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{"title":"Covid-19对BSE Sensex股指波动性的影响","authors":"Pritpal Singh Bhullar, Pradeep Gupta, Dyal Bhatnagar","doi":"10.1504/ijef.2022.10044813","DOIUrl":null,"url":null,"abstract":"The present study investigates the impact of COVID-19 on the volatility of BSE Sensex stock index. The weekly data on COVID-19 fatality cases, an independent variable, in India from 1 March 2020 to 27 December 2020 has been taken from the official website of the World Health Organization. The weekly data on a dependent variable (Sensex) and control variables (crude oil, Bitcoin, Ethereum, Litecoin) have also been considered for the period under study. The GARCH(1, 1) model has been used to extract the volatility series of the variables that are considered in the investigation, and vector error correction model (VECM) is also applied. Further, robust tests like ADF, variance decomposition test, impulse response test have been performed to check the validity of the results. The findings suggest the significant negative effect of COVID-19 fatality cases on BSE Sensex stock index during the specified study period. This negative coefficient of COVID-19 fatality cases in India reflects the increasing volatility of the BSE Sensex stock index. © 2022 Inderscience Enterprises Ltd.","PeriodicalId":38015,"journal":{"name":"International Journal of Electronic Finance","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Impact of Covid-19 on Volatility of BSE Sensex Stock Index\",\"authors\":\"Pritpal Singh Bhullar, Pradeep Gupta, Dyal Bhatnagar\",\"doi\":\"10.1504/ijef.2022.10044813\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The present study investigates the impact of COVID-19 on the volatility of BSE Sensex stock index. The weekly data on COVID-19 fatality cases, an independent variable, in India from 1 March 2020 to 27 December 2020 has been taken from the official website of the World Health Organization. The weekly data on a dependent variable (Sensex) and control variables (crude oil, Bitcoin, Ethereum, Litecoin) have also been considered for the period under study. The GARCH(1, 1) model has been used to extract the volatility series of the variables that are considered in the investigation, and vector error correction model (VECM) is also applied. Further, robust tests like ADF, variance decomposition test, impulse response test have been performed to check the validity of the results. The findings suggest the significant negative effect of COVID-19 fatality cases on BSE Sensex stock index during the specified study period. This negative coefficient of COVID-19 fatality cases in India reflects the increasing volatility of the BSE Sensex stock index. © 2022 Inderscience Enterprises Ltd.\",\"PeriodicalId\":38015,\"journal\":{\"name\":\"International Journal of Electronic Finance\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Electronic Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1504/ijef.2022.10044813\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Electronic Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/ijef.2022.10044813","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
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Impact of Covid-19 on Volatility of BSE Sensex Stock Index
The present study investigates the impact of COVID-19 on the volatility of BSE Sensex stock index. The weekly data on COVID-19 fatality cases, an independent variable, in India from 1 March 2020 to 27 December 2020 has been taken from the official website of the World Health Organization. The weekly data on a dependent variable (Sensex) and control variables (crude oil, Bitcoin, Ethereum, Litecoin) have also been considered for the period under study. The GARCH(1, 1) model has been used to extract the volatility series of the variables that are considered in the investigation, and vector error correction model (VECM) is also applied. Further, robust tests like ADF, variance decomposition test, impulse response test have been performed to check the validity of the results. The findings suggest the significant negative effect of COVID-19 fatality cases on BSE Sensex stock index during the specified study period. This negative coefficient of COVID-19 fatality cases in India reflects the increasing volatility of the BSE Sensex stock index. © 2022 Inderscience Enterprises Ltd.
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