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Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective

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  • Emon Kalyan Chowdhury

Abstract

Purpose - This paper aims to analyze the impact of Covid-19 on the stock market volatility and uncertainty during the first and second waves. Design/methodology/approach - This study has applied event study and autoregressive integrated moving average models using daily data of confirmed and death cases of Covid-19, US S&P 500, volatility index, economic policy uncertainty and S&P 500 of Bombay Stock Exchange to attain the purpose. Findings - It is observed that, during the first wave, the confirmed cases and the fiscal measure have a significant impact, while the vaccination initiative and the abnormal hike of confirmed cases have a significant impact on the US stock returns during the second wave. It is further observed that the volatility of Indian and US stock markets spillovers during the sample period. Moreover, a perpetual correlation between the Covid-19 and the stock market variables has been noticed. Research limitations/implications - At present, the world is experiencing the third wave of Covid-19. This paper has considered the first and second waves. Practical implications - It is expected that business leaders, stock market regulators and the policymakers will be highly benefitted from the research outcomes of this study. Originality/value - This paper briefly highlights the drawbacks of existing policies and suggests appropriate guidelines to successfully implement the forthcoming initiatives to reduce the catastrophic impact of Covid-19 on the stock market volatility and uncertainty.

Suggested Citation

  • Emon Kalyan Chowdhury, 2022. "Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective," Journal of Capital Markets Studies, Emerald Group Publishing Limited, vol. 6(3), pages 225-241, October.
    • Handle: RePEc:eme:jcmspp:jcms-05-2022-0015
    DOI: 10.1108/JCMS-05-2022-0015
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    Cited by:

    1. Lohani, Fazle & Rahman, Mostafizur & Shaturaev, Jakhongir, 2023. "The Impact of Artificial Intelligence on Economic Patterns," MPRA Paper 118316, University Library of Munich, Germany, revised 08 Mar 2023.
    2. Nahar, Kamrun & Akhter, Suraiya & Shaturaev, Jakhongir, 2024. "Impact of Artificial Intelligence on the Human Resources Management," MPRA Paper 120579, University Library of Munich, Germany, revised 08 Feb 2024.
    3. Chowdhury, Emon Kalyan, 2021. "Trade-off between Fundamental and Technical Analysis," MPRA Paper 117991, University Library of Munich, Germany.
    4. Shaturaev, Jakhongir, 2023. "Impact of Covid-19 on stock market volatility-A Bangladesh Perspective," MPRA Paper 118207, University Library of Munich, Germany, revised 10 Mar 2023.
    5. Silva, Buddhika & Hasan, Amena, 2023. "Beyond the Glass Ceiling: How Women Leaders Drive Innovation and Performance in Top Management," MPRA Paper 120388, University Library of Munich, Germany, revised 13 Oct 2023.
    6. Uluyol, Burhan & Hui Pu, Suan & Shaturaev, Jakhongir & Kanaparan, Geetha, 2023. "Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies," MPRA Paper 119039, University Library of Munich, Germany, revised 05 Oct 2023.
    7. Islam, Ayub & Chowdhury, Emon Kalyan, 2023. "Investors’ Attitude toward Stock Market Risk-A Chittagong Perspective," MPRA Paper 118140, University Library of Munich, Germany, revised 09 May 2023.
    8. Chowdhury, Emon Kalyan, 2019. "Use of Artificial Intelligence in Stock Trading," MPRA Paper 118175, University Library of Munich, Germany, revised 18 Apr 2019.
    9. Hoang, Nga & Zhen, Zhao & Shaturaev, Jakhongir, 2023. "Decolonizing Development: Unpacking Post-Colonialism in South Asia," MPRA Paper 119245, University Library of Munich, Germany, revised 21 Nov 2023.
    10. Chowdhury, Emon Kalyan, 2023. "Impact of Blockchain on Stock Market," MPRA Paper 118189, University Library of Munich, Germany, revised 15 Feb 2023.
    11. Chowdhury, Emon, 2023. "The Impact of Commodity Market on the Economy of Developing Countries," MPRA Paper 119462, University Library of Munich, Germany, revised 05 Dec 2023.
    12. Huda, Md Nazmul & Hossain, Sayed Mohammad Athar & Shaturaev, Jakhongir, 2023. "Effect of Commodity Exchange on the Economy- Prospects and Challenges," MPRA Paper 118331, University Library of Munich, Germany, revised 14 Mar 2023.
    13. Chowdhury, Emon Kalyan, 2022. "Reaction of Stock Market to Covid-19: A South Asian Perspective," MPRA Paper 118147, University Library of Munich, Germany, revised 31 Mar 2022.
    14. Shaturaev, Jakhongir, 2023. "Is Your Portfolio Free from Coronavirus?," MPRA Paper 118196, University Library of Munich, Germany, revised 27 Jan 2023.
    15. Hasan, Kamrul & Shaturaev, Jakhongir, 2022. "Unleashing the Power of Technology: Fueling Entrepreneurship Development Through Innovation," MPRA Paper 118282, University Library of Munich, Germany, revised 10 Feb 2023.
    16. Patel, Rajesh & Khan, Fatima & Silva, Buddhika & Shaturaev, Jakhongir, 2023. "Unleashing the Potential of Artificial Intelligence in Auditing: A Comprehensive Exploration of its Multifaceted Impact," MPRA Paper 119616, University Library of Munich, Germany, revised 05 Dec 2023.
    17. Murthi, Srinivash & Zhang, Wen & Shaturaev, Jakhongir, 2023. "Role of Tourism in Ensuring Gender Equity: An Asian Perspective," MPRA Paper 118486, University Library of Munich, Germany, revised 15 Jun 2023.
    18. Malhotra, Manjunathan & Bhagwan, Sumitra & Shaturaev, Jakhongir, 2023. "South Asian Economic Constitutionalism: A Path to Constitutional Order," MPRA Paper 118727, University Library of Munich, Germany, revised 10 Sep 2023.
    19. Shaturaev, Jakhongir, 2023. "Impact of Cryptocurrency Market on the Performance of Stock Market- An Empirical Study," MPRA Paper 118244, University Library of Munich, Germany, revised 12 May 2023.
    20. Joise, Topu & Goenka, Narsimha & Wangyel, Sangay & Shaturaev, Jakhongir, 2023. "Transforming Mobility Exploring the Impact and Challenges of Intelligent Transportation Systems in Asia," MPRA Paper 118994, University Library of Munich, Germany, revised 11 Sep 2023.

    More about this item

    Keywords

    Covid-19; Stock market; Economic uncertainty; Event study; ARIMA; B26; C58; E44;
    All these keywords.

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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