COVID-19 and persistence in the stock market: a study on a leading emerging market

Anindita Bhattacharjee (), Monomita Nandy () and Suman Lodh ()
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Anindita Bhattacharjee: Symbiosis International (Deemed University)
Monomita Nandy: Brunel Business School
Suman Lodh: Kingston University London, Kingston Business School

International Journal of Disclosure and Governance, 2025, vol. 22, issue 2, No 13, 520-531

Abstract: Abstract In this study, we examine how sectors of the National Stock Exchange from India respond to the uncertainties introduced by the COVID-19 pandemic. By examining the synchronization between the sector-specific and overall market index (NIFTY 50) reaction to COVID-19, we contribute to the inconclusive ongoing academic literature regarding the impact of COVID-19 on the stock market, especially in the context of persistence in an emerging market. To analyze the persistence of sectoral indices, we apply multifractal detrended fluctuation analysis (MFDFA). We use the generalized Hurst exponent and singularity spectrum as indicators for persistence and spectral width as a measure of volatility. Our analysis shows that the sample sectoral indices are persistent before and after the announcement of COVID-19; however, volatility in some sectors reduces post-announcement of COVID-19. The findings will enrich the academic literature on the relationship between sector-specific and overall market indexes. In practice, the paper will guide investors to organize their portfolios, especially during future economic uncertainty.

Keywords: Behavioral bias; Market efficiency; Persistence; Hurst exponent; Multifractal behavior (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1057/s41310-024-00250-7

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