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Did the Indian stock market overreact to Covid-19?

Author

Listed:
  • Mohanty, Pitabas
  • Mishra, Supriti

Abstract

Several studies have used event studies to determine the impact of events such as war or pandemics on individual stocks. However, standard event study methodologies assume that the event does not affect the market index. Our study introduces a framework that aims to aid in interpreting event study findings, particularly in evaluating the effects of widespread factors such as pandemics or wars on individual stocks. We then use this framework to understand the impact of Covid-19 on stock prices in India.

Suggested Citation

  • Mohanty, Pitabas & Mishra, Supriti, 2024. "Did the Indian stock market overreact to Covid-19?," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300195x
    DOI: 10.1016/j.najef.2023.102072
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    More about this item

    Keywords

    Covid-19; Overreaction; Indian stock market; Event effect; Valuation error effect;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • I15 - Health, Education, and Welfare - - Health - - - Health and Economic Development

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