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Analysis of Structural Breaks in Stock Returns and Volumes in the Indian Stock Markets: Pre- and Post-COVID-19 Era

Analysis of Structural Breaks in Stock Returns and Volumes in the Indian Stock Markets: Pre- and Post-COVID-19 Era

Gyanesh Jain, A. V. Senthil Kumar, Sushil Kalyani, Ankita Chaturvedi
Copyright: © 2024 |Pages: 21
ISBN13: 9798369315446|ISBN13 Softcover: 9798369345306|EISBN13: 9798369315453
DOI: 10.4018/979-8-3693-1544-6.ch003
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MLA

Jain, Gyanesh, et al. "Analysis of Structural Breaks in Stock Returns and Volumes in the Indian Stock Markets: Pre- and Post-COVID-19 Era." Cases on Economic Crisis Impact on Multinational Corporations, edited by Kyla Latrice Tennin and Samrat Ray, IGI Global, 2024, pp. 42-62. https://doi.org/10.4018/979-8-3693-1544-6.ch003

APA

Jain, G., Kumar, A. V., Kalyani, S., & Chaturvedi, A. (2024). Analysis of Structural Breaks in Stock Returns and Volumes in the Indian Stock Markets: Pre- and Post-COVID-19 Era. In K. Tennin & S. Ray (Eds.), Cases on Economic Crisis Impact on Multinational Corporations (pp. 42-62). IGI Global. https://doi.org/10.4018/979-8-3693-1544-6.ch003

Chicago

Jain, Gyanesh, et al. "Analysis of Structural Breaks in Stock Returns and Volumes in the Indian Stock Markets: Pre- and Post-COVID-19 Era." In Cases on Economic Crisis Impact on Multinational Corporations, edited by Kyla Latrice Tennin and Samrat Ray, 42-62. Hershey, PA: IGI Global, 2024. https://doi.org/10.4018/979-8-3693-1544-6.ch003

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Abstract

COVID-19 impacted the whole world's economy at large and all the sectors except a few. Most industries witnessed huge losses in most countries, whether developing, developed, or undeveloped. The losses suffered by the major sectors catering to the economies typically affect all the ancillary service sectors also. The research attempts to look at the causality of stock returns and volumes within, using a dynamic Markov regime switching GARCH model to identify the changes in this relation pre and post COVID-19. The study finds a weak relationship between the real growth represented by GDP and stock returns pre and post COVID-19. The presence of structural breaks was evident from the observations and a positive result from the regime-switching models, which suggests that the perception of stock markets is not derived from the real GDP.

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