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COVID-19 related stringencies and financial market volatility: sectoral evidence from India
Journal of Financial Economic Policy ; 15(1):16-34, 2023.
Article in English | Scopus | ID: covidwho-2244369
ABSTRACT

Purpose:

This study aims to examine the impact of the stringency of COVID-19 protocols on the volatility of sectoral indices during the period 032020–052021. Specifically, this study investigates the role of economic disturbances on sectoral volatility by applying a range of conditional volatility techniques. Design/methodology/

approach:

For this analysis, two approaches were adopted. The first approach considers COVID stringency as a factor in the conditional variance equation of sectoral indices. In contrast, the second approach considers the stringency indicator as a possible determinant of their estimated conditional volatility.

Findings:

Results show that the stringency of the protocols throughout the pandemic phase led to an instantaneous spike followed by a gradual decrease in estimated volatility of all the sectoral indices except pharma and health care. Specific sectors such as bank, FMCG, consumer durables, financial services, IT, media and private banks respond to protocols expeditiously compared to other sectors. Originality/value The key contribution of this study to the existing literature is the innovative approach. The inclusion of the COVID stringency index as a regressor in the variance equation of the conditional volatility techniques was a distinctive approach for assessing the volatility dynamics with the stringency of COVID protocols. Furthermore, this study also adopts an alternative approach that estimates the conditional volatility of the indices and then tests the effect of the stringencies on estimated volatility in a regression framework. © 2022, Emerald Publishing Limited.
Keywords

Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Journal of Financial Economic Policy Year: 2023 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: Journal of Financial Economic Policy Year: 2023 Document Type: Article