IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v14y2021i12p592-d697507.html
   My bibliography  Save this article

Optimal Returns in Indian Stock Market during Global Pandemic: A Comparative Study

Author

Listed:
  • Pradip Debnath

    (Department of Applied Science and Humanities, Assam University Silchar, Cachar 788011, Assam, India)

  • Hari Mohan Srivastava

    (Department of Mathematics and Statistics, University of Victoria, Victoria, BC V8W 3R4, Canada
    Department of Medical Research, China Medical University Hospital, China Medical University, Taichung 40402, Taiwan, China
    Department of Mathematics and Informatics, Azerbaijan University, 71 Jeyhun Hajibeyli Street, Baku AZ1007, Azerbaijan
    Section of Mathematics, International Telematic University Uninettuno, I-00186 Rome, Italy)

Abstract

This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was examined during 1 January 2021 to 21 May 2021 assuming investments were made according to the proposed model. We observed that our proposed portfolio was efficient enough in that period to beat the performance of most of the in-demand mutual funds. It was also conjectured that this portfolio would be sustainable post the second wave of COVID-19 in India. In the present paper, our aim is to validate this conjecture. Here, we examine the performance of this portfolio during the period 1 January 2021 to 18 October 2021 using the same previous data set. We also investigate the performance of this portfolio if it was blindly adopted without applying the stock selection methodology during 1 January 2019 to 31 December 2019. Using paired t -test between the difference of means of the performances in the year 2019 and the year 2021, we show that the performance in 2021 was significantly enhanced because of selecting the stocks applying our proposed model.

Suggested Citation

  • Pradip Debnath & Hari Mohan Srivastava, 2021. "Optimal Returns in Indian Stock Market during Global Pandemic: A Comparative Study," JRFM, MDPI, vol. 14(12), pages 1-13, December.
    • Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:12:p:592-:d:697507
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/14/12/592/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/14/12/592/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Al-Awadhi, Abdullah M. & Alsaifi, Khaled & Al-Awadhi, Ahmad & Alhammadi, Salah, 2020. "Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    2. Zhang, Dayong & Hu, Min & Ji, Qiang, 2020. "Financial markets under the global pandemic of COVID-19," Finance Research Letters, Elsevier, vol. 36(C).
    3. David Edmund Allen & Robert John Powell & Abhay Kumar Singh, 2012. "Beyond reasonable doubt: multiple tail risk measures applied to European industries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(7), pages 671-676, May.
    4. Rahman, Md Lutfur & Amin, Abu & Al Mamun, Mohammed Abdullah, 2021. "The COVID-19 outbreak and stock market reactions: Evidence from Australia," Finance Research Letters, Elsevier, vol. 38(C).
    5. Mazur, Mieszko & Dang, Man & Vega, Miguel, 2021. "COVID-19 and the march 2020 stock market crash. Evidence from S&P1500," Finance Research Letters, Elsevier, vol. 38(C).
    6. Ali AlArjani & Md. Maniruzzaman Miah & Md. Sharif Uddin & Abu Hashan Md. Mashud & Hui-Ming Wee & Shib Sankar Sana & Hari Mohan Srivastava, 2021. "A Sustainable Economic Recycle Quantity Model for Imperfect Production System with Shortages," JRFM, MDPI, vol. 14(4), pages 1-21, April.
    7. Cristina Raluca Gh. Popescu, 2020. "Sustainability Assessment: Does the OECD/G20 Inclusive Framework for BEPS (Base Erosion and Profit Shifting Project) Put an End to Disputes Over The Recognition and Measurement of Intellectual Capital," Sustainability, MDPI, vol. 12(23), pages 1-22, November.
    8. Zaremba, Adam & Kizys, Renatas & Aharon, David Y. & Demir, Ender, 2020. "Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe," Finance Research Letters, Elsevier, vol. 35(C).
    9. Albulescu, Claudiu Tiberiu, 2021. "COVID-19 and the United States financial markets’ volatility," Finance Research Letters, Elsevier, vol. 38(C).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Simona Hašková & Petr Šuleř & Róbert Kuchár, 2023. "A Fuzzy Multi-Criteria Evaluation System for Share Price Prediction: A Tesla Case Study," Mathematics, MDPI, vol. 11(13), pages 1-17, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pradip Debnath & Hari Mohan Srivastava, 2021. "Optimizing Stock Market Returns during Global Pandemic Using Regression in the Context of Indian Stock Market," JRFM, MDPI, vol. 14(8), pages 1-10, August.
    2. Boubaker, Sabri & Goodell, John W. & Kumar, Satish & Sureka, Riya, 2023. "COVID-19 and finance scholarship: A systematic and bibliometric analysis," International Review of Financial Analysis, Elsevier, vol. 85(C).
    3. Niculaescu, Corina E. & Sangiorgi, Ivan & Bell, Adrian R., 2023. "Does personal experience with COVID-19 impact investment decisions? Evidence from a survey of US retail investors," International Review of Financial Analysis, Elsevier, vol. 88(C).
    4. Jialei Jiang & Eun-Mi Park & Seong-Taek Park, 2021. "The Impact of the COVID-19 on Economic Sustainability—A Case Study of Fluctuation in Stock Prices for China and South Korea," Sustainability, MDPI, vol. 13(12), pages 1-17, June.
    5. Zheng, Wenyuan & Li, Bingqing & Huang, Zhiyong & Chen, Lu, 2022. "Why Was There More Household Stock Market Participation During the COVID-19 Pandemic?," Finance Research Letters, Elsevier, vol. 46(PB).
    6. Aharon, David Y. & Siev, Smadar, 2021. "COVID-19, government interventions and emerging capital markets performance," Research in International Business and Finance, Elsevier, vol. 58(C).
    7. Gu, Tiantian & Venkateswaran, Anand & Erath, Marc, 2023. "Impact of fiscal stimulus on volatility: A cross-country analysis," Research in International Business and Finance, Elsevier, vol. 65(C).
    8. Cakici, Nusret & Zaremba, Adam, 2021. "Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    9. Jitsawatpaiboon, Kanokrak & Ruan, Xinfeng, 2023. "The COVID-19 risk in the cross-section of equity options," Finance Research Letters, Elsevier, vol. 53(C).
    10. Tomás Gómez Rodríguez & Humberto Ríos Bolívar & Adriana Zambrano Reyes, 2021. "Volatilidad y COVID-19: evidencia empírica internacional," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-20, Julio - S.
    11. Ihsan Erdem Kayral & Ahmed Jeribi & Sahar Loukil, 2023. "Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?," JRFM, MDPI, vol. 16(4), pages 1-22, April.
    12. Najam Iqbal & Muhammad Saqib Manzoor & Muhammad Ishaq Bhatti, 2021. "Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19," JRFM, MDPI, vol. 14(7), pages 1-15, July.
    13. Bakry, Walid & Kavalmthara, Peter John & Saverimuttu, Vivienne & Liu, Yiyang & Cyril, Sajan, 2022. "Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets," Finance Research Letters, Elsevier, vol. 46(PA).
    14. Celso-Arellano, Pedro & Gualajara, Victor & Coronado, Semei & Martinez, Jose N. & Venegas-Martínez, Francisco, 2023. "Impact of the global fear index (covid-19 panic) on the S&P global indices associated with natural resources, agribusiness, energy, metals and mining: Granger Causality and Shannon and Rényi Transfer ," MPRA Paper 117138, University Library of Munich, Germany, revised 06 Feb 2023.
    15. Emre Cevik & Buket Kirci Altinkeski & Emrah Ismail Cevik & Sel Dibooglu, 2022. "Investor sentiments and stock markets during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-34, December.
    16. Burak Pirgaip, 2021. "Pan(dem)ic reactions in Turkish stock market: evidence from share repurchases," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(2), pages 381-402, June.
    17. Kamal, Javed Bin & Wohar, Mark, 2023. "Heterogenous responses of stock markets to covid related news and sentiments: Evidence from the 1st year of pandemic," International Economics, Elsevier, vol. 173(C), pages 68-85.
    18. Doruk, Ömer Tuğsal & Konuk, Serhat & Atici, Rümeysa, 2021. "Short-term working allowance and firm risk in the post-COVID-19 period: Novel matching evidence from an emerging market," Finance Research Letters, Elsevier, vol. 43(C).
    19. Li, Jianhui & Ruan, Xinfeng & Zhang, Jin E., 2022. "The price of COVID-19-induced uncertainty in the options market," Economics Letters, Elsevier, vol. 211(C).
    20. Alam, Md Shabbir & Murshed, Muntasir & Manigandan, Palanisamy & Pachiyappan, Duraisamy & Abduvaxitovna, Shamansurova Zilola, 2023. "Forecasting oil, coal, and natural gas prices in the pre-and post-COVID scenarios: Contextual evidence from India using time series forecasting tools," Resources Policy, Elsevier, vol. 81(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:14:y:2021:i:12:p:592-:d:697507. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.