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.
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。
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