IMPACT OF COVID-19 ON PERFORMANCE ON INDIAN STOCK INDICES: A STUDY FOR NSE COMPOSITE AND SECTORAL INDICES
DOI:
https://doi.org/10.12775/CJFA.2022.022Keywords
COVID-19, volatility, index returns, NSE, sectoral indices, post-COVID-19Abstract
Purpose/Objective: The objective of the paper was to scrutinize the impact of COVID-19 on the performance of composite and sectoral indices of National Stock Exchange (NSE) of India. Methodology and Approach: The study included sample daily closing prices from July 2019 to December 2020 for two composite indices and nine sectoral indices of NSE. The sample was divided into three sub-samples to check the impact before, during and after (after the lockdown was lifted) the pandemic on the volatility of returns. The volatility measures were regressed using a dummy variable for COVID-19. Findings: The results showed that there was an increase in the volatility of returns of the indices during COVID-19 as compared to post-lockdown period. It was also found that the skewness of returns of the indices have become more negative in the post COVID (post-lockdown) period. Practical Implications /Conclusion: The findings of the study have significant implications and impacts regarding the decision making for equity analysts, portfolio management firms, investors and traders for assessing their investment in a better way and deciding their investments. The author believed that these results would magnify the volatility relations.
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