Impact of covid-19 on Indian Stock Market Volatility

Abstract

The covid-19 outbreak has weakened the backbone of the entire global financial market, the Indian market witnessing sharp volatility. The project aims to analyse the Impact of Covid-19 on Indian Stock market volatility. The project is based using daily closing prices of indices of Sensex and Nifty over the period October 2019 to May 2021. GARCH model has been used to measure the volatility of indices during the pre-Covid-19 and post-Covid-19 situations. Comparison of pre-Covid-19 and post-Covid-19 data depicts that the stock market in India has experienced high volatility during the pandemic first wave of Covid-19; the return on the indices is higher in the pre‐COVID‐19 period than during COVID‐19. Whereas, during the second wave, the Indian Stock Markets remained immune to Covid-19. The data also depicts that coronavirus has lead to a huge negative impact on the Indian Stock market during the first wave, in comparison to the second wave of Covid-19. Despite the fact that the country has faced a more serious health crisis than in 2020, it appears that the economic damage has been less severe than in 2020, when everything came to a halt owing to the nation-wide lockdown. As the second wave of Covid-19 is ebbing at a faster pace, there are possibilities that the market will soon see a V-shaped recovery.