Did the Indian stock market overreact to Covid-19?

Pitabas Mohanty and Supriti Mishra

The North American Journal of Economics and Finance, 2024, vol. 70, issue C

Abstract: Several studies have used event studies to determine the impact of events such as war or pandemics on individual stocks. However, standard event study methodologies assume that the event does not affect the market index. Our study introduces a framework that aims to aid in interpreting event study findings, particularly in evaluating the effects of widespread factors such as pandemics or wars on individual stocks. We then use this framework to understand the impact of Covid-19 on stock prices in India.

Keywords: Covid-19; Overreaction; Indian stock market; Event effect; Valuation error effect (search for similar items in EconPapers)
JEL-codes: G12 G40 I15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300195x

DOI: 10.1016/j.najef.2023.102072

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