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The outbreak of COVID-19 pandemic and its impact on volatility of Indian stock market: evidence from top ten stocks of Bombay Stock Exchange

Author

Listed:
  • Vikram
  • Debasis Mohanty
  • Archa Agrawal

Abstract

This study estimates the influence of COVID-19 on the volatility of the top ten companies of the Indian stock market. For the purpose of estimation, daily return series of these companies have been examined for a period of five years from May 2016 to May 2021. COVID-19 as variance exogenous in the GARCH (1, 1) model was employed. The time period is divided into three phases, pre-COVID (2016-2019), first phase of COVID (2020), and the second phase (2021). The results reveal that there has been a significant impact of COVID-19 on the volatility of the companies. HDFC Bank has considered being the most volatile of all, whereas, Infosys is considered the least volatile of all, taking only three days to die out the change. The study can be of most relevant to portfolio managers and financial analyst to make an informed decision regarding the diversification of their portfolio.

Suggested Citation

  • Vikram & Debasis Mohanty & Archa Agrawal, 2022. "The outbreak of COVID-19 pandemic and its impact on volatility of Indian stock market: evidence from top ten stocks of Bombay Stock Exchange," African Journal of Accounting, Auditing and Finance, Inderscience Enterprises Ltd, vol. 8(1), pages 91-105.
    • Handle: RePEc:ids:ajaafi:v:8:y:2022:i:1:p:91-105
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