Covid-19 Spillover And Its Impact On Stock Market Volatility: Evidence From India
The present paper has investigates the impact of COVID-19 pandemic on major sectors of Indian economy such as agriculture and allied sector, manufacturing industries and service sector by using various government reports. This study also analyse the impact of COVID-19 on stock market volatility in India. Using daily closing prices of indices such as Nifty and Sensex, this study examine the volatility of these indices over the period 24th March 2020 to 12th June 2020 considering before and after lockdown period. GARCH (Generalized AutoRegressive Conditional Heteroskedasricity) model is used to capture the volatility of the indices. Findings reveale that the stock market in India has experienced volatility during the pandemic period and the pandemic has also negatively impact the major sectors of Indian economy.