Open AccessImpact of COVID-19 on Stock Market and Gold Returns in India
Author(s) -
Sarika Mahajan,
Priya Mahajan
Publication year - 2021
Publication title -
eurasian journal of business and economics
Language(s) - English
Resource type - Journals
eISSN - 1694-5948
pISSN - 1694-5972
DOI - 10.17015/ejbe.2021.027.02
Subject(s) - stock market , autoregressive conditional heteroskedasticity , economics , safe haven , stock market index , financial economics , stock (firearms) , gold as an investment , financial crisis , financial market , monetary economics , econometrics , finance , volatility (finance) , geography , macroeconomics , context (archaeology) , archaeology
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.