scholarly journals The impact of the COVID-19 outbreak on the Indian stock market – A sectoral analysis

2021 ◽  
Vol 18 (3) ◽  
pp. 334-346
Author(s):  
Rahul Kumar ◽  
Prince Bhatia ◽  
Deeksha Gupta
Keyword(s):  
Size Effect ◽  
Event Study ◽  
Extreme Events ◽  
Negative Impact ◽  
Comprehensive Analysis ◽  
Price Impact ◽  
Sample Analysis ◽  
Sectoral Analysis ◽  
Indian Stock Market ◽  
The Impact

This paper aims to examine the impact of the COVID-19 outbreak on Indian firms listed on the NSE and analyze its impact on various sectors. In addition, a sub-sample analysis based on market capitalization was performed to understand the effect of size during extreme events. The sample consisted of 1,335 firms listed on the NSE India. A standard event study outlined by Brown and Warner (1985) was employed to analyze the price impact on the COVID-19 outbreak. The event windows from -10 days to +10 days were selected. The estimation window is 250 days. The Nifty 50 has been chosen as a proxy for market return. The sample firms witnessed a negative impact of the COVID-19 outbreak with a negative CAAR in different event windows. In addition, various sectors are classified according their responsiveness towards the COVID-19 outbreak into three groups: highly negatively affected, moderately negatively affected, and slightly negatively affected. The paper also points out that the pandemic substantially affects the above-median market capitalized firms than the below-median market capitalized firms, which contradicts the size effect phenomenon. The results assist shareholders in managing their portfolios and mitigate the systematic risk of their investments during extreme events such as a pandemic, wars, and others. This study is the first comprehensive analysis of the impact of the COVID-19 outbreak on different sectors in India. It is also the first study to investigate the size effect anomalies during extreme events.

scholarly journals The Impact of Covid-19 on the Automobile and Allied Sectors

2021 ◽  
Vol 6 (4) ◽  
pp. 20-28
Author(s):  
Manmohan ◽  
Keyword(s):  
Extreme Events ◽  
Extreme Event ◽  
Negative Impact ◽  
Price Impact ◽  
Decision Makers ◽  
Clear Cut ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

This paper examines the impact of Covid-19 outbreak on the automobile and allied sector. The role of the automobile sector is significant in the overall economy in India. We have used event study methodology to capture the price impact on account of the Covid-19 outbreak. We found that automobile sector and allied sector have witness the negative impact on the event of the pandemic. We have presented the daily and period wise results to provide clear cut understanding about the impact of Covid-19 outbreak on the automobile and allied sectors. This paper contributes in the extreme event literature and help decision makers to hedge their position during the extreme events.

Impact of ETF Listing on the Returns Generated by Underlying Stocks: Indian Evidence

2021 ◽  
pp. 0258042X2199101
Author(s):  
Prabhdeep Kaur ◽  
Jaspal Singh
Keyword(s):  
Event Study ◽  
Abnormal Returns ◽  
Price Impact ◽  
Exchange Traded Funds ◽  
Study Analysis ◽  
Jel Codes ◽  
Securities Transaction Tax ◽  
Underlying Stocks ◽  
Transaction Tax ◽  
The Impact

The advent of exchange traded funds (ETFs) has rendered index trading much affordable compared to their futures counterparts. The present study attempts to examine the impact of ETF listing on the price of the constituent securities of the index that it aims to track. The sample comprises of all the equity ETFs listed in India from 1 January 2002 to 31 March 2019. Event study analysis has been used to examine whether listing of ETFs bore any price impact on the constituent stocks of ETFs. To account for robustness, both parametric and non-parametric tests have been employed. The estimates obtained from event study analysis revealed that the constituent stocks generated insignificant returns for the period extending from January 2002 to March 2009 and April 2009 to March 2013 but positive and significant cumulative average abnormal returns (CAARs) post ETF listing for the period ranging from April 2013 to March 2019, thus providing evidence in support of positive price impact. The permission granted to pension funds, insurers and Employees’ Provident Fund Organisation (EPFO) to invest their funds in ETFs as well as reduction in Securities Transaction Tax (STT) account for the observed price differential. An analysis of the factors accounting for the variation in valuation effects ascertained that the stocks that were traded thinly prior to ETF listing and those forming part of ETFs with larger asset base experienced positive price impact following ETF listing. JEL Codes: G11, G14

scholarly journals Climate Perspectives in the Intra–Americas Seas

Atmosphere ◽  
2020 ◽  
Vol 11 (9) ◽  
pp. 959
Author(s):  
Ana María Durán-Quesada ◽  
Rogert Sorí ◽  
Paulina Ordoñez ◽  
Luis Gimeno
Keyword(s):  
Climate Change ◽  
Extreme Events ◽  
Large Scale ◽  
Negative Impact ◽  
Current Knowledge ◽  
Regional Climate ◽  
Climate Projections ◽  
Economic Activities ◽  
Weather And Climate ◽  
The Impact

The Intra–Americas Seas region is known for its relevance to air–sea interaction processes, the contrast between large water masses and a relatively small continental area, and the occurrence of extreme events. The differing weather systems and the influence of variability at different spatio–temporal scales is a characteristic feature of the region. The impact of hydro–meteorological extreme events has played a huge importance for regional livelihood, having a mostly negative impact on socioeconomics. The frequency and intensity of heavy rainfall events and droughts are often discussed in terms of their impact on economic activities and access to water. Furthermore, future climate projections suggest that warming scenarios are likely to increase the frequency and intensity of extreme events, which poses a major threat to vulnerable communities. In a region where the economy is largely dependent on agriculture and the population is exposed to the impact of extremes, understanding the climate system is key to informed policymaking and management plans. A wealth of knowledge has been published on regional weather and climate, with a majority of studies focusing on specific components of the system. This study aims to provide an integral overview of regional weather and climate suitable for a wider community. Following the presentation of the general features of the region, a large scale is introduced outlining the main structures that affect regional climate. The most relevant climate features are briefly described, focusing on sea surface temperature, low–level circulation, and rainfall patterns. The impact of climate variability at the intra–seasonal, inter–annual, decadal, and multi–decadal scales is discussed. Climate change is considered in the regional context, based on current knowledge for natural and anthropogenic climate change. The present challenges in regional weather and climate studies have also been included in the concluding sections of this review. The overarching aim of this work is to leverage information that may be transferred efficiently to support decision–making processes and provide a solid foundation on regional weather and climate for professionals from different backgrounds.

scholarly journals The Effects of Antimonopoly Policy on Oil Products Markets in Russia

2020 ◽  
Vol 12 (2) ◽  
pp. 40-68
Author(s):  
A. Y. Stavniychuk
Keyword(s):  
Event Study ◽  
Negative Impact ◽  
Indirect Costs ◽  
Market Value ◽  
Oil Industry ◽  
Oil Products ◽  
Oil Companies ◽  
Event Study Method ◽  
Antitrust Laws ◽  
The Impact

The article estimates enforcement activities effects of the Federal Antimonopoly Service in oil products markets. The article analyzes the impact on petrol and diesel fuel markets of two types FAS Russia measures: measures related to the primary detection of antitrust laws violation signs, and measures applied when the violation fact has already been reliably established. The research point is based on the concerns about the negative impact on the companies of posting news of showing interest on the part of antimonopoly authorities with no evidence proving true law violation at the period of publication. To estimate effects on shares prices of large vertically integrated companies in the oil industry we used the event study method. The analysis sample included events that occurred with Russian oil companies from 2013 to 2019. The analysis showed that the effects based on the influence of detection signs of violation and establishing the violation fact of antitrust laws differ both in their intensity and in the direction of influence. It is also proved that the actions of antimonopoly authorities don’t create significant indirect costs of reducing the company's market value.

scholarly journals Repercussions of COVID-19 on the Indian stock market

2021 ◽  
Vol 5 (S1) ◽  
pp. 1495-1509
Author(s):  
Dhananjay Ashri ◽  
Bibhu Prasad Sahoo ◽  
Ankita Gulati ◽  
Irfan UL Haq
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Banking Sector ◽  
Oil And Gas ◽  
Negative Impact ◽  
Long Run ◽  
Short Run ◽  
Indian Stock Market ◽  
The Impact ◽  
Daily Returns

The present paper determines the repercussions of the coronavirus on the Indian financial markets by taking the eight sectoral indices into account. By taking the sectoral indices into account, the study deduces the impact of virus outbreak on the various sectoral indices of the Indian stock market. Employing Welch's t-test and Non-parametric Mann-Whitney U test, we empirically analysed the daily returns of eight sectoral indices: Nifty Auto, Nifty FMCG, Nifty IT, Nifty Media, Nifty Metal, Nifty Oil and Gas, Nifty Pharma, and Nifty Bank. The results unveiled that pandemic had a negative impact on the automobile, FMCG, pharmaceuticals, and oil and gas sectors in the short run. In the long run, automobile, oil and gas, metals, and the banking sector have suffered enormously. The results further unveiled that no selected indices underperformed the domestic average, except NIFTY Auto. 

scholarly journals The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries

2020 ◽  
pp. 097215092095727
Author(s):  
Bhanwar Singh ◽  
Rosy Dhall ◽  
Sahil Narang ◽  
Savita Rawat
Keyword(s):  
Data Analysis ◽  
Panel Data ◽  
Event Study ◽  
Stock Markets ◽  
Stock Price ◽  
Negative Impact ◽  
Panel Data Analysis ◽  
Abnormal Returns ◽  
Developed Countries ◽  
The Impact

This study examines the impact of the COVID-19 outbreak on the stock markets of G-20 countries. We use an event study methodology to measure abnormal returns (ARs) and panel data regression to explain the causes of ARs. Our sample consists of indices in G-20 countries. The observed window comprises 58 days post the COVID-19 outbreak news release in the international media, and the estimation window consists of 150 days before the event date. We find statistically significant negative ARs in the four sub-event windows during the 58 days. Negative ARs are significant for developing as well as developed countries. The findings of this study reveal that cumulative average abnormal return (CAAR) from day 0 to day 43, ranging from –0.70 per cent to –42.69 per cent, is a consequence of increased panic in the stock markets resulting from an increased number of COVID-19 positive cases in the G-20 countries. From day 43 to day 57, CAAR ranging from –42.69 per cent to –29.77 per cent indicates the recovery of stock markets after a major stock price correction due to COVID-19. Additionally, the results of panel data analysis confirm the recovery of stock markets from the negative impact of COVID-19.

scholarly journals Indian Stock Market during the COVID-19 Pandemic: Vulnerable or Resilient?: Sectoral analysis

2021 ◽  
Vol 12 (1) ◽  
pp. 131-159
Author(s):  
Rishika Shankar ◽  
Priti Dubey
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Consistent Pattern ◽  
Daily Average ◽  
Sectoral Analysis ◽  
Indian Stock Market ◽  
The Impact

This study examines the impact of COVID-19 pandemic on the performance of Indian stock market, measured by daily average returns and trading volume. The analysis is aimed at discovering the vulnerability of the general market as well as nine crucial sectors to the pandemic while also checking the impact on overall volatility in the market. The findings suggest that all the sectors followed a consistent pattern of being significantly impacted by the pandemic. However, the benchmark index remained resilient in the context of average returns. The entire market witnessed decreased returns and increased liquidity, which is explained by reduced volatility in the market.

scholarly journals Influence of Board Reformation on the Stock Returns: an Event Study

2018 ◽  
Vol 7 (3.16) ◽  
pp. 71
Author(s):  
Bindya Kohli ◽  
Deepa Pillai
Keyword(s):  
Organizational Performance ◽  
Stock Returns ◽  
Event Study ◽  
Stock Prices ◽  
Stock Price ◽  
Negative Impact ◽  
Market Model ◽  
Age Related ◽  
The Board Of Directors ◽  
The Impact

Investor sentiments pertaining to stocks are propelled by the contentions of financial sector reforms, fiscal policy and management change. Any uncertainty has a significant impact on the stock prices and returns accruing to the company. The paper examines the effect of change in management on the stock returns of a corporate entity. Organizational performance is dependent on the realization of the numerous roles the board of directors are entrusted with. Any change in the composition of the board through the resignation, retirement or ouster can thus have a significant impact on the stock prices and returns accruing to the company. It is anticipated that voluntary resignations, age related turnovers have small or negative impact on the stock price reactions. The paper investigates the impact of the ouster of the Chairman of the Tata group on the volatility of the daily prices and returns of four companies under the Tata umbrella. Event study methodology has been adopted following the market model of return generating process. Investors react to the market information thereby affecting the security prices positively or negatively during the event window. The findings disclose market sentiments are affected on the occurrence of the event though the acceptance of the event may be unforeseen. 

Do Demerger Announcements Impact Shareholders Wealth? An Empirical Analysis Using Event Study

2018 ◽  
Vol 22 (1) ◽  
pp. 22-31
Author(s):  
P. A. Padmanabhan
Keyword(s):  
Stock Market ◽  
Event Study ◽  
Abnormal Returns ◽  
Corporate Restructuring ◽  
Market Model ◽  
Extensive Literature ◽  
Event Window ◽  
Increasing Trend ◽  
Indian Stock Market ◽  
The Impact

Corporate restructuring has been on an increasing trend in India over the past two decades, and demergers are emerging as one of the important forms of corporate restructuring. While there is extensive literature on demergers abroad, there is limited literature on demergers in the Indian context. In this study, the impact of demerger announcements on shareholders’ wealth is analysed using event study. Demerger announcements made by 63 companies spread over 11 years from 2003 to 2014 are taken up for the study. Two different models, namely, mean-adjusted returns model and market model, are applied. Log returns are used in the study. The efficiency of the Indian stock market is also tested in the study. The results show positive abnormal returns during the event window under both mean-adjusted returns model and market model. The results also indicate that the Indian stock market exhibits semi-strong form efficiency.

scholarly journals Examining Overreaction in Indian Stock Market for Quarterly News

2014 ◽  
Vol 4 (1) ◽  
pp. 1-16
Author(s):  
Sitangshu Khatua ◽  
Hemant Kumar Pradhan
Keyword(s):  
Event Study ◽  
Stock Prices ◽  
Market Condition ◽  
Informational Content ◽  
Policy Recommendation ◽  
Earning Announcement ◽  
Business World ◽  
Indian Stock Market ◽  
The Impact ◽  
Concurrent Analysis

Market Overreaction is a very familiar and age-old craze amongst traders. Pigou (1929) defined it as a ‘conducting rod along which an error of optimism or pessimism, once generated, propagates itself about the business world.’ The question of whether or not Indian stock prices market is overreacted during any stock-specific news is best answered by a comprehensive and concurrent analysis of the various tests and data available while using the event study. This study wants to address the impact of size, volatility and asymmetry in the terms of investors’ overreaction to the firm-specific news not only individually but also jointly. The outcome of this study helps to solve the problem concerning the extent to which quarterly announcements have informational content, and whether the investors are affected by the signals. The present study substantiates the policy recommendation for the market players as well as for the analysts in estimating earning announcement events under different market condition and different market capitalization value of the firm.

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