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Vulnerability of financial markets in India: The contagious effect of COVID-19

Rao P 1 , Goyal N 2 , Kumar S 3 , Hassan MK 4 , Shahimi S 5

Affiliations 

  • 1 Finance Area, Fortune Institute of International Business, New Delhi, Delhi, 110057, India
  • 2 Finance Area, Center for Management Studies, Jain (Deemed to be University), Bangalore, Karnataka, 560027, India
  • 3 Department of Management Studies, Malaviya National Institute of Technology, Jaipur, Rajasthan, 302017, India
  • 4 Department of Economics and Finance in the University of New Orleans, USA
  • 5 Faculty of Economics and Management, Universiti Kebangsaan Malaysia, UKM, Bangi, Selangor, 43600, Malaysia
Res Int Bus Finance, 2021 Dec;58:101462.
PMID: 36540343 DOI: 10.1016/j.ribaf.2021.101462

Abstract

This study aims to examine the impact of COVID-19 on financial markets, using emerging market data. Specifically, panel data regression is applied on 3200 observations for daily market returns during lockdown in India. The event study methodology is adopted to show abnormal returns registered in the lockdown period. A contrasting breakdown effect of COVID-19 on various Indian industries has been observed through sectoral analysis. The study also provides empirical evidence for lockdown measures taken by the government on stock market returns and post lockdown impact of COVID-19 on daily market returns for over 6550 observations.

* Title and MeSH Headings from MEDLINE®/PubMed®, a database of the U.S. National Library of Medicine.

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