Abstract
The current empirical study attempts to analyze the impact of COVID-19 on the performance of the Indian stock market concerning two composite indices (BSE 500 and BSE Sensex) and eight sectoral indices of Bombay Stock Exchange (BSE) (Auto, Bankex, Consumer Durables, Capital Goods, Fast Moving Consumer Goods, Health Care, Information Technology, and Realty) of India, and compare the composite indices of India with three global indexes S&P 500, Nikkei 225, and FTSE 100. The daily data from January 2019 to May 2020 have been considered in this study. GLS regression has been applied to assess the impact of COVID-19 on the multiple measures of volatility, namely standard deviation, skewness, and kurtosis of all indices. All indices’ key findings show lower mean daily return than specific, negative returns in the crisis period compared to the pre-crisis period. The standard deviation of all the indices has gone up, the skewness has become negative, and the kurtosis values are exceptionally large. The relation between indices has increased during the crisis period. The Indian stock market depicts roughly the same standard deviation as the global markets but has higher negative skewness and higher positive kurtosis of returns, making the market seem more volatile.
Highlights
The novel coronavirus, i.e., COVID-19, which is a human transmitted disease, was first detected in December 2019 in Wuhan, China, and it spread at an exploratory rate in the rest of the world (Wuhan Municipal Health Commission, 2019)
Another objective is to compare the Histograms and bell curve are plotted from the composite index Bombay Stock Exchange (BSE) 500 of India with three glob- descriptive statistics to show the behavior of the al indexes S&P 500 of the US, Nikkei 225 of Japan, frequency of index returns during the COVID-19 and FTSE 100 of the UK
Where n is the number of observations, S is the measure of skewness, and K is the measure of where SDt is the standard deviation for the index at time t, and COVID is a dummy variable equal to 1 for the COVID-19 period
Summary
The novel coronavirus, i.e., COVID-19, which is a human transmitted disease, was first detected in December 2019 in Wuhan, China, and it spread at an exploratory rate in the rest of the world (Wuhan Municipal Health Commission, 2019). There is er previous crises as this crisis is impacting huge volatility in the US (Alfaro et al, 2020), China the much more integrated globe without much fo- (Al-Awadhi et al, 2020), global financial market cus only on low-middle income economies, with (Zhang, Hu, & Ji, 2020), major stock indexes from 64 the lowest historical rate of interest, and much high- countries (Ashraf, 2020). Lower volatility indicates that stock value does icy interventions, both fiscal and monetary, and eco- not fluctuate much in the short term (Glosten et al, nomic aids to protect human health, economic loss- 1993). All the sectors taken for analyfinding the impact of COVID-19 on various param- sis are important and constitute a major part eters like health, economy, packages, climate change, of the Indian stock market composite indices.
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