Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313300 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Capital Markets Studies (JCMS) [ISSN:] 2514-4774 [Volume:] 6 [Issue:] 3 [Year:] 2022 [Pages:] 225-241
Publisher: 
Emerald, Bingley
Abstract: 
Purpose: This paper aims to analyze the impact of Covid-19 on the stock market volatility and uncertainty during the first and second waves. Design/methodology/approach: This study has applied event study and autoregressive integrated moving average models using daily data of confirmed and death cases of Covid-19, US S&P 500, volatility index, economic policy uncertainty and S&P 500 of Bombay Stock Exchange to attain the purpose. Findings: It is observed that, during the first wave, the confirmed cases and the fiscal measure have a significant impact, while the vaccination initiative and the abnormal hike of confirmed cases have a significant impact on the US stock returns during the second wave. It is further observed that the volatility of Indian and US stock markets spillovers during the sample period. Moreover, a perpetual correlation between the Covid-19 and the stock market variables has been noticed. Research limitations/implications: At present, the world is experiencing the third wave of Covid-19. This paper has considered the first and second waves. Practical implications: It is expected that business leaders, stock market regulators and the policymakers will be highly benefitted from the research outcomes of this study. Originality/value: This paper briefly highlights the drawbacks of existing policies and suggests appropriate guidelines to successfully implement the forthcoming initiatives to reduce the catastrophic impact of Covid-19 on the stock market volatility and uncertainty.
Subjects: 
Covid-19
Stock market
Economic uncertainty
Event study
ARIMA
JEL: 
B26
C58
E44
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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