Relationship between COVID-19 waves and stock market: An event study analysis

Dhanraj Sharma, Ruchita Verma, Shiney Sam and Prince Godara
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Dhanraj Sharma: Department of Financial Administration, Central University of Punjab, Bathinda, Punjab, India
Ruchita Verma: Department of Financial Administration, Central University of Punjab, Bathinda, Punjab, India
Shiney Sam: Christ (Deemed to be University), Bengaluru, Karnataka, India
Prince Godara: Department of Financial Administration, Central University of Punjab, Bathinda, Punjab, India

International Journal of Financial Engineering (IJFE), 2024, vol. 11, issue 03, 1-16

Abstract: This study makes an attempt to evaluate the impact of first and second waves of COVID-19 on the major global stock markets. Further, the study also analyzed the effect of COVID-19 on the sectoral indices of India during the first and second waves. In order to achieve the objective, the event study methodology has been used and abnormal returns are computed around the event dates. The findings of the study reveal that major stock markets in the world adversely affected during the first wave of COVID-19 and the highest abnormal loss was observed in Toronto Stock Exchange (7.55%) on the event date. The impact of second wave of COVID-19 was not as severe as first wave and highest abnormal loss (2.37%) was observed in Moscow Exchange of Russia. The Indian sectoral indices also showed high volatility during both the waves of COVID-19.

Keywords: COVID-19; stock market; sectoral indices; abnormal returns (search for similar items in EconPapers)
JEL-codes: G1 G11 G14 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S2424786324410019

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