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Econometric and stochastic analysis of stock price before and during COVID-19 in India

Author

Listed:
  • Madhavan Madheswaran

    (Thiagarajar College, Madurai Kamaraj University)

  • Kasilingam Lingaraja

    (Thiagarajar College)

  • Pandiaraja Duraisamy

    (Thiagarajar College)

Abstract

Unexpected and sudden spread of the novel Coronavirus disease (COVID-19) has opened up many scopes for researchers in the fields of biotechnology, health care, educational sectors, agriculture, manufacturing, service sectors, marketing, finance, etc. Hence, the researchers are concerned to study, analyze and predict the impact of infection of COVID-19. The COVID-19 pandemic has affected many fields, particularly the stock markets in the financial sector. In this paper, we have proposed an econometric approach and stochastic approach to analyze the stochastic nature of stock price before and during a COVID-19-specific pandemic period. For our study, we considered the BSE SENSEX INDEX closing pricing data from the Bombay Stock Exchange for the period before and during COVID-19. We have applied the statistical tools, namely descriptive statistics for testing the normal distribution of data, unit root test for testing the stationarity, and GARCH and stochastic model for measuring the risk, also investigated drift and volatility (or diffusion) coefficients of the stock price SDE by using R Environment software and formulated the 95% confidence level bound with the help of 500 times simulations. Finally, the results have been obtained from these methods and simulations are discussed.

Suggested Citation

  • Madhavan Madheswaran & Kasilingam Lingaraja & Pandiaraja Duraisamy, 2024. "Econometric and stochastic analysis of stock price before and during COVID-19 in India," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 26(3), pages 7579-7594, March.
    • Handle: RePEc:spr:endesu:v:26:y:2024:i:3:d:10.1007_s10668-023-03022-5
    DOI: 10.1007/s10668-023-03022-5
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