Covid-19 pandemic: Share price volatility behaviour of selected food processing companies in NSE

Abstract

The Indian financial market and global markets experienced volatility due to pandemic. Estimations of volatility helps to measure the performance of the share price of the company. This paper studies about the impact of pandemic on the food processing companies listed in NSE. The objective of the paper is to examine the level of volatility prevailing in the selected food processing companies share returns. The daily returns of the companies are collected from January 1, 2019 to November 27, 2020.the returns of the selected period is considered for this purpose. GARCH model is used to capture the volatility of the returns. Findings reveal that the high volatility is experienced during the Covid period observations. While comparing the returns of the stock, the returns are positive during the Covid period than the Pre-Covid period. Thus reflecting the bounce back from the unprecedented Covid shocks in the market. © 2021 American Institute of Physics Inc.. All rights reserved.