Theoretical and Applied Economics
No. 1 / 2022 (630), Spring
Volatility and asymmetric analysis of Indian indices during Covid-19 pandemic period
Government Arts and Science College, Perambalur, Tamil Nadu, India
N.S. SHIBU
Government Arts and Science College, Perambalur, Tamil Nadu, India
Abstract. Analyzing the volatility and asymmetry in the stock market plays a vital role in financial economics and it is essential to financial intermediaries and also to the various practitioners of stock markets. The uninvited Covid-19 pandemic distresses each and every sector in the world; stock markets are not free from it. In this study, an attempt has been made to study the volatility and asymmetric effects in Indian stock market indices during the Covid-19 pandemic period. Daily data from January 2018 to June 2021 were collected to analyze the volatility and asymmetries. The data is classified as two categories as before pandemic announcement and after pandemic announcement. GARCH, TGARCH and EGARCH models are used to find the volatility and asymmetries during the study period. The GARCH results proves that there exist the stability conditions and the asymmetric GARCH models assure that there exist leverage effects in the index returns for both before pandemic and after pandemic period, and the results also confirms the volatility persistence is very high during after pandemic period as compared to before pandemic period.
Contents
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Romania's economy on the threshold of recession
Testing the Marshall-Lerner condition for Romania
Empirical evidence to the nonmonotonic relationship between public health expenditure and economic growth
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Consequences of the Covid-19 epidemic on hygiene purchase behavior
Banking management in the prism liquidity – profitability interrelation
Long-term price and income elasticity of residential natural gas demand in Turkey
The impact of foreign direct investment on the economy of Bangladesh: A time-series analysis
Does gravity work in the context of India and ASEAN bilateral trade? An application of the FGLS method
The dynamics of India – ASEAN trade with special reference to manufactured exports and their technological composition
How does Israel share Palestinians their international aid
Attention economy and higher-order beliefs in voters’ online attention searches
Volatility and asymmetric analysis of Indian indices during Covid-19 pandemic period