Title: How do the sectoral indices react to COVID-19? Evidence from an emerging economy

Authors: Vineeta Kumari; Pradipta Banerjee; Dharen Kumar Pandey

Addresses: P.G. Department of Commerce, Magadh University, Bodh Gaya, Bihar – 824234, India ' Department of Commerce, Sidho Kanho Birsa University, Purulia, West Bengal – 723104, India ' P.G. Department of Commerce, Magadh University, Bodh Gaya, Bihar – 824234, India

Abstract: The study empirically examines the impact of the COVID-19 on different sectoral indices of the National Stock Exchange (India) using the event study method and a generalised autoregressive conditional heteroskedasticity (GARCH) model. We provide evidence of positive impacts on the auto, oil and gas, healthcare, and pharma sectors. While the bank, financial services, and private bank sectors are the most adversely impacted sectors, the PSU bank, media, and reality sectors are the least impacted, and the rest are moderately impacted sectors. The overall impact of COVID-19 was negative until the implementation of nationwide lockdowns and the announcement of stimulus packages. The GARCH results exhibit more substantial evidence for the negative impact of the pandemic on the FMCG, IT, metal, oil and gas, and PSU bank sectors. We also find a more favourable impact on FMCG, pharma, and healthcare sectors in India.

Keywords: COVID-19; event study; GARCH; second wave; NIFTY; sectoral indices; pandemic; abnormal returns.

DOI: 10.1504/IJICBM.2023.130923

International Journal of Indian Culture and Business Management, 2023 Vol.29 No.1, pp.1 - 22

Received: 31 Dec 2021
Accepted: 07 Jan 2022

Published online: 14 May 2023 *

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