Do Sectoral Indices React Differently to Lockdowns Imposed Due to Covid-19? Lessons for Wealth Generation


  • Saurabh Agarwal Professor of Accounting and Finance & Principal, IIF College of Commerce and Management Studies, Affiliated to Ch. Charan Singh University, 45A, Knowledge Park III, Greater Noida, UP - 201308
  • Megha Agarwal Associate Professor, Department of Commerce, Rajdhani College, University of Delhi, Raja Garden, Mahatma Gandhi Marg, New Delhi - 110015, Delhi
  • Renu Ghosh Assistant Professor, Department of Management Studies, Netaji Subhas University of Technology, Dwarka Sector-3, Dwarka, Delhi - 110078



Abnormal Returns, Covid-19, Event Study, GARCH, Investors, Stock Market Indices, Lockdown<p>JEL Classification, G10, G14, C22, C25</p>


This research paper is an attempt to study the impact of Covid-19 on the sectoral indices using Event Study Methodology (EVM) and regression models. It tries to analyze the differences in mean returns of one composite and ten sectoral indices on India’s premier National Stock Exchange during four periods-before lockdowns, during the lockdown, during unlocking and post unlock. The analysis is based on 15346 daily observations. Imposition of Lockdown is found to have a positive impact on the daily mean return of the eleven Nifty indices under study. The mean returns of sectoral indices are compared using non-parametric tests. The mean returns across four periods are compared using Friedman’s ANOVA and are found to be significantly different over the four periods. Post Hoc Analysis using Wilcoxon signed-rank test revealed that the daily mean returns during the lockdown were more than the daily mean returns during the period before lockdown, during unlock period or post unlock period. Kruskal Wallis test was used to investigate the equality of means of eleven indices found, mean returns of indices to be equal to each other during all the four alternate periods studied separately. GARCH (1,1) model is then used to estimate returns and variance of sectoral indices A significant portion of variances in sectoral index returns was explained by the variances in market proxy Nifty 50. The study highlights the emerging relevance of the Energy, FMCG, Healthcare, IT and Pharma sector during the lockdown as the abnormal positive returns have increased in these sectors. Infrastructure, Media and realty sectors have been severely affected due to the lockdown. The robustness of estimated parameters is checked by using a dummy variable regression model and it is found that stock markets were strengthening during the period of lockdown. The results of the dummy variable regression model are in line with the results of the Event Study Methodology (EVM) and GARCH (1,1). Overall, the imposition of lockdown as a policy initiative by the Government of India helped in mitigating the effect of Covid-19 on the stock market.


Chen, M.H., Jang, S.C., Kim, W.G. The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management. 2007; 26(1): 200-212. PMid:32287849 PMCid:PMC7116915

Narayan, P.K., Phan, D.H.B., Liu, G. COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. Finance Research Letters. 2021; 38. PMid:32843886 PMCid:PMC7440077

Sahoo, M. COVID-19 impact on stock market: Evidence from the Indian stock market. Journal of Public Affairs. 2021. PMid:33786018 PMCid:PMC7995132

Lee, C.C., Chen, M.P. The impact of COVID-19 on the travel and leisure industry returns: Some international evidence. Tourism Economics. 2020.

McTier, B.C., Tse, Y., Wald, J.K. Do stock markets catch the flu. Journal of Financial and Quantitative Analysis. 2013; 48(3): 979-1000.

Alfaro, L., Chari, A., Greenland, A., Schott, P. Aggregate and Firm-Level Stock Returns During Pandemic Real-Time. National Bureau of Economic Research Working Paper Series.2020; 26950.

Al-Awadhi, A.M., Alsaifi, K., Al-Awadhi, A., Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326. PMid:32292707 PMCid: PMC7144859

Apergis, N., Apergis, E. The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model. AsiaPacific Journal of Accounting and Economics. 2020.

Mittal, S., Sharma, D. (2021). The impact of COVID-19 on stock returns of the Indian healthcare and pharmaceutical sector. Australasian Accounting, Business and Finance Journal. 2021; 15(1).

Baker, S.R., Bloom, N., Davis, S.J., Kost, K., Sammon, M.C., & Viratyosin, T. The Unprecedented Stock Market Impact of COVID-19. Review of Corporate Finance Studies. 2020; 9(April).

Bash, A. International Evidence of Covid-19 and Stock Market Returns: An Event Study Analysis. International Journal of Economics and Financial Issues. 2020; 10(4).

Shehzad, K., Xiaoxing, L., Kazouz, H. COVID-19’s disasters are perilous than Global Financial Crisis: A rumor or fact? Finance Research Letters. 2020. 36. PMid:32837374 PMCid:PMC7318935

Mishra, A.K., Rath, B.N., Dash, A.K. Does the Indian Financial Market Nosedive because of the COVID-19 Outbreak, in Comparison to after Demonetisation and the GST? Emerging Markets Finance and Trade. 2020; 56(10).

Johns Hopkins University of Medicine Coronavirus Resource Center. 2021. Available from (accessed May 15, 2021).

Agarwal, S., Agarwal M., Ghosh, R. An event study approach to analyze the impact of Novel Coronavirus Disease (Covid-19) on Indian Hotel & Tourism stocks performance. Ramanujan International Journal of Business and Research. 2021; 6: 26-36.

Alam, M.M., Wei, H., Wahid, A.N.M. COVID-19 outbreak and sectoral performance of the Australian stock market: An event study analysis. Australian Economic Papers. 2020. PMid:33349733 PMCid:PMC7744892

Chowdhury, E.K., Abedin, M.Z. COVID-19 Effects on the US Stock Index Returns: An Event Study Approach. SSRN Electronic Journal. 2020. ssrn.3611683

Dilla, S., Sari, L.K., Achsani, N.A. Estimating the Effect of the Covid-19 Outbreak Events on the Indonesia Sectoral Stock Return. Jurnal Aplikasi Bisnis Dan Manajemen.2020.

Liu, H., Manzoor, A., Wang, C., Zhang, L., Manzoor, Z. The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health. 2020; 17(8). PMid:32325710 PMCid:PMC7215540

Liu, H. Y., Wang, Y., He, D., & Wang, C. Short term response of Chinese stock markets to the outbreak of COVID-19. Applied Economics. 2020; 52(53).

Kandil G., ?.E., Eren, B.S., Karaca, S.S. The Impact of the COVID-19 (Coronavirus) on The Borsa Istanbul Sector Index Returns: An Event Study. Gaziantep University Journal of Social Sciences. 2020; 19 (COVID-19 Special Issue).

Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M.H., & Jahanger, A. The impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. Journal of Asian Finance, Economics and Business. 2020; 7(7). no7.463

Singh, B., Dhall, R., Narang, S., Rawat, S. The Outbreak of COVID-19 and Stock Market Responses: An Event Study and Panel Data Analysis for G-20 Countries. Global Business Review. 2020.

Brooks, C. Introductory Econometrics for Finance. In Introductory Econometrics for Finance. 2019.

Bollerslev, T., Chou, R. Y., Kroner, K.F. ARCH modeling in finance. A review of the theory and empirical evidence. Journal of Econometrics. 1992; 52:1-2.




How to Cite

Agarwal, S., Agarwal, M., & Ghosh, R. (2022). Do Sectoral Indices React Differently to Lockdowns Imposed Due to Covid-19? Lessons for Wealth Generation. Journal of Business Thought, 13, 41–56.