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The policy response to COVID‐19 pandemic and its impact on the equity market sentiment: The Indian experience.
- Source :
- Journal of Public Affairs (14723891); Feb2023, Vol. 23 Issue 1, p1-9, 9p
- Publication Year :
- 2023
-
Abstract
- We examine the dynamics of the impact of the evolving policy response during the COVID‐19 pandemic on the equity market sentiment in India. We operationalise our study by examining the India VIX, the fear gauge of the Indian equity market as an indicator for the market sentiment, and the country level Government Response Index of the Blavatnik School of Government, Oxford University as an indicator for the policy response. The relation is examined through the Markov‐switching model using high‐frequency daily data from January 30, 2020, to May 31, 2021. The evidence suggests that the policy response has a positive impact on the market sentiment when the market is fearful. Further, the evidence suggests that both the high‐fear state and the low‐fear state of the market sentiment given by the model are short‐lived indicating heightened volatility and possible speculation during the ongoing pandemic in the Indian equity market. [ABSTRACT FROM AUTHOR]
- Subjects :
- MARKET sentiment
COVID-19 pandemic
VOLATILITY (Securities)
Subjects
Details
- Language :
- English
- ISSN :
- 14723891
- Volume :
- 23
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Journal of Public Affairs (14723891)
- Publication Type :
- Academic Journal
- Accession number :
- 162757198
- Full Text :
- https://doi.org/10.1002/pa.2823