The effect of COVID-19 on Indian stock market volatility: can economic package control the uncertainty?

Sreenu, Nenavath; Pradhan, Ashis Kumar

doi:10.1108/jfm-12-2021-0162

Cited by 10 publications

(8 citation statements)

References 39 publications

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“…There has been a sudden spurt of academic studies cutting across various domains of knowledge on the factors contributing to the increase of COVID-19 pandemic cases, transmissions and deaths. These studies mainly focus on the following: spatial effects of COVID-19 (Guliyev 2020); effects on temperature and humidity variations in the number of COVID-19 deaths (Ma et al 2020;Wu et al 2020;Qi et al 2020); environmental impacts on COVID-19 transmission (Xu et al 2020); air pollution and COVID-19 infection (Yongjian et al 2020;Bontempi 2020); maternal deaths due to COVID-19 (Hantoushzadeh et al 2020); association between the COVID-19 cases and deaths (Sarkodie and Owusu 2020); COVID-19 and stock market volatility (Sreenu and Pradhan 2022); COVID-19 and microfinance institutions (Sangwan et al 2021); social distancing and COVID-19 death (Conyon et al 2020); labour mobility and fatality due to COVID-19 (Wright et al 2020); nationalism and COVID-19 (Wang 2021;Gülseven 2021;Zhao 2021;Pan and Korolev 2021;Lin 2021;Givens and Mistur 2021;Yang and Chen 2021;Zhao 2021;Boylan et al 2021;Albertoni and Wise 2021;He and Chen 2021); global politics and COVID-19 (Salvati 2021;Makarychev and Romashko 2021;Chen 2021; Wang and Sun 2021;Lin 2021;Huang 2021;Chang 2021;Jaworsky and Qiaoan 2021;Caballero-Anthony and Gong 2021); mitigating measures against COVID-19 (Zhang et al 2021;Ullah et al 2021).…”

Section: Introductionmentioning

confidence: 99%

Magnitude and Determinants of Mortalities Related to COVID-19: Evidence from 94 Countries Using Regression Techniques

Pradhan

Thomas

Rout

et al. 2022

Fudan J. Hum. Soc. Sci.

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This study attempts to investigate the factors determining COVID-19 deaths during the pandemic across countries by employing a rich dataset sourced from 94 countries updated till 6 February, 2022. For empirical analysis, the study makes use of cross-sectional linear regression technique in the first part and after required diagnostic tests use 2SLS regression technique for correcting possible endogeneity bias in the second part. Findings from the study indicate that factors like total reported cases, population size, population over 70 years of age, extreme poverty, and human development index play significant role in determining COVID-19-related death. Further, to check the robustness of the findings the present study employed LASSO regression. Findings from the study highlight the possibility of government intervention to devise appropriate policies to control COVID-related incidence and death.

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Section: Introductionmentioning

confidence: 99%

Magnitude and Determinants of Mortalities Related to COVID-19: Evidence from 94 Countries Using Regression Techniques

Pradhan

Thomas

Rout

et al. 2022

Fudan J. Hum. Soc. Sci.

Self Cite

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“…According to the Indian channel reports, the NSE Nifty 50 and BSE Sensex 30 industrial averages had declined by more than 35% and 48%, respectively. This was the largest quarterly decline in share value since 1937 (Sreenu and Pradhan, 2022).…”

Section: Discussion and Analysismentioning

confidence: 99%

Foreign investors and stocks' volatility: evidence from COVID-19

Batra,

Yadav,

Saini

2023

IJSE

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PurposeThe purpose of this study is twofold: first, to examine the relationship between foreign ownership and stock return volatility and second, to explore how COVID-19 impacts such a relationship.Design/methodology/approachThis empirical research is based on the non-financial firms of the BSE-100 index over the 2013–2022 period. The ordinary least squares, fixed effects and system GMM (Generalized method of moment) techniques are used to analyze the effect of oversea investors on stock return volatility.FindingsResults indicate an inverse association between foreign ownership and stock return volatility. The outcomes of the pre-and during-COVID-19 period show a negative but insignificant relationship between foreign ownership and stock return volatility. These results reflect foreign investors sold their stocks pessimistically, which badly affected the Indian stock market.Originality/valueThis study enriches the previous literature by exploring the impact of foreign investors on the stock return volatility of Indian firms. To date, no study has captured the impact of foreign ownership on stock return volatility during the COVID-19 pandemic.Peer reviewThe peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-03-2023-0179

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“…These studies mostly focussed on developed markets, especially the US, UK and China (Fama and Eugene 1990; Comincioli, 1996; Han et al. , 2015) amongst others, confirmed the stock market’s role as a leading indicator of economic activity (Javaira and Hassan, 2015; Sreenu and Pradhan, 2022) said that stock prices are no longer a leading indicator of economic activity in the developing countries.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Liu et al (2019) found evidence in the published research that the COVID-19 outbreak had a negative impact on the performance of stock markets in a variety of countries, including Korea, Japan, the United States, Germany, the United Kingdom and others. Sreenu and Pradhan (2022) and, Humpe and McMillan (2020); discovered that verified cases of COVID-19 had an immediate and detrimental impact on the stock markets. According to the findings of (Humpe and McMillan, 2020), the daily increase in the number of confirmed cases and deaths had a significant and detrimental impact on the stock returns of all companies trading on the US stock market.…”

Section: Structural Break and Stock Pricesmentioning

confidence: 99%

The dynamic relationship between economic crisis, macroeconomic variables and stock prices in Sri Lanka

Madurapperuma

2022

JMB

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PurposeThis study aims to examine the short- and long-term equilibrium relationship between All share price index (ASPI), macroeconomic variables and the economic crisis in Sri Lanka.Design/methodology/approachMonthly time series data for inflation (CPI), industrial production (IP), an exchange rate (EX), an interest rate (TB), short-term interest rate (CD) and economic crisis were used from 2010 to 2021. The ADF test, the bound testing approach, the CUSUM test and the CUSUMQ test were used in this study.FindingsThe findings show a long-run stable relationship between stock price, macroeconomic variables and political crisis (i.e., CPI, IP, ER, TB, CD and economic crisis). The results of the Johansen cointegration test suggest that there is at least one cointegrating equation, indicating that there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Sri Lanka.Research limitations/implicationsThe vector error correction estimates show that the coefficient of the error correction term is significant with a negative sign, indicating that a long-run dynamic relationship exists between macroeconomic variables and stock prices. In the short term, economic crisis has had a big effect on stock prices suggesting that Sri Lanka’s domestic financial markets are linked to the stability of the country.Originality/valueThis research establishes the links between stock returns, macroeconomic variables and economic crisis. So far, research has been unable to establish the empirical nature of such links. The authors believe that this paper fills that gap.

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The effect of COVID-19 on Indian stock market volatility: can economic package control the uncertainty?

Cited by 10 publications

References 39 publications

Magnitude and Determinants of Mortalities Related to COVID-19: Evidence from 94 Countries Using Regression Techniques

Magnitude and Determinants of Mortalities Related to COVID-19: Evidence from 94 Countries Using Regression Techniques

Foreign investors and stocks' volatility: evidence from COVID-19

The dynamic relationship between economic crisis, macroeconomic variables and stock prices in Sri Lanka

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