Short-Term Impact of COVID-19 on Indian Stock Market
Abstract
:1. Introduction
2. Literature Review
3. Data and Methodology
3.1. Data
3.2. Methodology
3.2.1. Constant Mean Return Model
3.2.2. Market Model
3.2.3. Market Adjusted Model
4. Results and Discussions
4.1. Average Abnormal Returns from NIFTY50 Index Components
4.2. Impact of the Pandemic in Different Sectors of the NIFTY50 Index
5. Conclusions
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
1 | https://www.moneycontrol.com/ (accessed on 1 February 2021). |
2 | National Stock Exchange. |
3 | Financial express. |
4 | KPMG Global: The impact of COVID-19 on the banking sector. |
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Constant Return Model | |||
---|---|---|---|
Day | AAR | p-Value | Median |
−15 | −3.9075 | 0.0003 | −3.7883 |
−14 | −0.9435 | 0.3461 | −0.8835 |
−13 | 2.5322 | 0.0138 | 1.9477 |
−12 | −0.3179 | 0.7499 | −0.3824 |
−11 | 0.1801 | 0.8567 | 0.0740 |
−10 | −2.3608 | 0.0212 | −2.1408 |
−9 | −4.3327 | 0.0001 | −4.3044 |
−8 | −0.8893 | 0.3742 | −0.7925 |
−7 | −8.4939 | 0.0000 | −8.1839 |
−6 | 3.3572 | 0.0014 | 3.4589 |
−5 | −6.9487 | 0.0000 | −6.8194 |
−4 | −2.0126 | 0.0478 | −1.8790 |
−3 | −5.4523 | 0.0000 | −5.0853 |
−2 | −3.4991 | 0.0009 | −3.5709 |
−1 | 5.7786 | 0.0000 | 5.9868 |
0 | −12.8067 | 0.0000 | −12.9117 |
1 | 2.1497 | 0.0351 | 1.6780 |
2 | 4.8656 | 0.0000 | 3.8818 |
3 | 3.7934 | 0.0004 | 2.9943 |
4 | −0.6171 | 0.5366 | −0.2112 |
5 | −2.7408 | 0.0080 | −2.5794 |
6 | 3.5554 | 0.0008 | 3.9330 |
7 | −3.4137 | 0.0012 | −3.5644 |
8 | −1.5683 | 0.1202 | −1.8574 |
9 | 8.7703 | 0.0000 | 8.8821 |
10 | 0.0995 | 0.9205 | −0.2617 |
11 | 4.1997 | 0.0001 | 3.7250 |
12 | −0.6202 | 0.5346 | −0.9234 |
13 | 0.2874 | 0.7732 | 0.0819 |
14 | 0.9406 | 0.3475 | 1.2790 |
15 | 2.0956 | 0.0397 | 1.3415 |
Market Adjusted Model | Market Model | |||||
---|---|---|---|---|---|---|
Day | AAR | p-Value | Median | AAR | p-Value | Median |
−15 | −0.1293 | 0.6178 | 0.0564 | −0.1388 | 0.5922 | −0.0822 |
−14 | −0.2589 | 0.3197 | −0.1646 | −0.2764 | 0.2883 | −0.3256 |
−13 | 1.0688 | 0.0001 | 0.4584 | 1.0458 | 0.0002 | 0.5044 |
−12 | 0.2134 | 0.4113 | 0.0782 | 0.1955 | 0.4514 | 0.2275 |
−11 | 0.0887 | 0.7320 | 0.0540 | 0.0692 | 0.7893 | −0.0144 |
−10 | 0.1885 | 0.4675 | 0.4055 | 0.1758 | 0.4979 | 0.1528 |
−9 | 0.6315 | 0.0178 | 0.7591 | 0.6250 | 0.0189 | 1.0219 |
−8 | −0.8871 | 0.0012 | −0.7450 | −0.9064 | 0.0009 | −0.8152 |
−7 | −0.1233 | 0.6341 | 0.1617 | −0.1210 | 0.6405 | −0.1552 |
−6 | −0.3807 | 0.1457 | −0.3582 | −0.4097 | 0.1180 | −0.4701 |
−5 | 0.7320 | 0.0065 | 0.8211 | 0.7326 | 0.0065 | 0.7971 |
−4 | 0.5606 | 0.0343 | 0.7200 | 0.5479 | 0.0384 | 0.6191 |
−3 | 0.1728 | 0.5054 | 0.5783 | 0.1680 | 0.5172 | −0.5460 |
−2 | −1.0057 | 0.0003 | −1.0815 | −1.0186 | 0.0002 | −1.0812 |
−1 | 0.0143 | 0.9559 | 0.1633 | −0.0198 | 0.9389 | −0.3792 |
0 | 0.2424 | 0.3511 | 0.1772 | 0.2568 | 0.3235 | 0.0706 |
1 | −0.2888 | 0.2675 | −0.6913 | −0.3144 | 0.2279 | −0.7162 |
2 | −1.6905 | 0.0000 | −2.6865 | −1.7267 | 0.0000 | −1.5993 |
3 | −0.0285 | 0.9125 | −0.6826 | −0.0576 | 0.8239 | −0.5200 |
4 | −0.7660 | 0.0045 | −0.3449 | −0.7857 | 0.0037 | −0.4052 |
5 | 1.7059 | 0.0000 | 1.7648 | 1.6981 | 0.0000 | 1.7452 |
6 | −0.1997 | 0.4417 | 0.3024 | −0.2287 | 0.3788 | 0.8310 |
7 | 0.6553 | 0.0141 | 0.3035 | 0.6466 | 0.0154 | 0.9920 |
8 | 0.5600 | 0.0345 | 0.2276 | 0.5462 | 0.0390 | 0.2145 |
9 | 0.0757 | 0.7701 | 0.2106 | 0.0339 | 0.8957 | 0.6737 |
10 | 0.6623 | 0.0132 | 0.3425 | 0.6445 | 0.0157 | 0.2997 |
11 | 0.1174 | 0.6504 | −0.4657 | 0.0876 | 0.7351 | −0.2594 |
12 | 0.7440 | 0.0057 | 0.4835 | 0.7282 | 0.0068 | 0.2387 |
13 | 1.1182 | 0.0001 | 0.7501 | 1.1011 | 0.0001 | 0.6618 |
14 | 0.2529 | 0.3308 | 0.6241 | 0.2319 | 0.3722 | 0.5030 |
15 | −0.8821 | 0.0012 | −1.6177 | −0.9091 | 0.0009 | −1.7541 |
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Varma, Y.; Venkataramani, R.; Kayal, P.; Maiti, M. Short-Term Impact of COVID-19 on Indian Stock Market. J. Risk Financial Manag. 2021, 14, 558. https://doi.org/10.3390/jrfm14110558
Varma Y, Venkataramani R, Kayal P, Maiti M. Short-Term Impact of COVID-19 on Indian Stock Market. Journal of Risk and Financial Management. 2021; 14(11):558. https://doi.org/10.3390/jrfm14110558
Chicago/Turabian StyleVarma, Yashraj, Renuka Venkataramani, Parthajit Kayal, and Moinak Maiti. 2021. "Short-Term Impact of COVID-19 on Indian Stock Market" Journal of Risk and Financial Management 14, no. 11: 558. https://doi.org/10.3390/jrfm14110558