Abstract

In the present study we examine the impact of announcement of first lockdown after the outbreak of COVID-19 on the Indian stock market. We examined the daily abnormal returns for 60 days event window, with 30 days pre-announcement and 30 days post announcement of the event with an estimation period of 250 days before 30 days pre-event. Abnormal returns have been calculated using market model with Nifty index as proxy for market returns. To test the significance of average abnormal returns, paired sample t-test has been used. The results indicate that there was a statistically significant impact on the stock prices of the pharma companies on account of the announcement of the lockdown due to COVID-19. Although, there was some disturbance observed among the other sectors it was not found to be statistically significant.

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