COVID‐19 impact on stock market: Evidence from the Indian stock market

Sahoo, Manamani

This paper has been empirically investigated the existence of the day‐of‐the‐week effect by using closing daily data for Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty 100 Midcap, Nifty 100 Smallcap, and Nifty 200 for before and during the COVID‐19 health crisis. This study used secondary data for all indices over the period 1 April 2005–14 May 2020. The present study used both dummy variable regression and the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. The total study period is divided into two sub‐periods, that is, during and before the COVID‐19 health crisis. A negative return is found for Mondays when the during‐COVID‐19 health crisis period is examined; in contrast, it was positive for the before COVID‐19 period. Tuesday's effect on index return is found statistically significant and positive for all indices during the COVID‐19 crisis.