Does the Indian Financial Market Nosedive because of the COVID-19 Outbreak, in Comparison to after Demonetisation and the GST?

We investigate the impact of COVID-19 on the Indian financial market and compare it with the outcomes of two recent structural changes of the Indian economy: demonetization and implementation of the Goods and Services Tax (GST). Using daily stock return, net foreign institutional investment, and exc...

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Published inEmerging markets finance & trade Vol. 56; no. 10; pp. 2162 - 2180
Main Authors Mishra, Alok Kumar, Rath, Badri Narayan, Dash, Aruna Kumar
Format Journal Article
LanguageEnglish
Published Abingdon Routledge 08.08.2020
Taylor & Francis Ltd
Subjects
Coronavirus
Coronaviruses
COVID-19
exchange rate
FII
GST
India
Securities markets
stock returns
systemic risks
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Summary:We investigate the impact of COVID-19 on the Indian financial market and compare it with the outcomes of two recent structural changes of the Indian economy: demonetization and implementation of the Goods and Services Tax (GST). Using daily stock return, net foreign institutional investment, and exchange rate data from January 3, 2003 to April 20, 2020, we find negative stock returns for all the indices during the COVID-19 outbreak, unlike during the post-demonetization and GST phases. Markov switching vector autoregression shows the impact of COVID-19 on stock returns is severe in comparison to that of demonetization and the GST.
ISSN:1540-496X
1558-0938
DOI:10.1080/1540496X.2020.1785425