Impact of Covid-19 on Volatility of BSE Sensex Stock Index

Q4 Economics, Econometrics and Finance

International Journal of Electronic Finance Pub Date : 2022-01-01 DOI:10.1504/ijef.2022.10044813

Pritpal Singh Bhullar, Pradeep Gupta, Dyal Bhatnagar

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引用次数: 3

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. © 2022 Inderscience Enterprises Ltd.

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Covid-19对BSE Sensex股指波动性的影响

本研究调查了COVID-19对BSE Sensex股票指数波动性的影响。2020年3月1日至2020年12月27日，印度每周COVID-19死亡病例(一个自变量)数据取自世界卫生组织官方网站。在研究期间，还考虑了因变量(Sensex)和控制变量(原油、比特币、以太坊、莱特币)的每周数据。GARCH(1,1)模型用于提取研究中考虑的变量的波动率序列，并应用向量误差修正模型(VECM)。此外，还进行了ADF、方差分解检验、脉冲响应检验等鲁棒性检验来检验结果的有效性。研究结果表明，在指定的研究期间，COVID-19死亡病例对BSE Sensex股票指数产生了显著的负面影响。印度COVID-19死亡病例的负系数反映了BSE Sensex股票指数的波动性日益增加。©2022 Inderscience Enterprises Ltd

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来源期刊

International Journal of Electronic Finance Business, Management and Accounting-Management of Technology and Innovation

CiteScore

1.20

自引率

0.00%

发文量

期刊介绍： IJEF publishes articles that present current practice and research in the area of e-finance. It is dedicated to design, development, management, implementation, technology, and application issues in e-finance. Topics covered include: -E-business and IT/IS investment -E-banking/m-banking strategy/implementation -Digitisation in financial supply chain -[E-]auditing, e-taxation, e-cash flow -Customer channel management -Data mining/warehousing -E-lending/e-payment/e-procurement -Cultural/social/political issues -E-trading/online auctions -Knowledge management -Business intelligence -E-government regulation -Security/privacy/trust -IT risk analysis -Human-computer interaction