INVESTORS AND INDIAN STOCK INDICES REACTION TO NEWS ANNOUNCEMENTS DURING COVID-19

ABSTRACT

Using Mahalanobis distance process we identify 31 extreme values in daily return series of study variables span between February 2020 and June 2021. These extreme values represent 10 percent of total observations (N = 304). We gather news announcements around those 31 trading days and quantified into four groups. We examine investors (clients, FIIs, DIIs and proprietary) and stock indices (BSE Sensex, and BSE S&P 500) reaction to these news announcements. In addition, using non-parametric statistical tests, we investigate randomness, equality of distribution and day of the week effect of study variables. Results are mixed. We find statistically significant difference between two groups of news announcements in stock indices. On the other side, there is no such difference in investor categories. We find the returns series of Sensex, BSE S&P 500, FIIs, DIIs to be random and clients, proprietary to be non-random. We also find that the daily returns of all variables are not statistically significant from their median return. Finally, we do not find any evidence of day of the week effect on investors' investment pattern. We conclude that impact of negative news surrounding Covid-19 is succumbing by Government of India (GoI) interventions. The stock market movements are random and there is no day of the week effect in net flow of investments. There is a visible trend in clients and proprietary investors' net flow into the market.