African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4180

Article in Press

The Impulse response of COVID-19 on Stock Market Return- An Analysis of the Indian Stock Market

Vinod K. Bhatnagar and Anamika Pateriya Dwivedi

  •  Received: 21 January 2022
  •  Accepted: 17 November 2022
This paper empirically investigates the impact of COVID-19 cases on the volatility of stock prices in India. Daily closing prices of stock indices, Nifty and Sensex from January 30, 2020, to December 15, 2021, have been used for the analysis. To check whether a time series is stationary or non-stationary, the Augmented Dickey-Fuller (ADF) unit root test was applied, and to check the impact of COVID-19 cases on stock returns, the Granger Causality test was applied. Findings reveal that the datasets are stationary and have no unit root. COVID-19 cases do not have any impact on BSE and NSE stock returns, there are some other factors that affect stock volatility.

Keywords: COVID-19 cases, BSE, NSE, Stock Return, India