Volatilty Analysis of Stock Markets in India During the Covid-19 Pandemic 1Shukuldeep Salgotra

COVID-19 Pandemic, Stock Market Volatility, Indian Stock Market, BSE Sensex, NIFTY 50, BSE 500, NIFTY Bank, GARCH Model, Financial Risk, Volatility Clustering

The COVID-19 pandemic caused unprecedented disruptions in global financial markets, resulting in heightened uncertainty and substantial fluctuations in stock prices. The Indian stock market experienced significant volatility due to lockdown measures, disruptions in economic activities, changing investor sentiment, and concerns regarding future economic growth. This study investigates the volatility behaviour of major Indian stock market indices, namely BSE 500, BSE Sensex, NIFTY 50, and NIFTY Bank, during the COVID-19 period. Daily historical data covering the period from January 2014 to December 2023 were utilized to examine the dynamics of stock returns and volatility patterns. Descriptive statistics and normality tests were employed to analyse the characteristics of return series, while the Generalized Autoregressive Conditional Heteroskedasticity [GARCH (1,1)] model was used to estimate volatility persistence and clustering effects. The findings reveal the presence of significant volatility clustering and time-varying variance across all indices, indicating that shocks arising from the pandemic had a prolonged impact on market behaviour. The results further demonstrate that the Indian stock market exhibited substantial fluctuations during the pandemic period, followed by gradual recovery and stabilization. The study highlights the importance of volatility modelling in understanding market dynamics and provides valuable implications for investors, portfolio managers, financial institutions, and policymakers in designing effective risk management and investment strategies during periods of economic uncertainty.