Authors

1. Ms. Osheen Modi
2. Dr. Roopam Kothari

Affiliation

• Assistant Professor, International School of Informatics & Management, Jaipur
• Associate Professor, Department of Management, IIS (Deemed to be University), Jaipur

Abstract

Outbreak of Covid has caused serious damage to economic and financial health of affected
countries. India is among the worst-hit countries by Covid-19. In order to do the damage, control the
government of India and policy makers have formulated and implemented various restrictive policies
to lower the rising cases and deaths due to Covid-19. These restrictions proved to be effective in
curtailing the rate of rising cases and deaths but adversely affected the economic health of India and
Stock Market being a significant reflector of the health of economy also reflected major numbers in
red and a period of extreme volatility and risk for current and prospective investors. The purpose of
this study is to empirically analyze the impact of Covid-19 on Sectoral Indices of Manufacturing
Sector and Financial Sector of India. This study is based on data from January 30, 2018 to January
31, 2022. TGARCH (1,1) model is identified and estimated to study the conditional volatility in
sectoral markets. Sectoral indices of Bombay Stock Exchange have been analyzed in this study. It
was found that S&P BSE Manufacturing Sectoral Index and S&P BSE Finance Sectoral Index
experienced higher risk after the outbreak of Covid-19 in India. They respond more strongly to
negative news as compared to positive news. Covid-19 has not significantly affected the returns in
these sectors, but has been identified as an underlying cause to rise in volatility in Finance Sectoral
Index.

Keywords

Stock Market, Volatility, Covid-19,, BSE, Risk, Return

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