The performance of the Indian stock market during COVID-19

  • Received July 16, 2020;
    Accepted August 31, 2020;
    Published September 16, 2020
  • Author(s)
  • DOI
  • Article Info
    Volume 17 2020, Issue #3, pp. 133-147
  • Cited by
    17 articles

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License

The current empirical study attempts to analyze the impact of COVID-19 on the performance of the Indian stock market concerning two composite indices (BSE 500 and BSE Sensex) and eight sectoral indices of Bombay Stock Exchange (BSE) (Auto, Bankex, Consumer Durables, Capital Goods, Fast Moving Consumer Goods, Health Care, Information Technology, and Realty) of India, and compare the composite indices of India with three global indexes S&P 500, Nikkei 225, and FTSE 100. The daily data from January 2019 to May 2020 have been considered in this study. GLS regression has been applied to assess the impact of COVID-19 on the multiple measures of volatility, namely standard deviation, skewness, and kurtosis of all indices. All indices’ key findings show lower mean daily return than specific, negative returns in the crisis period compared to the pre-crisis period. The standard deviation of all the indices has gone up, the skewness has become negative, and the kurtosis values are exceptionally large. The relation between indices has increased during the crisis period. The Indian stock market depicts roughly the same standard deviation as the global markets but has higher negative skewness and higher positive kurtosis of returns, making the market seem more volatile.

view full abstract hide full abstract
    • Figure 1. Frequency and normal distribution of stock returns during the crisis period and the pre-crisis period
    • Figure 1(a). BSE 500 (August – December 2019)
    • Figure 1(b). BSE Sensex (August – December 2019)
    • Figure 1(c). BSE Automobiles (August – December 2019)
    • Figure 1(d). BSE Bankex (August – December 2019)
    • Figure 1(e). BSE Consumer Durables (August –December 2019)
    • Figure 1(f). BSE Capital Goods (August – December 2019)
    • Figure 1(g). BSE Fast Moving Consumer Goods (August – December 2019)
    • Figure 1(h). BSE Health Care (August – December 2019)
    • Figure 1(i). BSE Information Technology (August –December 2019)
    • Figure 1(j). BSE Realty (August – December 2019)
    • Figure 1(k). BSE 500 (January – May 2020)
    • Figure 1(l). BSE Sensex (January – May 2020)
    • Figure 1(m). BSE Automobiles (January – May 2020)
    • Figure 1(n). BSE Bankex (January – May 2020)
    • Figure 1(o). BSE Consumer Durables (January –May 2020)
    • Figure 1(p). BSE Capital Goods (January –May 2020)
    • Figure 1(q). BSE Fast Moving Consumer Goods (January – May 2020)
    • Figure 1(r). BSE Health Care (January – May 2020)
    • Figure 1(s). BSE Information Technology (January –May 2020)
    • Figure 1(t). BSE Realty (January – May 2020)
    • Table 1. Descriptive statistics
    • Table 2. Highlights of periodic returns
    • Table 3. Correlation matrix
    • Table 4. Regression analysis: model 1 – for COVID-19 and standard deviation of the index returns
    • Table 5. Regression analysis: model 2 – for COVID-19 and skewness of the index returns
    • Table 6. Regression analysis: model 3 – for COVID-19 and kurtosis of the index returns
    • Table 7. Regression analysis – comparing BSE 500 with global market indices (Model 1 – Model 3)
    • Conceptualization
      Rashmi Chaudhary, Priti Bakhshi, Hemendra Gupta
    • Data curation
      Rashmi Chaudhary
    • Formal Analysis
      Rashmi Chaudhary, Priti Bakhshi, Hemendra Gupta
    • Investigation
      Rashmi Chaudhary, Priti Bakhshi
    • Methodology
      Rashmi Chaudhary, Priti Bakhshi
    • Project administration
      Rashmi Chaudhary, Priti Bakhshi
    • Software
      Rashmi Chaudhary
    • Supervision
      Rashmi Chaudhary
    • Validation
      Rashmi Chaudhary, Priti Bakhshi
    • Visualization
      Rashmi Chaudhary, Priti Bakhshi
    • Writing – original draft
      Rashmi Chaudhary, Priti Bakhshi
    • Writing – review & editing
      Rashmi Chaudhary, Priti Bakhshi, Hemendra Gupta