Sanket Ledwani
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Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study
Sanket Ledwani , Suman Chakraborty , Sandeep S. Shenoy doi: http://dx.doi.org/10.21511/imfi.18(2).2021.03Investment Management and Financial Innovations Volume 18, 2021 Issue #2 pp. 20-36
Views: 1175 Downloads: 496 TO CITE АНОТАЦІЯThe unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of six sub-event windows after the COVID-19 news up-doves the world, and 120 days prior to the selected event date to estimate average expected returns. BHAR values in the four event windows are statistically significant, covering stock markets from panic and nosedive to their correction and recovery. ABHAR values reported are significantly negative in the event window ranging from –0.15% to –38.43% for G-7 and –0.06% to –37.12% for BRICS nations. Despite similar ABHAR trends, the BHAR values and correlation matrix exhibit a diverse reaction in BRICS nations compared to the highly synchronized reaction in the G-7 group of nations in the COVID period.
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Modeling Indian Bank Nifty volatility using univariate GARCH models
Nikhil M. N. , Suman Chakraborty , Lithin B. M. , Sanket Ledwani , Satyakam doi: http://dx.doi.org/10.21511/bbs.18(1).2023.11Banks and Bank Systems Volume 18, 2023 Issue #1 pp. 127-138
Views: 1072 Downloads: 295 TO CITE АНОТАЦІЯThe crumble of financial markets due to the recent crises has wobbled precariousness in the stock market and intensified the returns vulnerability of banking indices. Against this backdrop, this study intends to model the volatility of the Indian Bank Nifty returns using a battery of GARCH specifications. The finding of the present research contributes to the literature in three ways. First, volatility during the sample period, which corresponds to a time of stress (a bear market), is more persistent, with an estimated coefficient of 0.995695. Moreover, when volatility rises, it persists for a long time before returning to the mean in an average of 16 days. Second, for a positive γ, the results insinuate the possibility of an “anti-leverage effect” with a coefficient of 0.139638. Thus, the volatility of the Bank Nifty returns tends to rise in response to positive shocks relative to negative shocks of equal magnitude in India. Finally, the findings demonstrate that EGARCH with Student’s t-distribution offers lower forecast errors in modeling conditional volatility.
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