Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective

Emon Kalyan Chowdhury

Journal of Capital Markets Studies, 2022, vol. 6, issue 3, 225-241

Abstract: Purpose - This paper aims to analyze the impact of Covid-19 on the stock market volatility and uncertainty during the first and second waves. Design/methodology/approach - This study has applied event study and autoregressive integrated moving average models using daily data of confirmed and death cases of Covid-19, US S&P 500, volatility index, economic policy uncertainty and S&P 500 of Bombay Stock Exchange to attain the purpose. Findings - It is observed that, during the first wave, the confirmed cases and the fiscal measure have a significant impact, while the vaccination initiative and the abnormal hike of confirmed cases have a significant impact on the US stock returns during the second wave. It is further observed that the volatility of Indian and US stock markets spillovers during the sample period. Moreover, a perpetual correlation between the Covid-19 and the stock market variables has been noticed. Research limitations/implications - At present, the world is experiencing the third wave of Covid-19. This paper has considered the first and second waves. Practical implications - It is expected that business leaders, stock market regulators and the policymakers will be highly benefitted from the research outcomes of this study. Originality/value - This paper briefly highlights the drawbacks of existing policies and suggests appropriate guidelines to successfully implement the forthcoming initiatives to reduce the catastrophic impact of Covid-19 on the stock market volatility and uncertainty.

Keywords: Covid-19; Stock market; Economic uncertainty; Event study; ARIMA; B26; C58; E44 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)

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:eme:jcmspp:jcms-05-2022-0015

DOI: 10.1108/JCMS-05-2022-0015

Access Statistics for this article

Journal of Capital Markets Studies is currently edited by Prof Guler Aras

More articles in Journal of Capital Markets Studies from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().