Stock Market Efficiency and COVID-19 with Multiple Structural Breaks: Evidence from India

Title

Stock Market Efficiency and COVID-19 with Multiple Structural Breaks: Evidence from India

Creator

Bhatia M.

Description

The objective of the study is to investigate the influence of the coronavirus pandemic (endogenous crisis) on the stock market efficiency of India during the multiple break periods. The empirical analysis is performed using conditional heteroscedasticity and a small sample robust wild bootstrap automatic variance ratio test and automatic portmanteau test on a daily stock return data of two benchmark indices, that is, NIFTY and SENSEX. The empirical results demonstrate that the stock return of two indices deviates from market efficiency during some periods of the analysis, notably during the nationwide lockdown and peak periods of coronavirus cases in India. These findings indicate that changing stock market behaviour becomes more speculative and earns abnormal profits. To the best of the authors knowledge, this study provides the first evidence of investigating the variations in the stock market efficiency of India in response to this endogenous crisis. 2022 International Management Institute, New Delhi.

Source

Global Business Review

Date

2022-01-01

Publisher

Sage Publications India Pvt. Ltd

Subject

automatic portmanteau test; COVID-19; India; Stock market efficiency; wild bootstrap automatic variance ratio test

Coverage

Bhatia M., Christ (Deemed-To-Be) University, Delhi-NCR Campus, India, Indian Institute of Technology, Uttarakhand, Roorkee, India

Rights

Restricted Access

Relation

ISSN: 9721509

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.1177/09721509221110372

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