Econometric and stochastic analysis of stock price before and during COVID-19 in India

Madhavan Madheswaran (), Kasilingam Lingaraja () and Pandiaraja Duraisamy ()
Additional contact information
Madhavan Madheswaran: Thiagarajar College, Madurai Kamaraj University
Kasilingam Lingaraja: Thiagarajar College
Pandiaraja Duraisamy: Thiagarajar College

Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, 2024, vol. 26, issue 3, No 80, 7579-7594

Abstract: Abstract Unexpected and sudden spread of the novel Coronavirus disease (COVID-19) has opened up many scopes for researchers in the fields of biotechnology, health care, educational sectors, agriculture, manufacturing, service sectors, marketing, finance, etc. Hence, the researchers are concerned to study, analyze and predict the impact of infection of COVID-19. The COVID-19 pandemic has affected many fields, particularly the stock markets in the financial sector. In this paper, we have proposed an econometric approach and stochastic approach to analyze the stochastic nature of stock price before and during a COVID-19-specific pandemic period. For our study, we considered the BSE SENSEX INDEX closing pricing data from the Bombay Stock Exchange for the period before and during COVID-19. We have applied the statistical tools, namely descriptive statistics for testing the normal distribution of data, unit root test for testing the stationarity, and GARCH and stochastic model for measuring the risk, also investigated drift and volatility (or diffusion) coefficients of the stock price SDE by using R Environment software and formulated the 95% confidence level bound with the help of 500 times simulations. Finally, the results have been obtained from these methods and simulations are discussed.

Keywords: COVID-19; Stock price; GARCH; Stochastic differential equation; Simulation (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10668-023-03022-5 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:endesu:v:26:y:2024:i:3:d:10.1007_s10668-023-03022-5

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/10668

DOI: 10.1007/s10668-023-03022-5

Access Statistics for this article

Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development is currently edited by Luc Hens

More articles in Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().