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COVID-19 and uncertainty spillovers in Indian stock market.

ABSTRACT: In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters.•COVID-19 has magnified the volatility spillovers in the stock market.•Socks to energy sector significantly spills over to other sectors.•FMCG remains the largest net recipient of the volatility spillovers from other sectors.

SUBMITTER: Guru BK

PROVIDER: S-EPMC8374230 | biostudies-literature | 2021

REPOSITORIES: biostudies-literature

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COVID-19 and uncertainty spillovers in Indian stock market.

Guru Biplab Kumar BK Das Amarendra A

MethodsX 20201223

In this paper, we have examined the impact of COVID-19 on the volatility spillovers among ten major sector indices listed in BSE India. We found that total volatility spillovers reached 69% during COVID-19. Energy sector followed by oil & gas were the major net volatility transmitters.•COVID-19 has magnified the volatility spillovers in the stock market.•Socks to energy sector significantly spills over to other sectors.•FMCG remains the largest net recipient of the volatility spillovers from oth ...[more]

PMID: 34434724

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Project description:Market liquidity ensures the marketability of security and is an indispensable feature of stock markets. Previous studies have emphasized the role of stock market liquidity in empirical finance. However, they have inadequately explored its multidimensional nature. This study eliminates the ambiguities related to market liquidity by precisely measuring it by using popular and proven liquidity measures. As such, the present study aims to evaluate market liquidity in terms of depth, breadth, tightness, and immediacy in the Indian equity market and also identifies crucial interdependencies between liquidity dimensions. The study selects 500 stocks constituting the NIFTY 500 index of the National Stock Exchange, India, as of 26th May 2019. The data on trading volume, bid price, ask price, the number of shares outstanding, closing share prices were retrieved for the period from 1st April 2009 to 31st March 2019. The study employs Share Turnover, Amihud Illiquidity Ratio, Relative Quoted Spreads, and Coefficient of Elasticity of Trading for liquidity measurement. The Vector Auto-Regressive (VAR) model is used to establish the simultaneous relationships between liquidity dimensions. The analysis is conducted at the aggregate market level as well as across turnover based stock groups divided based on their rankings in terms of stock specific share turnover. The empirical results evidenced the presence of consistent depth, strong breadth, and immediacy but lower tightness in the Indian equity market. The market depth and tightness appear to be relevant in determining dimensional interdependencies. Also, less frequently traded stocks exhibit higher illiquidity in the wake of lower tightness. The findings of this study will assist the investors to wisely understand the multifaceted nature of market liquidity and base their trading decisions accordingly. Moreover, the regulators of the stock exchange can devise liquidity enhancing policies based on the directional movements among liquidity dimensions.

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COVID-19 and uncertainty spillovers in Indian stock market.

Publications

COVID-19 and uncertainty spillovers in Indian stock market.

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