The outbreak of COVID-19 pandemic and its impact on stock market volatility: Evidence from a worst-affected economy

被引：71

作者：

Bora, Debakshi ^{[1
]}

Basistha, Daisy ^{[2
]}

机构：

[1] Assam Womens Univ, Dept Econ, Jorhat 785001, Assam, India

[2] Bihpuria Coll, Dept Econ, Lakhimpur, India

来源：

JOURNAL OF PUBLIC AFFAIRS | 2021年 / 21卷 / 04期

关键词：

D O I：

10.1002/pa.2623

中图分类号：

C93 [管理学]; D035 [国家行政管理]; D523 [行政管理]; D63 [国家行政管理];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ; 1204 ; 120401 ;

摘要：

This paper empirically investigates the impact of COVID-19 on the volatility of stock prices in India with the help of a generalized autoregressive conditional heteroscedasticity model. Daily closing prices of stock indices, Nifty and Sensex from September 3, 2019 to July 10, 2020 has been used for the analysis. Further, the study has been attempted to make a comparison of stock price return in pre-COVID-19 and during COVID-19 situation. Findings reveal that the stock market in India has experienced volatility during the pandemic period. While comparing the result during COVID period with that of the pre-COVID, we found that the return on the indices is higher in the pre-COVID-19 period than during COVID-19.

引用

页数：10

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