Title: Impact of COVID-19 on volatility of BSE Sensex stock index

Authors: Pritpal Singh Bhullar; Pradeep Kumar Gupta; Dyal Bhatnagar

Addresses: University Business School, Maharaja Ranjit Singh Punjab Technical University, Bathinda, India ' LM Thapar School of Management, Thapar Institute of Engineering and Technology, Patiala, India ' University School of Business Studies, Talwandi Sabo Campus, Panjabi University, Patiala, India

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.

Keywords: COVID-19; Indian stock market; cryptocurrencies; crude oil; vector error correction model; VECM.

DOI: 10.1504/IJEF.2022.10044813

International Journal of Electronic Finance, 2022 Vol.11 No.2, pp.175 - 187

Received: 21 Oct 2021
Accepted: 11 Dec 2021

Published online: 11 Apr 2022 *

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