IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v16y2023i10p447-d1261155.html
   My bibliography  Save this article

COVID-19 Pandemic and Indices Volatility: Evidence from GARCH Models

Author

Listed:
  • Rajesh Mamilla

    (VIT Business School, Vellore Institute of Technology, Vellore 632014, India)

  • Chinnadurai Kathiravan

    (VIT Business School, Vellore Institute of Technology, Vellore 632014, India)

  • Aidin Salamzadeh

    (College of Management, University of Tehran, Tehran 141556311, Iran)

  • Léo-Paul Dana

    (ICD Business School, 75010 Paris, France
    LUT School of Business and Management, Lappeenranta University of Technology, 53850 Lappeenranta, Finland)

  • Mohamed Elheddad

    (Teesside University International Business School, Teesside University, Middlesbrough TS1 3BX, UK)

Abstract

This study examines the impact of volatility on the returns of nine National Stock Exchange (NSE) indices before, during, and after the COVID-19 pandemic. The study employed generalized autoregressive conditional heteroskedasticity (GARCH) modelling to analyse investor risk and the impact of volatility on returns. The study makes several contributions to the existing literature. First, it uses advanced volatility forecasting models, such as ARCH and GARCH, to improve volatility estimates and anticipate future volatility. Second, it enhances the analysis of index return volatility. The study found that the COVID-19 period outperformed the pre-COVID-19 and overall periods. Since the Nifty Realty Index is the most volatile, Nifty Bank, Metal, and Information Technology (IT) investors reaped greater returns during COVID-19 than before. The study provides a comprehensive review of the volatility and risk of nine NSE indices. Volatility forecasting techniques can help investors to understand index volatility and mitigate risk while navigating these dynamic indices.

Suggested Citation

  • Rajesh Mamilla & Chinnadurai Kathiravan & Aidin Salamzadeh & Léo-Paul Dana & Mohamed Elheddad, 2023. "COVID-19 Pandemic and Indices Volatility: Evidence from GARCH Models," JRFM, MDPI, vol. 16(10), pages 1-14, October.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:447-:d:1261155
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/16/10/447/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/16/10/447/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    2. JEBABLI, Ikram & KOUAISSAH, Noureddine & AROURI, Mohamed, 2022. "Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis," Finance Research Letters, Elsevier, vol. 46(PA).
    3. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Carlo Rosa & Giovanni Verga, 2006. "The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market," CEP Discussion Papers dp0764, Centre for Economic Performance, LSE.
    2. Srikanth Parthasarathy, 2010. "Price and Volume Effects Associated with Index Additions: Evidence from the Indian Stock Market," Asian Journal of Finance & Accounting, Macrothink Institute, vol. 2(2), pages 5580-5580, December.
    3. Seth Freedman & Melissa Kearney & Mara Lederman, 2012. "Product Recalls, Imperfect Information, and Spillover Effects: Lessons from the Consumer Response to the 2007 Toy Recalls," The Review of Economics and Statistics, MIT Press, vol. 94(2), pages 499-516, May.
    4. K. Chau & S. Wong & C. Yiu & Maurice Tse & Frederik Pretorius, 2010. "Do Unexpected Land Auction Outcomes Bring New Information to the Real Estate Market?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(4), pages 480-496, May.
    5. Yanna Wu & Subhash C. Ray, 2005. "Technical Efficiency and Stock Market Reaction to Horizontal Mergers," Working papers 2005-05, University of Connecticut, Department of Economics.
    6. ATM Adnan, 2018. "Home vs. Cross-Border Takeovers: Is There Any Difference in Investor Perception?," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(2), pages 59-84.
    7. AitSahlia, Farid & Yoon, Joon-Hui, 2016. "Information stages in efficient markets," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 84-94.
    8. Lyon, Thomas & Lu, Yao & Shi, Xinzheng & Yin, Qie, 2013. "How do investors respond to Green Company Awards in China?," Ecological Economics, Elsevier, vol. 94(C), pages 1-8.
    9. Peter Henry, 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Discussion Papers 07-004, Stanford Institute for Economic Policy Research.
    10. Rößle, Florian, 2020. "Analyse des Einflusses nationaler Nachhaltigkeits-Regelungen auf den Unternehmenswert," Junior Management Science (JUMS), Junior Management Science e. V., vol. 5(2), pages 209-222.
    11. Rommel, J. & Neuenfeldt, S. & Odening, M., 2010. "Markteffekte medienwirksamer Lebensmittelskandale – eine Ergebnisstudie," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 45, March.
    12. Selena Aureli & Sabrina Gigli & Renato Medei & Enrico Supino, 2020. "The value relevance of environmental, social, and governance disclosure: Evidence from Dow Jones Sustainability World Index listed companies," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 27(1), pages 43-52, January.
    13. Paolo Bizzozero & Raphael Flepp & Egon Franck, 2017. " Insider trading and price efficiency: Evidence from a betting exchange," Working Papers 368, University of Zurich, Department of Business Administration (IBW).
    14. Kothari, S. P., 2001. "Capital markets research in accounting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 105-231, September.
    15. Nicolau, Juan Luis & Sharma, Abhinav, 2022. "A review of research into drivers of firm value through event studies in tourism and hospitality: Launching the Annals of Tourism Research curated collection on drivers of firm value through event stu," Annals of Tourism Research, Elsevier, vol. 95(C).
    16. Lundgren, Tommy & Olsson, Rickard, 2008. "How Bad is Bad News? Assessing the Effects of Environmental Incidents on Firm Value," Sustainable Investment and Corporate Governance Working Papers 2008/1, Sustainable Investment Research Platform.
    17. Truzaar Dordi & Olaf Weber, 2019. "The Impact of Divestment Announcements on the Share Price of Fossil Fuel Stocks," Sustainability, MDPI, vol. 11(11), pages 1-20, June.
    18. Peter-Jan Engelen, 2006. "Difficulties in the criminal prosecution of insider trading—A clinical study of the Bekaert case," European Journal of Law and Economics, Springer, vol. 22(2), pages 121-141, September.
    19. Martins, António Miguel & Cró, Susana, 2022. "Airline stock markets reaction to the COVID-19 outbreak and vaccines: An event study," Journal of Air Transport Management, Elsevier, vol. 105(C).
    20. Lingling Pan & Gerry McNamara & Jennifer J. Lee & Jerayr (John) Haleblian & Cynthia E. Devers, 2018. "Give it to us straight (most of the time): Top managers’ use of concrete language and its effect on investor reactions," Strategic Management Journal, Wiley Blackwell, vol. 39(8), pages 2204-2225, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:447-:d:1261155. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.