The impact of COVID-19 on tail risk: Evidence from Nifty index options

Agarwalla, Sobhesh Kumar; Varma, Jayanth R.; Virmani, Vineet

doi:10.1016/j.econlet.2021.109878

Cited by 15 publications

(12 citation statements)

References 10 publications

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“…Mahata et al (2021) show that stocks with higher financial antifragility show V-shape recovery in the Indian stock market. Agarwalla et al (2021) examine the impact of Covid-19 on the tail risk of Nifty index options and find that the volatility level remains elevated during the pandemic. Similarly, Sahoo (2021) investigates the day-of-the-week effect on selected Nifty indices before and after Covid-19 and finds that Monday's return is positive before the Covid-19 period and negative after Covid-19.…”

Section: Review Of Literaturementioning

confidence: 99%

Covid-19 pandemic and stock returns in India

Dharani

Hassan

Huda³

et al. 2022

J Econ Finan

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This paper examines whether the Covid-19 pandemic has had a homogeneous or heterogeneous effect on stock returns in India. We consider panel data by using 1,318 companies that are listed on the National Stock Exchange of India. We find that the daily growth rate in Covid-19 cases and Covid-19 deaths are negatively associated with stock returns. Further, we observe that the average stock returns during Lockdown 2 are positive and highly significant, while the returns during Lockdowns 3 and 4 are negative. Moreover, our results show that the chemical, technology, and food and beverage industries earn higher returns. In contrast, the banking and finance, automotive, services, and cement and construction industries yield lower returns for the overall period. Interestingly, all industry groupings in this study earn a positive return during the lockdown period. In particular, the chemical, technology, automotive, metals and mining, and food and beverage industries provide higher returns during the lockdown period. Finally, this study supports the claim that the Covid-19 pandemic has had a heterogeneous effect in the Indian stock markets.

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Section: Review Of Literaturementioning

confidence: 99%

Covid-19 pandemic and stock returns in India

Dharani

Hassan

Huda³

et al. 2022

J Econ Finan

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“…Table 3 shows descriptive statistics for the daily logarithmic returns of the shares traded on BSE, as well as for the BET stock market index, whereas Figure 1 reveals the density graphs. The selected shares have a negative skewness (except for the TRP share) in line with Agarwalla et al (2021), Banerjee (2021), Malik et al (2021), Yousaf (2021), and Zhang and Hamori (2021). As a common condition of financial markets, skewness is negative, suggesting an asymmetry to the left.…”

Section: Preliminary Statisticsmentioning

confidence: 97%

“…Anser et al (2021) noticed that COVID-19 contaminated cases are the central element that impedes financial activities and reduces money allocation, but a growing number of recovered cases offer investors' trust to boost stock trade across nations. Agarwalla et al (2021) documented that the rescue package had limited the extreme tail risks, but the volatility level persisted at a high level. Ghorbel and Jeribi (2021) claimed that equity indices and financial assets rely not only on their earlier volatility, but also on the preceding volatility of the fuel prices.…”

Section: Introductionmentioning

confidence: 99%

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

Gherghina

Armeanu

Joldeș

2021

JRFM

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This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve companies traded on BSE. The quantitative investigation was performed using GARCH approach. In the survey, the GARCH model (1,1) was applied to explore the volatility of the BET and BSE traded shares. Conditional volatility for the daily return series showed noticeable evidence of volatility that shifts over the explored period. In the first quarter of 2020, the Romanian equity market volatility increased to a level very close to that recorded during the global financial crisis of 2007–2009. Over the next two quarters, volatility had a downward trend. Besides, after VAR estimation, no causal connection was found among the COVID-19 variables and the BET index.

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“…This research is also driven by a demand for more detailed information on how financial markets react to unexpected or unpredictable events. Using liquid Nifty index options traded on the NSE for the period January 1 to May 31, 2020, (Agarwalla, Varma & Virmani, 2021) evaluated the influence of COVID-19 on Indian stock markets. The influence of COVID-19 on market-wide uncertainty and tail risk represented by the options market was studied.…”

Section: Review Of Literaturementioning

confidence: 99%

“…COVID-19 directly heated SMEs and clarified minimal https://doi.org/10.46977/apjmt.2022v03i02.003 supply-side actions that even stopped on transit (Pandey & Ojha, 2020). Businesses would be compelled to fire employees, resulting in a spike in the unemployment rate (Agarwalla, Varma & Virmani, 2021). Investors had lost more than Rs 4.54 lakh crore by the afternoon of April 5th, 2021, when markets crashed owing to a huge rise in coronavirus infections around the country.…”

Section: Introductionmentioning

confidence: 99%

An Analysis on Stock Market Volatility in an Emerging and Developing Economy During Global Pandemic

Chandra

Halder

2022

APJMT

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Unavoidably, COVID-19's global epidemic brought about a significant drop in every sphere of the economy. This study examines the impact of COVID-19 on Indian stock market performance by using a moving average and historical values of the Nifty 50 and S&P BSE SENSEX. The investigation's goal is to pinpoint the Indian Stock Exchange's BSE and NSE weaknesses and the volatility during that time span. The results demonstrate that the pandemic had a major influence on the industries included in this research. But the rise in COVID-19 cases starting in January 2020 and the deaths that followed in 2021 caused the biggest stock market decline ever seen. Despite that, the market saw a record-breaking high on both the NSE and the BSE by the end of 2021. Following the Covid's impact, the Indian financial market also experienced a sharp downturn. During this time, the Nifty dropped 7500 points and the BSE dropped about 920 points. This research focuses on the volatility of the stock market across this time frame. By the afternoon of April 5th, 2021, investors had lost more than Rs. 4.54 lakh crore. The investors lost a total of 7.36 lakh crore in just 7 months.

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The impact of COVID-19 on tail risk: Evidence from Nifty index options

Cited by 15 publications

References 10 publications

Covid-19 pandemic and stock returns in India

Covid-19 pandemic and stock returns in India

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

An Analysis on Stock Market Volatility in an Emerging and Developing Economy During Global Pandemic

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