…Yet, the sectors affected may vary by country, e.g. financials, trade, service and investment in Indonesia (Herwany et al , 2021) or all sectors in India (Chaudhary et al , 2020; Shankar and Dubey, 2021). In China, adverse effects on returns at the sectoral level, such as tourism, have also been found to last only in the short term as its stock market is resilient to the pandemic (Wang et al , 2021; Wu et al , 2021).…”

Section: Literature Reviewmentioning

confidence: 99%

What happens to the stock market during the COVID-19 pandemic? A systematic literature review

Anggraini

Utami

Wulandari

2022

PAR

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Purpose This study aims to evaluate papers that discuss the stock market during the COVID-19 pandemic to discover lessons that may be beneficial for coping with similar situations in the future. Design/methodology/approach This study used the review procedures following Hoque (2014) with modifications, including co-words analysis to map themes. The articles to be reviewed were identified by entering the search keywords “capital market” AND “Covid” and “stock market” AND “Covid” in the Scopus database. After applying a set of criteria, 89 articles were used in the subsequent analysis. The country setting and study findings are recognized, and the lessons learned are further determined. Findings As COVID-19 has been designated a global pandemic by the WHO, and its impact is seen in many countries, the setting adopted by many researchers includes two or more countries (i.e., “International”). Six clusters of themes are identified, namely, market responses, spillover/contagion, investor sentiment, investor herding, policy and asset intensity. In this way, the lessons gained cover several stock market elements, including the market, industry, investors, government and companies. Originality/value Given the importance of understanding the COVID-19 pandemic and the relevance of the stock market in indicating its severity, to the best of the authors’ knowledge, there has been no literature review research on the stock market during COVID-19. Furthermore, this study also defines what lessons can be drawn.

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Indian Stock Market during the COVID-19 Pandemic: Vulnerable or Resilient?: Sectoral analysis

Cited by 14 publications

References 57 publications

Investment in Virtual Digital Assets Vis-A-Vis Equity Stock and Commodity: A Post-Covid Volatility Analysis

Investment in Virtual Digital Assets Vis-A-Vis Equity Stock and Commodity: A Post-Covid Volatility Analysis

Stock Market Reactions during Different Phases of the COVID-19 Pandemic: Cases of Italy and Spain

What happens to the stock market during the COVID-19 pandemic? A systematic literature review

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