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本文引用的文献

1
The impact of COVID-19 on emerging stock markets.新冠疫情对新兴股票市场的影响。
Financ Res Lett. 2020 Oct;36:101691. doi: 10.1016/j.frl.2020.101691. Epub 2020 Jul 10.
2
COVID-19's disasters are perilous than Global Financial Crisis: A rumor or fact?新冠疫情的灾难比全球金融危机更危险：谣言还是事实？
Financ Res Lett. 2020 Oct;36:101669. doi: 10.1016/j.frl.2020.101669. Epub 2020 Jun 26.
3
Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil.新冠疫情金融动荡期间股市回报与新闻之间的不对称依赖关系。
Financ Res Lett. 2020 Oct;36:101658. doi: 10.1016/j.frl.2020.101658. Epub 2020 Jun 18.
4
The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach.新冠疫情对依赖程度及风险-回报关系结构的影响：一种分位数回归方法。
Financ Res Lett. 2020 Oct;36:101648. doi: 10.1016/j.frl.2020.101648. Epub 2020 Jun 25.
5
Financial markets under the global pandemic of COVID-19.新冠疫情全球大流行下的金融市场。
Financ Res Lett. 2020 Oct;36:101528. doi: 10.1016/j.frl.2020.101528. Epub 2020 Apr 16.
6
Can India stay immune enough to combat COVID-19 pandemic? An economic query.印度能否保持足够的免疫力来抗击新冠疫情？一个经济学疑问。
J Public Aff. 2020 Nov;20(4):e2157. doi: 10.1002/pa.2157. Epub 2020 Jun 19.

新冠疫情的爆发及其对股票市场波动性的影响：来自受影响最严重经济体的证据。

The outbreak of COVID-19 pandemic and its impact on stock market volatility: Evidence from a worst-affected economy.

作者信息

Bora Debakshi, Basistha Daisy

机构信息

Department of Economics Assam Women's University Jorhat India.

Department of Economics Bihpuria College Lakhimpur India.

出版信息

J Public Aff. 2021 Nov;21(4):e2623. doi: 10.1002/pa.2623. Epub 2021 Feb 11.

DOI:10.1002/pa.2623
PMID:33786019
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7995228/
Abstract

This paper empirically investigates the impact of COVID-19 on the volatility of stock prices in India with the help of a generalized autoregressive conditional heteroscedasticity model. Daily closing prices of stock indices, Nifty and Sensex from September 3, 2019 to July 10, 2020 has been used for the analysis. Further, the study has been attempted to make a comparison of stock price return in pre-COVID-19 and during COVID-19 situation. Findings reveal that the stock market in India has experienced volatility during the pandemic period. While comparing the result during COVID period with that of the pre-COVID, we found that the return on the indices is higher in the pre-COVID-19 period than during COVID-19.

摘要

本文借助广义自回归条件异方差模型，实证研究了新冠疫情对印度股票价格波动的影响。分析使用了2019年9月3日至2020年7月10日股票指数（Nifty和Sensex）的每日收盘价。此外，该研究还试图比较新冠疫情前和疫情期间的股票价格回报。研究结果显示，印度股票市场在疫情期间经历了波动。将疫情期间的结果与疫情前进行比较时，我们发现指数回报在新冠疫情前高于疫情期间。