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Do Asymmetries in the Indian Equity Market Exist during the COVID-19?

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  • Deepa Bannigidadmath
  • Philippus Albertus Truter

Abstract

This paper investigates the presence of asymmetry in correlations, betas and covariances between the market excess return and the excess return on each of the eleven industry, ten size, ten momentum and ten book-to-market portfolios. We arrive at three main findings. First, there is strong evidence of asymmetric covariance while the evidence for asymmetric correlations is weakest during COVID-19 period. Second, momentum and book-to-market portfolios exhibit strong evidence of asymmetry relative to the size and industry portfolios. Third, regardless of a single exceedance level or four exceedance levels, the downside correlations, betas and covariances are higher than the upside correlations, betas and covariances.

Suggested Citation

  • Deepa Bannigidadmath & Philippus Albertus Truter, 2021. "Do Asymmetries in the Indian Equity Market Exist during the COVID-19?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(10), pages 2838-2851, August.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:10:p:2838-2851
    DOI: 10.1080/1540496X.2021.1891882
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    Cited by:

    1. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Economic news and the cross-section of commodity futures returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    2. Golab, Anna & Bannigidadmath, Deepa & Pham, Thach Ngoc & Thuraisamy, Kannan, 2022. "Economic policy uncertainty and industry return predictability – Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 433-447.
    3. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2022. "Economic importance of correlations for energy and other commodities," Energy Economics, Elsevier, vol. 107(C).

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