The performance of the Indian stock market during COVID-19
coronavirus, Volatility, Crisis Period, higher moments, gls regression
The current empirical study attempts to analyze the impact of COVID-19 on the performance of the Indian stock market concerning two composite indices (BSE 500 and BSE Sensex) and eight sectoral indices of Bombay Stock Exchange (BSE) (Auto, Bankex, Consumer Durables, Capital Goods, Fast Moving Consumer Goods, Health Care, Information Technology, and Realty) of India, and compare the composite indices of India with three global indexes S&P 500, Nikkei 225, and FTSE 100. The daily data from January 2019 to May 2020 have been considered in this study. GLS regression has been applied to assess the impact of COVID-19 on the multiple measures of volatility, namely standard deviation, skewness, and kurtosis of all indices. All indices’ key findings show lower mean daily return than specific, negative returns in the crisis period compared to the pre-crisis period. The standard deviation of all the indices has gone up, the skewness has become negative, and the kurtosis values are exceptionally large. The relation between indices has increased during the crisis period. The Indian stock market depicts roughly the same standard deviation as the global markets but has higher negative skewness and higher positive kurtosis of returns, making the market seem more volatile.
Rashmi Chaudhary, Priti Bakhshi, Hemendra Gupta
Investment Management & Financial Innovations