Impact of COVID-19 on volatility of BSE Sensex stock index
International Journal of Electronic Finance
; 11(2):175-187, 2022.
Article
in English
| Scopus | ID: covidwho-1833690
ABSTRACT
The present study investigates the impact of COVID-19 on the volatility of BSE Sensex stock index. The weekly data on COVID-19 fatality cases, an independent variable, in India from 1 March 2020 to 27 December 2020 has been taken from the official website of the World Health Organization. The weekly data on a dependent variable (Sensex) and control variables (crude oil, Bitcoin, Ethereum, Litecoin) have also been considered for the period under study. The GARCH(1, 1) model has been used to extract the volatility series of the variables that are considered in the investigation, and vector error correction model (VECM) is also applied. Further, robust tests like ADF, variance decomposition test, impulse response test have been performed to check the validity of the results. The findings suggest the significant negative effect of COVID-19 fatality cases on BSE Sensex stock index during the specified study period. This negative coefficient of COVID-19 fatality cases in India reflects the increasing volatility of the BSE Sensex stock index. © 2022 Inderscience Enterprises Ltd.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Experimental Studies
Language:
English
Journal:
International Journal of Electronic Finance
Year:
2022
Document Type:
Article
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