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

Q3 Economics, Econometrics and Finance

International Journal of Monetary Economics and Finance Pub Date : 2021-07-12 DOI:10.1504/IJMEF.2021.116545

N. Singh, Himanshu Goel, Shabnam Kumari

引用次数: 1

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.

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新冠肺炎、封锁和解锁对印度股市的影响及其与中国股市的国际联系

本研究调查了大流行性新冠肺炎、全国封锁和解锁对印度股市的影响。首先，我们利用EGARCH模型分析了封锁和解锁事件对印度股市回报波动的影响。研究结果表明，封锁对BSE回报的波动性有显著的积极影响。其次，本研究使用协整和因果关系技术调查了新冠疫情前和疫情期间印度和中国市场之间的相互联系。协整检验表明，印度和中国在这两个时期都不存在长期关系。然而，因果关系结果揭示了新冠肺炎前印度和中国之间的单向因果关系。因此，本研究的发现对所有类别的投资者和投资组合经理都是有益的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Monetary Economics and Finance Economics, Econometrics and Finance-Finance

CiteScore

1.20

自引率

0.00%

发文量

期刊介绍： International money, banking and finance have become central to understanding how modern open economies and national economic policies work and interact. IJMEF is an international, peer-reviewed journal at the forefront of economic research, fostering discussion on advances in research which have a significant, long-term impact. With articles from both economists and finance experts, IJMEF represents a focal point for understanding issues involved in economic growth, providing a truly global perspective on monetary and financial questions at national and international levels. Topics covered include: -International financial institutions- Monetary theory- Exchange rates and interest rates- Bank services and development- Central banking- International banking- Credit and financial markets- Open economy macroeconomics- Macroeconometrics- International finance- Financial markets and institutions- Corporate governance- Financial liberalisation- Financial performance- Credit channels.