ABSTRACT

We investigate the impact of COVID-19 on the Indian financial market and compare it with the outcomes of two recent structural changes of the Indian economy: demonetization and implementation of the Goods and Services Tax (GST). Using daily stock return, net foreign institutional investment, and exchange rate data from January 3, 2003 to April 20, 2020, we find negative stock returns for all the indices during the COVID-19 outbreak, unlike during the post-demonetization and GST phases. Markov switching vector autoregression shows the impact of COVID-19 on stock returns is severe in comparison to that of demonetization and the GST.

摘要

我们调查了COVID-19对印度金融市场的影响，并将其与印度经济的两个近期结构性变化的结果进行了比较：商品化和服务税（GST）的非货币化和实施。使用2003年1月3日至2020年4月20日的每日股票收益，净国外机构投资和汇率数据，我们发现COVID-19爆发期间所有指数的股票收益均为负，这与去货币化后和GST阶段不同。马尔可夫切换向量自回归表明，与去货币化和商品及服务税相比，COVID-19对股票收益的影响更为严重。