Dynamic spillover among the sectoral indices: Evidence from first and second waves of COVID-19

Amritkant Mishra, Ajit Kumar Dash, Shri Narayan Pandey and Amba Agarwal
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Amritkant Mishra: Department of Economics, BSS&H, Birla Global University, Bhubaneswar, India
Ajit Kumar Dash: Department of Economics, BSS&H, Birla Global University, Bhubaneswar, India
Shri Narayan Pandey: Government S K College, Mauganj Rewa, India
Amba Agarwal: Department of HSS, Jaypee Institute of Information Technology, Noida, India

International Journal of Financial Engineering (IJFE), 2023, vol. 10, issue 03, 1-22

Abstract: This examination endeavors to divulge the effects of the COVID-19 first and second waves on daily sectoral indices and volatility spillover in Indian markets. The empirical outcomes of the analysis reveal that the outbreaks of the first and second waves had a heterogeneous impact on the average value of eleven major sectoral indices. It also produces sufficient evidence of the assorted impacts of the first and second waves on volatility. The empirical outcome also confirms that the COVID-19 first wave led to greater uncertainty and intensification of volatility in the financial market as compared to the second wave. Finally, our research shows that the auto, banking, and Fast-moving consumer good (FMCG) sectors in India experienced higher volatility during the first wave of COVID-19, as these sectors contributed to the volatility in other sectors. However, consumer durables, metals, and oil and gas appear to have had the greatest impact on sectoral indices during the first wave, as they are a net recipient of volatility in the Indian financial market. On the other hand, on the basis of relevant outcomes, it can be surmised that the media, FMCG, and banking sectors demonstrated a high level of dominance on the other indices during the second wave of COVID-19 in India. However, consumer durables, pharmaceuticals, real estate, and information technology sectoral indices appeared mostly affected during the first and second waves of COVID-19, as they are net receivers of volatility in the Indian financial market.

Keywords: Sectoral indices; volatility spillover; Indian market; COVID-19 and national stock exchange (search for similar items in EconPapers)
JEL-codes: E37 G11 G12 G15 G17 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1142/S2424786323500202

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