The impact of Covid-19 on stock market returns in India

Nenavath Sreenu

International Journal of Trade and Global Markets, 2024, vol. 19, issue 1, 70-84

Abstract: We examine the impact of Covid-19 on the stock market returns in India. This paper uses the autoregressive integrated moving average (ARIMA), autoregressive conditional heteroscedasticity (ARCH), and general linear model (GLM). The data was used to analyse pre-Covid and Covid markets' daily closing prices of stock market indices. After the outbreak of Covid-19, the stock market became nervous as BSE Sensex and NSE Nifty fell by 38%. It led to a 27.31% loss in the total stock market from the beginning of the year. We find that the daily growth rate in Covid-19 cases and Covid-19 deaths are negatively associated with stock returns. Using information criteria and forecasting accuracy measures, we show that the Covid-19 confirmed cases contribute statistically significant information to the modelling of volatility and increase the forecasting ability of the volatility of the Indian stock market index, leading to a decrease in the mean stock index.

Keywords: Covid-19; stock price; market returns; economic growth; autoregressive integrated moving average; ARIMA; ARCH. (search for similar items in EconPapers)
Date: 2024
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