Vulnerability of financial markets in India: The contagious effect of COVID-19

Purnima Rao, Nisha Goyal, Satish Kumar, M. Kabir Hassan and Shahida Shahimi

Research in International Business and Finance, 2021, vol. 58, issue C

Abstract: This study aims to examine the impact of COVID-19 on financial markets, using emerging market data. Specifically, panel data regression is applied on 3200 observations for daily market returns during lockdown in India. The event study methodology is adopted to show abnormal returns registered in the lockdown period. A contrasting breakdown effect of COVID-19 on various Indian industries has been observed through sectoral analysis. The study also provides empirical evidence for lockdown measures taken by the government on stock market returns and post lockdown impact of COVID-19 on daily market returns for over 6550 observations.

Keywords: COVID-19; Panel data; Regression; Financial markets; Lockdown (search for similar items in EconPapers)
JEL-codes: C23 C33 F65 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000830

DOI: 10.1016/j.ribaf.2021.101462

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