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http://dspace.bits-pilani.ac.in:8080/jspui/xmlui/handle/123456789/8919| Title: | Sectoral Nonlinear Causality Between Stock Market Volatility and the COVID-19 Pandemic: Evidence From India |
| Authors: | Bal, Debi Prasad |
| Keywords: | Economics and Finance COVID-19 Stock Market Development |
| Issue Date: | 2021 |
| Publisher: | Asian Economics Letters |
| Abstract: | This paper examines the linear and nonlinear relationship between daily confirmed COVID-19 cases and sectoral stock market volatility in India. The linear Granger causality test reveals bidirectional causality. Further, we observe that bidirectional nonlinear Granger causality exists between stock market volatility and COVID-19. This implies that the historical and lagged information can have a significant role in predicting COVID-19 cases and the stock market. |
| URI: | https://doi.org/10.46557/001c.21380 http://dspace.bits-pilani.ac.in:8080/xmlui/handle/123456789/8919 |
| Appears in Collections: | Department of Economics and Finance |
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