Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective
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 c...
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| Format: | Article |
| Language: | English |
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Emerald Publishing
2022-12-01
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| Series: | Journal of Capital Markets Studies |
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| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JCMS-05-2022-0015/full/pdf |
| _version_ | 1827909686385442816 |
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| author | Emon Kalyan Chowdhury |
| author_facet | Emon Kalyan Chowdhury |
| author_sort | Emon Kalyan Chowdhury |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-13T01:42:08Z |
| format | Article |
| id | doaj.art-d6ca7d4f54cf4a70855fa8514f31b416 |
| institution | Directory Open Access Journal |
| issn | 2514-4774 |
| language | English |
| last_indexed | 2024-03-13T01:42:08Z |
| publishDate | 2022-12-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Journal of Capital Markets Studies |
| spelling | doaj.art-d6ca7d4f54cf4a70855fa8514f31b4162023-07-03T12:56:42ZengEmerald PublishingJournal of Capital Markets Studies2514-47742022-12-016322524110.1108/JCMS-05-2022-0015Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspectiveEmon Kalyan Chowdhury0CIU Business School, Chittagong Independent University, Chattogram, BangladeshPurpose – 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.https://www.emerald.com/insight/content/doi/10.1108/JCMS-05-2022-0015/full/pdfCovid-19Stock marketEconomic uncertaintyEvent studyARIMA |
| spellingShingle | Emon Kalyan Chowdhury Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective Journal of Capital Markets Studies Covid-19 Stock market Economic uncertainty Event study ARIMA |
| title | Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective |
| title_full | Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective |
| title_fullStr | Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective |
| title_full_unstemmed | Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective |
| title_short | Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective |
| title_sort | strategic approach to analyze the effect of covid 19 on the stock market volatility and uncertainty a first and second wave perspective |
| topic | Covid-19 Stock market Economic uncertainty Event study ARIMA |
| url | https://www.emerald.com/insight/content/doi/10.1108/JCMS-05-2022-0015/full/pdf |
| work_keys_str_mv | AT emonkalyanchowdhury strategicapproachtoanalyzetheeffectofcovid19onthestockmarketvolatilityanduncertaintyafirstandsecondwaveperspective |