Title: Impact of the COVID-19, lockdown and unlock on the Indian stock market and its international linkage with the Chinese stock market

Authors: Narinder Pal Singh; Himanshu Goel; Shabnam Kumari

Addresses: Jagan Institute of Management Studies, Rohini, New Delhi – 110085, India ' Lloyd Business School, Greater Noida, Uttar Pradesh, India ' Jagan Institute of Management Studies, Rohini, New Delhi – 110085, India

Abstract: This study investigates the impact of pandemic COVID-19, nationwide lockdown and unlock on the Indian stock market. Firstly, we analyse the impact of lockdown and unlock episodes on the volatility of the Indian stock market returns by employing the EGARCH model. The findings reveal that lockdown has a significant positive impact on the volatility of BSE returns. Secondly, this study investigates the interlinkage between Indian and Chinese markets using cointegration and causality technique in the pre and during COVID periods. Cointegration test indicates that there is no long run relationship between India and China in both the sub-periods. However, the causality results reveal unidirectional causality between India and China in the pre COVID-19 period. Therefore, the findings of this research are beneficial to investors of all categories and portfolio managers.

Keywords: COVID-19; lockdown; unlock; interlinkage; Indian stock market; China.

DOI: 10.1504/IJMEF.2021.116545

International Journal of Monetary Economics and Finance, 2021 Vol.14 No.3, pp.249 - 264

Received: 24 Oct 2020
Accepted: 13 Dec 2020
Published online: 27 Jul 2021 *

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