Narrow Results

This examination endeavors to divulge the effects of the COVID-19 first and second waves on daily sectoral indices and volatility spillover in Indian markets. The empirical outcomes of the analysis reveal that the outbreaks of the first and second waves had a heterogeneous impact on the average value of eleven major sectoral indices. It also produces sufficient evidence of the assorted impacts of the first and second waves on volatility. The empirical outcome also confirms that the COVID-19 first wave led to greater uncertainty and intensification of volatility in the financial market as compared to the second wave. Finally, our research shows that the auto, banking, and Fast-moving consumer good (FMCG) sectors in India experienced higher volatility during the first wave of COVID-19, as these sectors contributed to the volatility in other sectors. However, consumer durables, metals, and oil and gas appear to have had the greatest impact on sectoral indices during the first wave, as they are a net recipient of volatility in the Indian financial market. On the other hand, on the basis of relevant outcomes, it can be surmised that the media, FMCG, and banking sectors demonstrated a high level of dominance on the other indices during the second wave of COVID-19 in India. However, consumer durables, pharmaceuticals, real estate, and information technology sectoral indices appeared mostly affected during the first and second waves of COVID-19, as they are net receivers of volatility in the Indian financial market.

This study makes an attempt to evaluate the impact of first and second waves of COVID-19 on the major global stock markets. Further, the study also analyzed the effect of COVID-19 on the sectoral indices of India during the first and second waves. In order to achieve the objective, the event study methodology has been used and abnormal returns are computed around the event dates. The findings of the study reveal that major stock markets in the world adversely affected during the first wave of COVID-19 and the highest abnormal loss was observed in Toronto Stock Exchange (7.55%) on the event date. The impact of second wave of COVID-19 was not as severe as first wave and highest abnormal loss (2.37%) was observed in Moscow Exchange of Russia. The Indian sectoral indices also showed high volatility during both the waves of COVID-19.