Volatility in Indian stock markets during COVID-19: An analysis of equity investment strategies

Title

Volatility in Indian stock markets during COVID-19: An analysis of equity investment strategies

Creator

Gupta K.; Das S.; Gupta K.

Description

The aim of the paper is to evaluate the impact of novel COVID-19 on the returns and volatility of Indian stock markets with special reference to equity investment strategies of the Bombay Stock Exchange. For the purpose of evaluating the impact, the study has applied GARCH. The research has considered a time frame from March 2015 to January 2021. Prior to implementing GARCH model, pre-estimation tests (i.e., augmented Dickey-Fuller and ARCH-Lagrange multiplier) were conducted. Outcomes clearly indicate that the returns during the crisis for all the strategy indices have been negative, which means that the COVID-19 outbreak resulted in massive losses. Additionally, 'during crisis' period showed an increase in volatility for all the strategy indices depicting that the pandemic has a long-lasting effect and will take time to fade off. This research will help the investors in the investment decision process by giving them insights about the different strategies. 2021.

Source

International Journal of Business Analytics, Vol-9, No. 1, pp. 1-16.

Date

2022-01-01

Publisher

IGI Global

Subject

BSE; COVID-19; Equity Investment Strategies; GARCH; India; Indian Stock Market Performance

Coverage

Gupta K., Amity University, Noida, India; Das S., Christ University (Deemed), India; Gupta K., Symbiosis International University (Deemed), India

Rights

All Open Access; Hybrid Gold Open Access

Relation

ISSN: 23344547

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.4018/IJBAN.288512

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85116170858&doi=10.4018%2fIJBAN.288512&partnerID=40&md5=79e20ddd320e79f181bfed58e0b9c937