Covid-19 Pandemic Events Impact on various Sectors of BSE

Sathwik Teja Punna
Covid-19; Lock downs; Event study; Market Efficiency; Crisis; Pandemic; Stock Market.
This paper, study the short-term & Long-term market reactions for internal and external events of Indian stocks during the COVID-19 pandemic. Country-specific fiscal policy measures like 20lakh Crore economic package and Reduction of bank rates by RBI has been considered as short term events and negatively affected stock returns except for realty and metal sectors. Our results suggest that the stock market react differently to the different events like for Global emergency and Lockdown announcements, etc., in India. The pandemic events greatly affected the Banking, FMCG and Healthcare industries. However, the Realty, Telecom, and Metal industries have responded little strongly to the pandemic in a positive fashion.
[1] Ahmed M. Khalid, G. R. (2010). The Impact of Political Events on Financial Market The Impact of Political Events on Financial Market. Globalisation and Development Centre, Bond University, Australia.
[2] Armitage, S. (1995). Event study methods and evidence on their performance. Journal of Economic Surveys, 9, 25-52.
[3] Badinger, H. (2013). Measuring the World Economy. The World Economy, 36(1), 12-30.
[4] Baele, L. (2005). Volatility Spillover Effects in European Equity Markets. Journal of Financial and Quantitative Analysis, 40(2), 373-401.
[5] BAŞDAŞ, Ü. (2013). Event Study Methodology for the Borsa Istanbul. A Thesis submitted to the graduate school of social sciences of middle east technical university.
[6] Bell, J. W. (2015). Yes, The CAPM is absurd: OLS is misunderstood and incorrectly modeled mathematically .
[7] Bernard, & J.Thomas. (1989). Post-earnings-announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting research, 27, 1-36.
[8] Brenner, M. (1979). The sensitivity of the efficient market hypothesis to alternative specifications of the market model. Journal of Finance, 34, 915-929.
[9] Brown, S., & Warner, J. (1980). Measuring security price performance. Journal of Financial, 8, 205-258.
[10] Brown, S., & Warner, J. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14, 3-31.
[11] Fama, E. (1991). Efficient capital markets: II. Journal of Finance, 46, 1575-1617.
[12] Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383-417.
[13] Ghanem, D., & Rosvall, D. (2014). Major World Events Impact on Stock Market Prices -¬ An Event Study . UPPSALA UNIVERSITET – Bachelor Thesis.
[14] He, P., Sun, Y., Zhang, Y., & Li, T. (2020, jul 25). COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market. Emerging Markets Finance and Trade, 56(10), 2198-2212. doi:10.1080/1540496X.2020.1785865
[15] Heyden, K. J., & Heyden, T. (2020, june 16). Market Reactions to the Arrival and Containment of COVID-19: An Event Study.
[16] IMF. (n.d.). Retrieved from /WEO/Issues/2020/04/14/weo-april-2020.
[17] Khotari, S. P., & Warner, J. B. (2006, may 19). Econometrics of Event Studies. Handbook of Corporate Finance: Empirical Corporate Finance, A.
[18] Ourworldindata. (n.d.). Retrieved from coronavirus/country/india?country=~IND.
[19] Vänskä, V. (2016). Stock Market Reactions to layoff announcements: Ownership Structure. Master’s Thesis in Accounting and Finance, 78.
[20] Weforum. (n.d.). Retrieved from https://www.weforum. org/agenda/2020/06/imf-lockdown-recession-covid19-coronavirus-economics-recession/.
[21] Wikipedia. (n.d.). Retrieved from /COVID-19_pandemic_in_India.
Received : 15 September 2020
Accepted : 19 December 2020
Published : 02 January 2021
DOI: 10.30726/ijmrss/v7.i4.2020.74027
Covid-19 Pandemic Events - Sectors of BSE