ABSTRACT
This paper studies the impact of COVID-19 on Indian stock market through examining the responses of BSE sector indices: Auto, Healthcare, IT, FMCG and Capital Goods sectors from the period of 1st January, 2019 to 16th January, 2021. This period is further divided into four time-windows;Comparison window, Pre-lockdown window, during Lockdown and Unlock phase window to thoroughly analyse COVID-19 impact. Conventional t-test is applied to analyse and compare the daily returns of sectors during different time windows. Our empirical results showed that (a) COVID-19 has a significant and negative impact on the Indian market, but that impact is short-lived only during the Pre-lockdown window. (b) In the Pre-lockdown window, all sectors' returns are significantly negative, while during the Lockdown returns are significantly positive. The results indicate that the fear among the investors impacted the returns during the Pre-lockdown window. However, during the Lockdown window, all sector returns significantly increased suggesting that investors are optimistic about the future growth of the economy once COVID-19 pandemic ends, and the whole economy returns to its normal pace. The positive returns of Auto and Capital goods sector indicate that investors are either over optimistic for Vaccine discovery or not taking the pandemic seriously. This paper suggests that stock market is not representing the real economy. The findings have implications for the investors and market regulators. © 2022 Thammasat University. All Rights Reserved.