The COVID19 Pandemic's Emergence and Its Impact on Stock Market Volatility

Abstract

This study empirically examines the impact of COVID 19 on the volatility of the Indian stock market using a generalized autoregressive conditional heterogeneous variance model. From September 3, 2019 to July 10, 2020, the analysis was performed using the daily closing prices of the Nifty and Sense stock indexes. In addition, this study compared stock price returns before and after COVID 19. According to the data, the Indian stock market is characterized by pandemic volatility. Comparing the results with COVID, we found that the period prior to COVID 19 had higher index returns than the period prior to COVID19 periods. The onset of the COVID-19 pandemic, as well as government lockdown announcements, has created uncertainty in global business operations. Surprisingly, The stock market has been impacted significantly by a health crisis. The value of India's key stock indices has fallen by about 40%, making it one of the world's most significant emerging markets. Next, we investigated the short-term impact of pandemics on the Indian Stock Market Primary Index (NIFTY50) and its sectors. In our research, we used three alternative event research methods: a constant return model, a market model, and a market adjustment model. our outcomes are heterogeneous and heavily influenced by the sectors. Every sector was temporarily impacted; However, the banking industry was hit the worst. The effects of Parma, consumer goods, and information technology were all positive or minimal. We go over some of the theories that could explain this. These findings may aid investors in protecting Make smarter investment decisions to protect your equity portfolio from unexpected shocks and avoid huge unplanned losses.