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Impact of the COVID-19, lockdown and unlock on the Indian stock market and its international linkage with the Chinese stock market

Author

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  • Narinder Pal Singh
  • Himanshu Goel
  • Shabnam Kumari

Abstract

This study investigates the impact of pandemic COVID-19, nationwide lockdown and unlock on the Indian stock market. Firstly, we analyse the impact of lockdown and unlock episodes on the volatility of the Indian stock market returns by employing the EGARCH model. The findings reveal that lockdown has a significant positive impact on the volatility of BSE returns. Secondly, this study investigates the interlinkage between Indian and Chinese markets using cointegration and causality technique in the pre and during COVID periods. Cointegration test indicates that there is no long run relationship between India and China in both the sub-periods. However, the causality results reveal unidirectional causality between India and China in the pre COVID-19 period. Therefore, the findings of this research are beneficial to investors of all categories and portfolio managers.

Suggested Citation

  • Narinder Pal Singh & Himanshu Goel & Shabnam Kumari, 2021. "Impact of the COVID-19, lockdown and unlock on the Indian stock market and its international linkage with the Chinese stock market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 14(3), pages 249-264.
    • Handle: RePEc:ids:ijmefi:v:14:y:2021:i:3:p:249-264
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