Border disputes and heterogeneous sectoral returns: An event study approach

Abstract

We show heterogeneous impacts of two sorts of events using a sample of six events arising from the Indian border disputes in 2020. The NIFTY's sectoral indices reacted heterogeneously to both events. While a few sectors evidenced positive and negative abnormal returns, others were unaffected by the events. The cross-section of the abnormal returns reveals that higher risk and volatility lead to higher returns during the post-event window.