Stock Market Efficiency and COVID-19 with Multiple Structural Breaks: Evidence from India

Author:

Bhatia Madhur12ORCID

Affiliation:

1. Christ (Deemed-To-Be) University, Delhi-NCR Campus, India

2. Indian Institute of Technology, Roorkee, Uttarakhand, India

Abstract

The objective of the study is to investigate the influence of the coronavirus pandemic (endogenous crisis) on the stock market efficiency of India during the multiple break periods. The empirical analysis is performed using conditional heteroscedasticity and a small sample robust wild bootstrap automatic variance ratio test and automatic portmanteau test on a daily stock return data of two benchmark indices, that is, NIFTY and SENSEX. The empirical results demonstrate that the stock return of two indices deviates from market efficiency during some periods of the analysis, notably during the nationwide lockdown and peak periods of coronavirus cases in India. These findings indicate that changing stock market behaviour becomes more speculative and earns abnormal profits. To the best of the author’s knowledge, this study provides the first evidence of investigating the variations in the stock market efficiency of India in response to this endogenous crisis.

Publisher

SAGE Publications

Subject

Business and International Management

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