Abstract
The COVID-19 pandemic had a profound impact on financial markets worldwide, including those in India, and it has resulted in increased volatility with spillover effects across various industries. This study provides insights into the differential impact of COVID-19 on various industries in India by employing the ARIMA-GARCH model. The study utilized daily data spanning from 2017 to 2023 to examine industry responses during the COVID-19 pandemic, delineating three distinct periods: 2017 to 2021, denoting the pre pandemic era; 2020 to 2023, encompassing the turbulent during-COVID phase; and 2021 to 2023, representing the post-COVID era. In this study, the IT and real estate sectors are considered dependent variables, while the automotive and pharmaceutical sectors are regarded as independent variables. The primary aim is to uncover the complex influence of the IT industry on the automotive, pharmaceutical, and real estate sectors during these time frames; and to elucidate how the real estate industry reciprocally affects these sectors. Our empirical analysis provides insights into the asymmetric transmission mechanism of spillovers. By disentangling overall shocks into macroeconomic impacts affecting all sectors and industrial influences exclusive to specific sectors, we discern that macroeconomic shocks, rather than industrial shocks, primarily dictate the asymmetry in spillover transmission dynamics. This study contributes to a comprehensive understanding of how industries responded to the unprecedented challenges posed by the pandemic, offering valuable insights for strategic decision-making and policy formulation in the post-COVID-19 era.
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