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An Empirical Assessment of COVID-19 Pandemic on Asset Market Responses in India

Vikram Mohite, Vibha Bhandari
DOI: http://dx.doi.org/10.21013/jmss.v17.n4.p2
Abstract
The study investigates the financial market’s response during the period of last nine months starting from the day when first COVID-19 case was confirmed in India. This paper attempts to gauge the impact of rise in COVID-19 confirmed number of cases on stock market as well as commodities market returns. A multi-model approach is used in the current research to assess the relationship between daily number of confirmed cases of COVID-19 and movement of asset returns from January 2020 to September 2020. The findings reveal that though financial markets exhibited asymmetric volatility clustering, it could not be traced to COVID-19 pandemic for the period under study in India.
Keywords
COVID-19, financial markets, commodities market, asset returns, volatility clustering
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