Title: White Swan - the pandemic crisis, lockdown and unlock effect on the Indian stock market

Authors: Narinder Pal Singh; Himanshu Goel

Addresses: Jagan Institute of Management Studies, Rohini, New Delhi – 110085, India ' Jagan Institute of Management Studies, Rohini, New Delhi – 110085, India

Abstract: The COVID-19 pandemic crisis, the White Swan event, has pushed the world markets to crash to levels that have not been witnessed since the 2008 Global Financial Crisis. Therefore, this study investigates the impact of the first wave of pandemic COVID-19, nationwide lockdown and unlock on the Indian stock market. The findings reveal that the lockdown has a significant positive impact on the volatility of BSE returns. Secondly, this study investigates the relationship between daily confirmed cases of COVID-19 and the closing price of BSE Sensex using Johansen's cointegration test. The results of cointegration test indicate that there is a long run relationship between daily confirmed cases and closing price of Sensex. Therefore, the findings of this research are beneficial to investors of all categories and portfolio managers.

Keywords: COVID-19; lockdown; unlock; EGARCH; Indian stock market; volatility.

DOI: 10.1504/GBER.2022.121004

Global Business and Economics Review, 2022 Vol.26 No.2, pp.152 - 162

Received: 12 Feb 2021
Accepted: 08 Jul 2021

Published online: 17 Feb 2022 *

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