Sectoral Nonlinear Causality Between Stock Market Volatility and the COVID-19 Pandemic - Evidence From India

Debi Bal and Seba Mohanty ()
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Seba Mohanty: Department of Economics, Birla School of Social Sciences and Humanities, Birla Global University Bhubaneswar, India

Asian Economics Letters, 2021, vol. 2, issue 1, 1-4

Abstract: This paper examines the linear and nonlinear relationship between daily confirmed COVID-19 cases and sectoral stock market volatility in India. The linear Granger causality test reveals bidirectional causality. Further, we observe that bidirectional nonlinear Granger causality exists between stock market volatility and COVID-19. This implies that the historical and lagged information can have a significant role in predicting COVID-19 cases and the stock market.

Keywords: covid-19; volatility; stock market (search for similar items in EconPapers)
JEL-codes: G15 I1 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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