印度股市对新冠肺炎疫情的反应:极端日间波动的实证分析

IF 3 Q2 BUSINESS
Dhanraj Sharma, Ruchita Verma, Shiney Sam, Shubham Sharma
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引用次数: 0

摘要

自第二次世界大战以来,新冠肺炎疫情一直被认为是一场巨大的全球危机,扰乱了全球的商业和经济活动。目前的研究考察了股市对2019冠状病毒病爆发的反应,考虑到印度股市的极端日间波动。在2020年1月至2021年12月的研究期间,标普CNX nif50指数的极端日间波动已被确定,并根据与COVID-19相关的正面和负面公告进一步分类为下跌和上涨事件。本研究采用事件研究法和面板回归法进行实证研究。事件研究分析结果表明,重大下跌事件的显著异常损失在12.86% ~ 2.47%之间,重大收益事件的显著异常收益在8.43% ~ 3.23%之间。回归分析结果显示,实际收益和央行政策利率对新冠肺炎期间的异常收益有相当大的影响。该研究的结果有助于确定需要注重金融教育并加强卫生和金融相关政策以应对未来此类流行病的政策含义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Reaction of Indian Stock Market to Outbreak of COVID-19: An Empirical Analysis of Extreme Inter-day Movements
The contagious COVID-19 pandemic has been considered a massive global crisis since World War II and has disturbed business and economic activities across the globe. The current study examined the reaction of the stock market’s to the outbreak of COVID-19, considering the extreme inter-day movements in the Indian stock market. The extreme inter-day movements in S&P CNX Nifty-50 have been identified during the study period from January 2020 to December 2021 and further classified into decline and gain events based on positive and negative announcements related to COVID-19. The study utilized an event study approach and panel regression for empirical investigation. The results of the event study analysis illustrate that the significant abnormal loss ranges from 12.86% to 2.47% for the major decline events and significant abnormal return from 8.43% to 3.23% for the gain events. The regression analysis results showed that real return and Central Bank Policy rate have a considerable impact on the abnormal returns during COVID-19. The study’s findings are helpful to policy implications that identified the need to focus on financial education and strengthen the health and finance-related policies to deal with such pandemics in the future.
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来源期刊
CiteScore
4.60
自引率
0.00%
发文量
121
期刊介绍: Vision-The Journal of Business Perspective is a quarterly peer-reviewed journal of the Management Development Institute, Gurgaon, India published by SAGE Publications. This journal contains papers in all functional areas of management, including economic and business environment. The journal is premised on creating influence on the academic as well as corporate thinkers. Vision-The Journal of Business Perspective is published in March, June, September and December every year. Its targeted readers are researchers, academics involved in research, and corporates with excellent professional backgrounds from India and other parts of the globe. Its contents have been often used as supportive course materials by the academics and corporate professionals. The journal has been providing opportunity for discussion and exchange of ideas across the widest spectrum of scholarly opinions to promote theoretical, empirical and comparative research on problems confronting the business world. Most of the contributors to this journal range from the outstanding and the well published to the upcoming young academics and corporate functionaries. The journal publishes theoretical as well as applied research works.
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