Impact of COVID-19 on Stock Market and Gold Returns in India

The spread of COVID-19 has caused severe damage to human lives and the global economy. The stock markets around the world have plummeted to their lowest levels since the 2008 Global Financial Crisis. This paper attempts to examine the joint dynamics of gold and stock market returns during unpreceden...

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Bibliographic Details
Published in:Eurasian Journal of Business and Economics 2021-05, Vol.14 (27), p.29-46
Main Authors: MAHAJAN, Sarika, MAHAJAN, Priya
Format: Article
Language:English
Subjects:
Coronaviruses
COVID-19
Economic crisis
Global economy
gold
information asymmetry
Information processing
lockdown
Securities markets
Stochastic models
Stock exchanges
stock market return
Uncertainty
volatility
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Summary:The spread of COVID-19 has caused severe damage to human lives and the global economy. The stock markets around the world have plummeted to their lowest levels since the 2008 Global Financial Crisis. This paper attempts to examine the joint dynamics of gold and stock market returns during unprecedented times of health and financial shock due to COVID-19 between January 2020 and May 2020 using granger test, ARMA model, and symmetric and asymmetric GARCH models to improve the understanding of the microstructure of investment scenario in India. The period considered in the study helps to evaluate the impact of lockdown due to coronavirus on Gold and Nifty index return. Results based on GARCH and E-GARCH models indicate a significant negative impact of gold on nifty returns during the sample period. The results also indicate investors' perception of gold as a safe-haven asset during periods of elevated uncertainty. Thus, the study is expected to enhance the understanding of market asymmetry, the behavior of investors towards these avenues of investments, and information processing.
ISSN:1694-5948
1694-5972
1694-5948
DOI:10.17015/ejbe.2021.027.02