IMPACT OF COVID-19 ON PERFORMANCE ON INDIAN STOCK INDICES: A STUDY FOR NSE COMPOSITE AND SECTORAL INDICES

Nisarg A. Joshi ()
Additional contact information
Nisarg A. Joshi: Nirma University

Copernican Journal of Finance & Accounting, 2022, vol. 11, issue 4, 125-146

Abstract: Purpose/Objective: The objective of the paper was to scrutinize the impact of COVID-19 on the performance of composite and sectoral indices of National Stock Exchange (NSE) of India. Methodology and Approach: The study included sample daily closing prices from July 2019 to December 2020 for two composite indices and nine sectoral indices of NSE. The sample was divided into three sub-samples to check the impact before, during and after (after the lockdown was lifted) the pandemic on the volatility of returns. The volatility measures were regressed using a dummy variable for COVID-19. Findings: The results showed that there was an increase in the volatility of returns of the indices during COVID-19 as compared to post-lockdown period. It was also found that the skewness of returns of the indices have become more negative in the post COVID (post-lockdown) period. Practical Implications /Conclusion: The findings of the study have significant implications and impacts regarding the decision making for equity analysts, portfolio management firms, investors and traders for assessing their investment in a better way and deciding their investments. The author believed that these results would magnify the volatility relations.

Keywords: COVID-19; volatility; index returns; NSE; sectoral indices; post-COVID-19 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://apcz.umk.pl/CJFA/article/view/45200/36088 (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:cpn:umkcjf:v:11:y:2022:i:4:p:125-146

Access Statistics for this article

Copernican Journal of Finance & Accounting is currently edited by Leszek Dziawgo

More articles in Copernican Journal of Finance & Accounting from Uniwersytet Mikolaja Kopernika
Bibliographic data for series maintained by Miroslawa Buczynska ().