Stock Market Volatility during COVID-19: Empirical Analysis of NIFTY Index

Abstract

COVID-19 has brought a disruptive change, is one of its kind scenarios, analysing it separately has special relevance to bring out movement of stock market index NIFTY and how its relationship with other variables changes and impact of derivatives on NIFTY and market volatility.  The data sample has been collected from January 30, 2020, till October 1, 2020. The analysis has been divided into four periods. Total COVID-19 period, pre-lockdown period, during COVID lockdown and unlockdown period.  During Lockdown the long term past return and role of the derivatives market in reducing the market volatility was found to be insignificant. Whereas past day or past two days lagged returns were found to have a significant impact on the market return.