How do the sectoral indices react to COVID-19? Evidence from an emerging economy

被引：0
|
作者：
Kumari, Vineeta [1 ]
Banerjee, Pradipta [2 ]
Pandey, Dharen Kumar [1 ]
机构：
[1] Magadh Univ, PG Dept Commerce, Bodh Gaya 824234, Bihar, India
[2] Sidho Kanho Birsa Univ, Dept Commerce, Purulia 723104, West Bengal, India
来源：
INTERNATIONAL JOURNAL OF INDIAN CULTURE AND BUSINESS MANAGEMENT | 2023年 / 29卷 / 01期
关键词：
COVID-19; event study; GARCH; second wave; NIFTY; sectoral indices; pandemic; abnormal returns; TIME-SERIES; EVENT; IMPACT;
D O I：
10.1504/IJICBM.2023.130923
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The study empirically examines the impact of the COVID-19 on different sectoral indices of the National Stock Exchange (India) using the event study method and a generalised autoregressive conditional heteroskedasticity (GARCH) model. We provide evidence of positive impacts on the auto, oil and gas, healthcare, and pharma sectors. While the bank, financial services, and private bank sectors are the most adversely impacted sectors, the PSU bank, media, and reality sectors are the least impacted, and the rest are moderately impacted sectors. The overall impact of COVID-19 was negative until the implementation of nationwide lockdowns and the announcement of stimulus packages. The GARCH results exhibit more substantial evidence for the negative impact of the pandemic on the FMCG, IT, metal, oil and gas, and PSU bank sectors. We also find a more favourable impact on FMCG, pharma, and healthcare sectors in India.
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页码：1 / 22
页数：23
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