A STUDY ON IMPACT OF COVID-19 ON INDIAN STOCK MARKET

Submitted in partial fulfillment of the requirements for

the award of the degree of

Bachelor of Business Administration (BBA)

To

Guru Gobind Singh Indraprastha University, Delhi

Guide: Submitted by:

Mrs. Tinu Anand swati

(08819101718)

Gitarattan International Business School

New Delhi -110085

(Batch 2018-2021)
 CERTIFICATE

I, Swati, Enrolment No. 08819101718 certify that the Project Report.On Impact of Covid-19 on Indian
Stock Market done by me and it is an authentic work carried out by me at ‘‘Gitarattan international
business school” The matter embodied in this Report has not been submitted earlier for the award of
any degree or diploma to the best of my knowledge and belief.
Signature of the student Date:
Certified that the Project Report entitled “A study on Impact of Covid-19 On Indian Stock Market done
by Swati, , Enrolment No. 08819101718, is completed under my guidance.
Signature of the Guide Date:
Name of the Guide:Mrs.Tinu Anand
(Assistant Professor)
Gitarattan international business school
Delhi-110085
Countersigned Director/Summer Training Coordinator

2
 ACKNOWLEDGEMENT

This report has been prepared for the Project report that has been done in the Gitarattan international
business school in order to study the Impact Of Covid-19 on Indian Stock Market.
The purpose of this project is to understand the whole impact of Covid-19 on the economy and the
fluctuation of Market . So I have successfully completed the Project and compiled this report as the
summary and the conclusion that have been drawn from the various studies and some other secondary
sources of data. I would like to express my sincere gratitude to my mentor Mrs. Tinu Anand who has
given their valuable time and practical oriented experience which helped to implement the aspects of
data analysis and conclusion. I am also thankful to my friends and all the people for their cooperative
support, and also presenting with an opportunity to experience the economic conditions and market
fluctuation.
I am pleased to state that the whole report is just the presentation of the facts that have been found
during the project through different sources and each sentence is an exact representation of the
information obtained and the analysis thereof. I hope that I have manifested my sincere attempts to
represent all the information and other things to the best of my ability.

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 EXECUTIVE SUMMARY

Title of the project :

“A study on the impact of COVID-19 on Indian stock market”

The study consist of 4 chapters. Chapter -1 talks about the stock market and some brief introduction of
the topic. It also includes the objective of study, scope of the study, Methodology and hypothesis.
Chapter -2 consist of literature review, which talks about various research papers studied by me during
the research and which helped me to collect the plenty of secondary data for my research project.
Chapter-3 is the most important part of this research project. The data and research is descriptive and a
presentation of secondary data is done in this project. So this chapter consist of the Data and
Methodology and Result Analysis. Which contains 5 tables in it.
Chapter-4 Now it comes to the last chapter of the project which contains the conclusion and biography
And all the links of websites are provided as recommendations in this chapter which has been used in
the research for the collection of secondary data.

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 CONTENTS

S.No. Title Page

No.
1 Certificate 2

2 Acknowledgement 3

3 Executive Summary 4

4 Chapter 1-Introduction 6-10

5 Chapter-2: Literature Review 11-16

6 Chapter-3: Data Presentation & Analysis 16-35

7 Chapter-4: Summary and Conclusions 36

8 References/Bibliography 37

9 Appendices/Annexure 38-39

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 CHAPTER- 1
INTRODUCTION

Pre COVID-19, market capitalisation on each major exchange in India was about $2.16 trillion. The 2019
stock market rally was limited to 8-10 stocks within the large caps. The Sensex returned around 14%
(excluding dividends) for the year 2019 but prominently featured blue-chip companies such as HDFC
Bank, HDFC, TCS, Infosys, Reliance, Hindustan Unilever, ICICI Bank and Kotak Bank, without which
Sensex returns would have been negative. However, in the start of 2020, there was overall recovery which
led to both NSE and BSE traded at their highest levels ever, hitting peaks of 12,362 and 42,273
respectively. At the beginning of the year, there were close to 30 companies that were expected to file
IPO’s. The market conditions were generally favourable as they witnessed record highs in mid-January.

A Comparison of Pre and Post COVID View of Indian Stock Markets:

Bourses Indexes 14 jan, 20 Indexes 24 mar , 20 Indexes 24 April, 20

Nifty 50 12362 7610 9154
Sensex 41952 25981 31327

Ever since COVID 19 strike, markets loom under fear as uncertainty prevails. lt has sent markets around
the world crashing to levels not witnessed since the Global Financial Crisis of 2008. Following the strong
correlation with the trends and indices of the global market as BSE Sensex and Nifty 50 fell by 38 per
cent. The total market cap lost a staggering 27.31% from the start of the year. The stock market has
reflected the sentiments this pandemic unleashed upon investors, foreign and domestic alike. Companies
have scaled back; layoffs have multiplied and employee compensations have been affected resulting in
negligible growth in the last couple of months. Certain sector such as hospitality, tourism and
entertainment have been impacted adversely and stocks of such companies have plummeted by more than
40%.

While the world has witnessed many financial crises in the past, the last one being the global recession of
2008, the current coronavirus crisis is different from the past fallouts.
In response to current turmoil, RBI and the Government of India has come up with a slew of reforms such
as reductions of repo rate, regulatory relaxation by extending moratorium and several measures to boost
liquidity in the system howsoever the pandemic has impacted of the economic activity. Deceleration of
GDP growth, demand-supply chain, cut in discretionary expenses and CAPEX has been the observed
during the lockdown, which has led to falling in household incomes, marketing spends, reduced travel
cost and hiring freeze.
Companies with innovative products, increasing distribution reach, technology-driven processes and
healthy balance sheet would revive the growth momentum post lockdown. Lower oil prices and high
capital expenditure by the government in turn creating capital which will provide a platform to flourish
when we overcome COVID 19 pandemic.
As for the outlook for the market, we only need to look back at its history. Drops in BSE sensitive index
is temporary, and each dip provides investors with the opportunity to enter the market and earn a higher
return especially for those with long term horizon. Moreover, the higher the fluctuations, the higher
6
chances of getting better returns. While these crises are real and it impacts the world economy, but
historically, such crisis has not lasted long, as the world is competent enough to come up with answers to
combat these challenges. Despite the fact that it’s hard to predict the magnitude and impact of Coronavirus
on the economy, but it is certain that the markets will bounce back soon the crisis gets over. With an
average annual return (CAGR) of around 15 per cent, by growing from 100 points in 1979 to over 41,000
points in 2019, Sensex has proven time and again that corrections are temporary, but growth is permanent.

The extant literature provides several empirical pieces of evidence on stock market responses to the major
systemic events. The studies investigate the impact of major events such as pandemic disease severe acute
respiratory syndrome (SARS) outbreak (Chen et al., 2007, 2018), natural disasters (Tavor & Teitler-
Regev, 2019; Wang & Kutan, 2013), and political events (Bash & Alsaifi, 2019; Beaulieu et al., 2006;
Ismail & Suhardjo, 2001; Nazir et al., 2014; Shanaev & Ghimire, 2019) on the stock markets. The negative
impact of the recent COVID-19 outbreak on the world economy and capital markets is inevitable. In the
initial phase of academic research on COVID-19, studies conducted by Al-Awadhi et al. (2020), Haiyue
Liu et al. (2020), Ahmar and Val (2020), and Zhang et al. (2020) witnessed a negative impact of COVID-
19 outbreak on stock markets. The stock prices change because of supply and demand. The stock price
would fall when the number of people wanting to sell a stock is more than the number of people wanted
to buy it (there would be greater supply than demand for that particular stock). The existence of anomalies
has been recognized extensively for the previous two decades in financial markets. The most ubiquitous
is the day-of-the-week effect. Stock market is efficient when all the information including private as well
as public reflects in the stock price itself (Paital & Panda, 2018). The day-of-the-week effect patterns have
been examined extensively in different financial markets. The stock markets will react adversely due this
outbreak in the short run, but in the long run, markets eventually automatically correct themselves and
again start increasing (Gormsen & Koijen, 2020). The day-of-the-week patterns have been investigated
extensively in different markets. Studies (Aggarwal & Rivoli, 1989; Cross, 1973; French, 1980; Keim &
Stambaugh, 1984; Rogalski, 1984) document that the distribution of stock returns varies according to the
day-of-the-week. The “weekend effect” indicates that returns on stock are abnormally higher on some
days of the week than on other days (Dubois & Louvet, 1996; Gibbons & Hess, 1981). The average return
on Monday is significantly less than the average return over the other days of the week (Berument &
Kiymaz, 2001). The day-of-the-week regularity is not limited to the U.S. equity market. It is also
documented that the day-of-the-week regularity is present in other international equity markets
(Barone, 1990; Jaffe & Westerfield, 1985; Solnik & Bousquet, 1990) and other financial markets
including the futures market, treasury bill market, and bond market (Cornell, 1999).

According to the efficient market hypothesis (otherwise known as the efficient market theory), when there
is a pattern in the returns of a share, the share market is supposed to follow a random walk due to market
anomalies. There are a number of market anomalies in existence; some anomalies are appearing once and
then disappearing, whereas other anomalies are frequently observed. Market anomalies also include the
day-of-the-week effect, also known as Monday effect, the weekend effect, or intraday effect. An extensive
body of research has examined the weekend effect (Alagidede, 2008; Berument & Dogan, 2012; Brusa &
Liu, 2004; Chukwuogor, 2007). The “traditional” view of a weekend effect is that stocks tend to exhibit

7
lower return on Mondays compared to Fridays, due to investor behavior (Du Toit et al., 2018). The reason
for large returns on Fridays compared to Mondays is that portfolios are mostly sold on Mondays, as
investors re-evaluate their portfolios on a Monday after bad news released over the weekend (Lakonishok
& Maberly, 1990). However, there are some papers which reveal no significant day-of-the-week effects
with regards to volatility, so this finding has not been confirmed. The existence of the “weekend effect”
on the stock market has resulted in inconsistent evidence (Bhana, 1985; Chukwuogor, 2007; Coutts &
Sheikh, 2002; Kalidas et al., 2013; Mbululu & Chipeta, 2012; Plimsoll et al., 2013). The purpose of the
present study is to investigate the day-of-the-week effect on Nifty 50, Nifty 50 Midcap, Nifty 100,
Nifty100 midcap, Nifty 200, Nifty 100 Smallcap. The purpose is to identify calendar anomalies using day-
of-the-week-effect, whether there is a significant difference among weekdays' returns. Including
introduction, this paper consists of four sections. Next section provides a detailed review literature on the
day-of-the-week and weekend effect on index returns. Section 3discusses the data and methodology used
for the study. This is followed by the discussion on empirical results of the study. The last section provides
the conclusion.

1.1) The objective of study:

-To know better about investing.
- To figure out the changes in economy.
-To find out the future changes in the market.

1.2 ) Scope of study:

- Help in better investing.
- knowledge of stocks market.
- knowledge of growth and losses of companies.
- Estimate of risk involved.

1.3) Methodology used

The project report i am making is a descriptive report and all the information is collected through the
secondary sources of data ,which was already available.

1.4) Hypothesis

Equity markets seem to be riding the second wave confidently, despite the economic activity in India
having been derailed by the ongoing Covid-19 crisis.
The Covid-19 pandemic is perhaps one of the most economically costly health emergencies in recent
history. Its spread has severely impacted the global financial markets. Global equity markets, including
8
Indian markets have rallied a lot since the last market crash. While the stock market was at its peak in
February 2020, the sudden outbreak of pandemic triggered a freefall in share prices thereafter. But equity
markets seem to be riding the second wave confidently, despite the economic activity in India having been
derailed by the ongoing Covid-19 crisis. Market participants seem to be taking comfort from the
government decision not to go for a full-scale lockdown, the vaccination to all adults, and hopes of things
normalising in a couple of months.

The financial sector in India:

The financial sector in India has undergone a massive evolution in the last decade. The developmental
changes can be attributed to various components, new regulatory policies being one of them. Talking
about the Indian economy, it has witnessed a notable turnaround in recent years, keeping aside the
pandemic. Economic growth has rebounded, and the Government has initiated various reform measures
to encourage investment and strengthen productivity.
Further, the last decade has been the decade of digitisation which has completely changed the face of the
financial sector. Rise of fintech companies, mobile banking, cloud Banking. This new shift to digital
compulsion will result in customers seeking the same in-branch experiences in their online interactions.
In response to the slowing economic growth, the government has made a flurry of policy announcements
which have given a major push to the country’s economic growth. There has been a strong commitment
to game changing reforms, their successful execution, and the willingness of the private sector to take
risks and invest.

THE SURGE IN COVID CASES AND MARKET OUTLOOK:

Now that Covid-19 cases are increasingly rising in the country, the investors and companies are
apprehensive if the stock market will nose dive in 2021. The scenario has triggered worries of the situation
that developed during early 2020 when nationwide lockdown had left the stock market bleeding with
benchmark indices plummeting by huge margins.
There is a growing probability of complete lockdown in the country and investors fear another market
crash. So as the situation worsens, what is the correct investment strategy for investors? There is increasing
volatility in the market. However, a market crash like 2020’s is unlikely. The 2020 fall was a knee jerk
reaction and now the present market has already discounted and improvement is expected in the coming
period. Manufacturing activity and IT spending have gathered pace.
Though there may be some near-term tension, most investors will look past the pandemic. Investors should
leverage any correction in the stock market as a buying opportunity as any lower levels from here can be
a great opportunity for long term investment. While sectors such as Chemicals & Fertilisers, Pharma, IT
services, FMCG and Telecom have a strong potential even in case a lockdown is imposed; banking, media,
real estate, retail and engineering may weaken depending on the degree of severity. However, short-term
investors should not take any new position in such turbulent times. The situation is good for long term
investors who can accumulate quality stocks.
To summarise, long term investors should continue to invest aggressively in a systematic manner without
worrying about temporary blips. It is better to diversify the portfolio to reduce the impact of volatility.

9
Conclusion :
The stock market remains range bound as investors are unwilling to take bullish positions at a time when
the second wave of coronavirus is taking a heavy toll on human lives and the economy. While the
government’s repeated insistence on not imposing a nationwide lockdown has kept investors from
panicking, the localised lockdowns have fogged their ability to forecast economic activity. Also, there is
limited clarity on how long the emerging situation will drag on. All that is required at the moment is that
investors need to be a little careful. Stay invested and stay positive.

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 CHAPTER- 2
LITERATURE REVIEW
Research paper

2.1) IMPACT OF COVID19 IN INDIAN STOCK MARKET WITH FOCUS ON BANKING SECTOR
July 2020
DOI:10.46647/ijetms.2020.v04i04.008
Authors:
Avantika Jaiswal
Ruchi Arora

Abstract
Covid-19 related lockdowns are forced over and whole country is affected and all the sector. Financial
markets have been confronting high unpredictability because of this virus. Monetary foundations have
begun experiencing liquidity imperatives. The performance in India of the banking sector is most likely
linked to the economy rather than any other sector. The banking sector which is already reeling under a
multi decade low credit growth will be hit by fresh asset quality woes as loan collections will be hit as
both large and small companies come to terms. The development of the Indian economy is eased to have
slowed down significantly. The covid19 have affected the banking sectors' performance in India resulting
that the market is going down. Here researcher's objective is to study the impact of covid19 on Indian
stock market on banking sector.

2.2) THE OUTBREAK OF COVID-19 PANDEMIC AND IT'S IMPACT ON STOCK MARKET
VOLATILITY: Evidence from a worst‐affected economy
Authors- Debakshi Bora
Daisy Basistha
ABSTRACT
This paper empirically investigates the impact of COVID‐19 on the volatility of stock prices in India with
the help of a generalized autoregressive conditional heteroskedastic model. Daily closing prices of stock
indices, Nifty and Sensex from September 3, 2019 to July 10, 2020 has been used for the analysis. Further,
the study has been attempted to make a comparison of stock price return in pre‐COVID‐19 and during
COVID‐19 situation. Findings reveal that the stock market in India has experienced volatility during the
pandemic period. While comparing the result during COVID period with that of the pre‐COVID, we found
that the return on the indices is higher in the pre‐COVID‐19 period than during COVID‐19.

2.3) INDIAN STOCK MARKET'S REACTION TO Covid-19 CRISIS IS SURPRISINGLY MUTED:

By Ronojoy Mazumdar and Nupur Acharya | Bloomberg | Last Updated at May 14 2021 09:12 IST

11
As the nation reports more than 300,000 confirmed infections and over 4,000 deaths a day, India’s
benchmark equity index has been moving in line with regional peers. The S&P BSE Sensex index has
declined 6.6% from a mid-February peak, about as much as the MSCI AC Asia Pacific index. That
compares with a 23% tumble in the Sensex in March last year when the coronavirus pandemic started to
rage globally.
Surprisingly muted stock market reaction to India’s virus disaster can also be seen in net outflows of
foreign investors, which totalled about $1.5 billion in April versus $8.4 billion during the height of the
rout last March. They turned net buyers of Indian equities this week after four straight weeks of outflow.
A national lockdown is not priced into the markets,” said Arvind Chari, chief investment officer at
Quantum Advisors Pvt. in Mumbai. A steep fall in stocks though would provide an opportunity to allocate
more to that asset class, as equity valuations have grown expensive over the course of the last year, he
said.

Companies are better equipped to continue operating as they know the procedures to operate in a
lockdown, have cut costs, streamlined operations, and in many cases have raised capital, Chari said.
The average monthly correlation between returns on India’s Nifty 50 and the S&P 500 rose to about 85%
in the last year, compared with a 70% correlation over the longer term, according to Gaurav Patankar, an
analyst at Bloomberg Intelligence.
“The market is currently supported by global sentiments and liquidity,” said Manish Kumar, chief
investment officer at ICICI Prudential Life Insurance Co. “While India is seeing a surge in Covid-19, most
developed nations are seeing a decline and that is what is supporting Indian markets.”

2.4) COVID-19 IMPACT ON STOCK MARKET : Evidence from the Indian stock market
By -Manamani Sahoo
First published: 28 January 2021
https://doi.org/10.1002/pa.2621
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Abstract
This paper has been empirically investigated the existence of the day-of-the-week effect by using closing
daily data for Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty 100 Midcap, Nifty 100 Smallcap, and Nifty 200
for before and during the COVID-19 health crisis. This study used secondary data for all indices over the
period 1 April 2005–14 May 2020. The present study used both dummy variable regression and the
Generalized Autoregressive Conditional Heteroscedastic (GARCH) model. The total study period is
divided into two sub-periods, that is, during and before the COVID-19 health crisis. A negative return is
found for Mondays when the during-COVID-19 health crisis period is examined; in contrast, it was
positive for the before COVID-19 period. Tuesday's effect on index return is found statistically significant
and positive for all indices during the COVID-19 crisis.

2.5) COVID-19 AND UNCERTAINTY SPILLOVERS IN INDIAN STOCK MARKET

Author
Biplab Kumar and Gurua Amarendra Das
https://doi.org/10.1016/j.mex.2020.101199

Abstract
In this paper, we have examined the impact of COVID-19 on the volatility spill overs among ten major
sector indices listed in BSE India. We found that total volatility spill overs reached 69% during COVID-
19. Energy sector followed by oil & gas were the major net volatility transmitters.
• COVID-19 has magnified the volatility spill overs in the stock market.
• Socks to energy sector significantly spills over to other sectors.
• FMCG remains the largest net recipient of the volatility spill overs from other sectors.

Graphical abstract:

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2.6) EFFECTS OF COVID-19 PANDEMIC IN INDIA: ANALYSIS OF POLICIES AND
TECHONOLOGICAL INTERVENTIONS
Author - Isha Goela and Smita Kashiramka
https://www.sciencedirect.com/science/article/pii/S2211883720301465

Abstract-
Objectives
Following a surge in cases of coronavirus disease 2019 (COVID-19) in June 2020, India became the third-
worst affected country worldwide. This study aims to analyse the underlying epidemiological situation in
India and explain possible impacts of policy and technological changes.

Methods
Secondary data were utilized, including recently published literature from government sources, the
COVID-19 India website and local media reports. These data were analysed, with a focus on the impact
of policy and technological interventions.

Results
The spread of COVID-19 in India was initially characterized by fewer cases and lower case fatality rates
compared with numbers in many developed countries, primarily due to a stringent lockdown and a
demographic dividend. However, economic constraints forced a staggered lockdown exit strategy,
resulting in a spike in COVID-19 cases. This factor, coupled with low spending on health as a percentage
of gross domestic product (GDP), created mayhem because of inadequate numbers of hospital beds and
ventilators and a lack of medical personnel, especially in the public health sector. Nevertheless,
technological advances, supported by a strong research base, helped contain the damage resulting from
the pandemic.

Conclusions
Following nationwide lockdown, the Indian economy was hit hard by unemployment and a steep decline
in growth. The early implementation of lockdown initially decreased the doubling rate of cases and
allowed time to upscale critical medical infrastructure. Measures such as asymptomatic testing, public–
private partnerships, and technological advances will be essential until a vaccine can be developed and
deployed in India.

Public interest summary

The spread of COVID-19 in India was initially characterized by lower case numbers and fewer deaths
compared with numbers in many developed countries. This was mainly due to a stringent lockdown and
demographic factors. However, economic constraints forced a staggered lockdown exit strategy, resulting
in a spike in COVID-19 cases in June 2020. Subsequently, India became the third-worst affected country
worldwide. Low spending on health as a percentage of gross domestic product (GDP) meant there was a
shortage of hospital beds and ventilators and a lack of medical personnel, especially in the public health

14
sector. Nevertheless, technological advances, supported by a strong research base, helped contain the
health and economic damage resulting from the pandemic. In the future, measures such as asymptomatic
testing, public–private partnerships, and technological advances will be essential until a vaccine against
COVID-19 can be developed and rolled-out in India.

2.7) IMPACT OF Covid-19 ON INDIAN STOCK MARKET

The coronavirus pandemic 2019 (COVID-19) has created a significant turmoil in the global economic
activity (Baldwin & Di Mauro, 2020) and in stock markets around the world (Fama, 1981; Huang &
Kracaw, 1984; Vassalou, 2003). The stock prices change because of supply and demand. The stock price
would fall when the number of people wanting to sell a stock is more than the number of people wanted
to buy it (there would be greater supply than demand for that particular stock). The stock markets will
react adversely due this outbreak in the short run, but, in the long run, markets eventually automatically
correct themselves and again start increasing (Gormsen & Koijen, 2020). The continental crisis could
mainly affect stockholders' wealth due to the bank-run effect (the public to lose confidence in solvent
banks) and the informational effect (the information about asset quality could lead investigators to revise
their valuation of other banks; Aharony & Swary, 1983). Due to feverish stock price reactions to COVID-
19, the aggregate stock market fell strongly. So, recent health crisis morphed into a financial and economic
crisis (Ramelli & Wagner, 2020). The recent health crisis has impacted almost all financial markets
worldwide, in particular, stock and share prices trend dropped continuously and significantly. The Dow
Jones and S&P share prices in the United States have dropped by over 20%. It had a significant impact on
the financial markets in China and USA, evidence from Shanghai stock exchange and New York Dow
Jones share markets (Sansa, 2020). Behavior of stock market is an early and visible evidence of the recent
COVID-19 pandemic. It has adversely impacted the stock market (Baker et al., 2020; Ichino et al., 2020).

Alexakis and Xanthakis (1995) investigate the day-of-the-week effect on the Greek stock market. They
used the GARCH-M model within the time-period between January 1985 and February 1994, which
investigates the volatility, which is considered nonconstant over time. This study carried out takes into
account that the variance is dependent over time. Total time period is divided into two subperiods, one in
which it operated under backward statutory conditions, and the recent one, that is since 1988, during which
significant changes have been introduced affecting all market players. The results of the study reflect a
positive return is found for Mondays for both total period and first subperiod. On the other hand, Tuesday
shows negative returns. The results of French (1980) indicate that positive returns for Friday and negative
returns for Monday, which runs counter to both of these hypotheses. The hypothesis used in the analysis
of the stock markets in various countries is that because the Monday closing price entails the events of
3 days, the standard deviation should be higher compared to that of the other days, while only a
significantly higher dispersion for this day would also indicate the effect of risk in determining daily
returns (Jacobs & Levy, 1988). Cross (1973) exhibited nonrandomness in stock returns while observing
return distribution of different days of the week. The study found negative returns on Monday and positive
returns on Friday. Abraham and Ikenberry (1994) have explored the hypothesis for United States and
individual investors and concluded that exert a selling pressure on Monday and to some extent on Tuesday.
15
Jaffe et al. (1989) found that the negative effect occurred when the market return was negative the previous
week, the effect being insignificant when the market return was positive.

Choudhry (2000) examined the day-of-the-week effect on seven emerging Asian stock markets returns
and conditional variance (volatility). This study used the GARCH model and daily returns from India,
Indonesia, Malaysia, Philippines, South Korea, Taiwan, and Thailand. The data for the period from
January 1990 to June 1995 are used for this study. It found the presence of the day-of-the-week effect on
both stock return and volatility. Although both the return and volatility are not identical in all seven cases,
the effect may be due to a possible spill-over from Japanese stock. Keim and Stambaugh (1984)
documented high Friday return and low Monday return have been dubbed the “day-of-the-week” effect
and the “weekend (Monday) effect.” Berument and Kiymaz (2001) have done a study on stock market
volatility and checked the presence of the day-of-the-week effect. For this study, they used the S & P 500
market index, within the time period of January 1973 and October 1997. They concluded that there was a
day-of-the-week effect presence in both volatility and return equations.

Hui (2005) analyzed the day-of-the-week effects in Asia–Pacific and U.S. stock markets during the
financial crisis 1997. Nonparametric technique, Wilcoxon rank sum test, was being adopted in the paper.
The empirical results of this study reveal that there are no significant day-of-the-week effects in all
countries except Singapore. Hourvouliades (2009) investigate the day-of-the-week effect during the
financial crisis. This study selected six regional equity markets including five emerging countries; these
countries are Turkey, Bulgaria, Romania, Ukraine and Cyprus, and one mature, that is, Greece. The
evidence from this study showed mixed evidence; in the more developed markets, the day-of-the-week
effect gradually fades away during the second subperiod.

This study will focus on the period of April 2005 to that of May 2020 to examine the day-of-week effects
for Indian stock market. In particular, we want to examine the impact of novel coronavirus (COVID-19)
health crisis and the recent collapse of the Indian stock market and its significance to the day-of-the-week
effects. Based on literature review, our hypotheses are as follows:

Hypothesis 1.No difference exists in the returns across the days of the week during recent COVID-19
crisis

Hypothesis 2.No difference exists in the returns across the days of the week before COVID-19 crisis.

16
 CHAPTER- 3

3.1) DATA AND METHODOLOGY

This paper has empirically investigated the existence of day-of-the-week effect by using closing daily data
for Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty100 midcap, Nifty 200, Nifty 100 Smallcap. This study
used secondary data for all indices over the period 1 April 2005 to 14 May 2020. All the data are obtained
electronically from https://www.investing.com. The daily closing price of the index has been considered
for this study. The logarithmic percentage index return is calculated as follows:

where, Rt stands for index return at time t, ln is natural logarithm, Pricet-1 and Pricet are two consecutive
daily closing price.
A dummy variable regression model is fitted to examine the days of the week and weekend effect as
follows:

where Rt represents index return at time t. D1t, D2t, D3t, and D4t are the dummies for Tuesday, Wednesday,
Thursday, and Friday, respectively, which are defined in the following (Table 1).

17
TABLE 1. Variable descriptions:

Dummy variables Descriptions of the variables

D1t D1t = 1 if it is Tuesday and 0 otherwise

D2t D2t = 1 if it is Wednesday and 0 otherwise

D3t D3t = 1 if it is Thursday and 0 otherwise

D4t D4t = 1 if it is Friday and 0 otherwise

To avoid the dummy variable trap in the model, we have excluded the Monday's dummy in the equation.
Here, the coefficient α1 represents the average return on Monday. Where as, the coefficient β1–β4 values
show the shifts in the average returns from the benchmark day (here, Monday). A statistically
significant α1 confirms the presence of weekend effect in the market. Similarly, a statistically significant
values of βi(where, i = 1, 2, 3, and 4) confirm the presence of weekdays effect in the market. A statistically
significant negative/positive β1 indicates that the average return on Tuesday is lower/higher than the
average return on Monday. In a similar way, we can interpret the remaining days as well. In the financial
time series data, there is a high chance to face autocorrelation as well as heteroscedasticity problems in
the simple regression model. The autocorrelation and heteroscedasticity problems are detected through
DW and ARCH-LM statistics, respectively. To overcome these problems, we analyzed the day-of-the-
week and weekend effect through Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
model. The conditional mean equation takes care of autocorrelation issues in the error term, and the
conditional variance equation takes care of heteroscedasticity issues in the error variance. The conditional
mean and variance equation are expressed as follows:

Conditional Mean Equation

(2)

Conditional Variance Equation

18
 (3)

Here, this conditional means equation is just an extension of Equation (1), the dummy variable regression
equation, by including an autoregressive term of the return series. The minimum SC and AIC criteria are
used for selection of the number of autoregressive terms. In Equation (2), α1 is the intercept coefficient,
which measures direction and the degree of weekend effect that is Monday effect on index return, the
coefficients β1, β2, β3, β4measures direction, and the degree of week days effect (Tuesday, Wednesday,
Thursday, and Friday) on index return. In Equation (3), ht is the conditional variance of εt, Φ1is the
constant term, ω1is the Auto Regressive Conditional Heteroscedasticity (ARCH) coefficient which
measures the influence of past squared residuals, that is, on recent volatility, ω2 is the Generalized
Autoregressive Conditional Heteroskedasticity (GARCH) coefficient which measures the influence of
recent past period's volatility on current volatility at time t. Here, ωiis greater than zero and sum
of ω1 + ω2≤1. In the conditional variance equation, Φ1 is the intercept coefficient, which measures
direction and the degree of weekend effect that is Monday effect on index return.

3.2 RESULT ANALYSIS

1 Descriptive statistics
This part analyzes the stochastic properties of the stock return of Nifty 50, Nifty Midcap 50, Nifty 100,
Nifty Midcap 100, Nifty Smallcap 100, Nifty 200 for the before COVID-19 and during COVID-19 period.
The descriptive statistics for all indices are reported in Table 2. To check the normality of the frequency
distribution in each indices series, the skewness and kurtosis are considered. The result of descriptive
statistics reveals that distributions of all indices are skewed. The null hypothesis of Jarque-Bera test
statistics is a joint hypothesis of the skewness being zero and the excess kurtosis being zero. The Jarque-
Bera normality test results reveal that null hypothesis is rejected at 1% levels of significance, which is
concluding that none of the indices is normally distributed.

TABLE 2. Descriptive statistics

NIFTY100 NIFTY 100 NIFTY 200 NIFTY 50 NIFTY 50 NIFTY 100

MIDCAP midcap Smallcap

Descriptive statistics (during Covid-19 crisis)

19
 NIFTY100 NIFTY 100 NIFTY 200 NIFTY 50 NIFTY 50 NIFTY 100
MIDCAP midcap Smallcap

Mean −0.005407 −0.004032 −0.004180 −0.004104 −0.005290 −0.007292

Median −0.003452 −0.002562 −0.002045 −0.003495 −0.002235 −0.001756

Maximum 0.052735 0.080907 0.078009 0.084003 0.062262 0.038050

Minimum −0.141488 −0.136951 −0.137440 −0.139038 −0.161268 −0.141489

SD 0.030246 0.033567 0.033119 0.034472 0.034143 0.030678

Skewness −1.638857 −0.947942 −1.023530 −0.889531 −1.581714 −1.804986

Kurtosis 8.237154 6.271935 6.457481 6.117423 8.449982 8.057926

Jarque- 104.9708 39.32481 44.39774 35.42932 109.2013 106.1899

Bera

Probability 0.0000* 0.0000* 0.0000* 0.0000* 0.0000* 0.0000*

Sum −0.356849 −0.266094 −0.275872 −0.270855 −0.349163 −0.481286

Sum Sq. 0.059464 0.073238 0.071298 0.077241 0.075774 0.061172

Dev.

Descriptive statistics (before Covid-19 crisis)

Mean 0.000413 0.000416 0.000399 0.000412 0.000375 0.000268

Median 0.001348 0.000615 0.000882 0.000502 0.001646 0.001456

Maximum 0.056954 0.052357 2.282477 0.051825 0.065349 0.064135

20
 NIFTY100 NIFTY 100 NIFTY 200 NIFTY 50 NIFTY 50 NIFTY 100
MIDCAP midcap Smallcap

Minimum −0.091802 −0.065062 −2.269176 −0.060973 −0.115354 −0.112157

SD 0.010841 0.009389 0.073759 0.009405 0.013509 0.012636

Skewness −0.592513 −0.191141 0.197282 −0.109443 −0.589136 −0.834901

Kurtosis 6.507937 5.551381 871.9234 5.432347 6.747806 7.413725

Jarque- 1,196.761 580.9856 65,907,650 520.6271 1,347.292 1943.916

Bera

Probability 0.0000* 0.0000* 0.0000* 0.0000* 0.0000* 0.0000*

Sum 0.865360 0.870875 0.834886 0.862779 0.786326 0.562081

Sum Sq. 0.246095 0.184604 11.39218 0.185234 0.382143 0.334363

Dev.

* Indicates rejecting H0 at 5% level of significance

.2 Unit root test results

To avoid spurious estimation, we need to conduct some preestimation test such as unit root test. Generally,
time series data exhibit nonstationary behavior, like trend effects and random walk which lead to a
nonsense results while analyzing relationship between a given set variables. Therefore, to capture a
stationary condition we employ Augmented Dickey-fuller (ADF, 1984) and Phillips-Perron (PP, 1988)
unit root tests. The Augmented Dickey-fuller (ADF, 1984) and Phillips-Perron (PP, 1988) unit root test
results are reported in Table 3. Both ADF and PP statistics are significant for before and during COVID-
19 at 5% level suggesting that all the index return series, that is, Nifty 50, Nifty Midcap 50, Nifty 100,

21
Nifty Midcap 100, Nifty Smallcap 100, Nifty 200 are stationary and can be useful for further time series
analysis.

TABLE 3. Unit root test results

NIFTY100 NIFTY 100 NIFTY 200 NIFTY 50 NIFTY 50 NIFTY 100

MIDCAP midcap smallcap

Unit root test results (during COVID-19 crisis)

Level Level Level Level Level Level

ADF −8.9609*( −9.6336*(0. −9.5731*(0. −9.7387*(0. −9.3377 −7.5956*(0.

estim 0.0000) 0000) 0000) 0000) (0.0000) 0000)
ated
test
statis
tic
(p-
value
)

PP −8.9259*( −9.5587*(0. −9.4931*(0. −9.6733*(0. −9.2531*(0. −7.8156*(0.

estim 0.0000) 0000) 0000) 0000) 0000) 0000)
ated
test
statis
tic
(p-
value
)

Unit root test results (before COVID-19 crisis)

ADF −50.2561* −55.22831* −95.27965* −55.87832* −49.06193* −47.85437*

estim (0.0001) (0.0001) (0.0001) (0.0001) (0.0001) (0.0001)
ated
test
statis

22
 NIFTY100 NIFTY 100 NIFTY 200 NIFTY 50 NIFTY 50 NIFTY 100
MIDCAP midcap smallcap

tic
(p-
value
)

PP −50.3012* −55.2302*( −32.7108*( −55.86284* −49.2177*( −48.9911*(

estim (0.0001) 0.0001) 0.0001) (0.0001) 0.0001) 0.0001)
ated
test
statis
tic
(p-
value
)

Note: Authors calculation based on the data obtained from https://www.investing.com. Null
Hypothesis: Index return has a unit root.

* 1% level of significance.

3 Dummy variable regression results

The dummy variable regression model for before and during COVID-19 results are reported in Table 3 for
Nifty 50, Nifty Midcap 50, Nifty 100, Nifty Midcap 100, Nifty Smallcap 100, Nifty 200. The dummy
variable regression results show that there exists day-of-the-week (DOW) effect on all index return for
during COVID-19 but no day-of-the-week (DOW) effect on all index return for before COVID-19 period
(except Nifty 100, Nifty Midcap 100, Nifty Midcap50). The return (all indices) for during COVID-19
period is positive for all the days of the week except on Monday, the return is the highest on Thursday.
The reported ARCH-LM and Durbin-Watson (DW) test statistics confirm no heteroscedasticity and
autocorrelation problems in the during COVID-19 model. But, the reported ARCH-LM and Durbin-
Watson (DW) test statistics of the COVID-19 model reflect there is presence of heteroscedasticity as well
as serious autocorrelation problems in the model. To overcome these heteroscedasticity and serious
autocorrelation problems, this study switched to GARCH (1, 1) model and the results are reported in
Table 4 for Nifty 50, Nifty Midcap 50, Nifty 100, Nifty Midcap 100, Nifty Smallcap 100, Nifty 200.

TABLE 4. Dummy variable regression results

23
Rt = α1 + β1D1t(Tue) + β2D2t(Wed) + β3D3t(Thu) + β4D4t(Fri) + εt

Nifty 50 (during COVID-19 crisis)

Variable Coefficients SE t-statistics Probability

Intercept −0.030847* 0.008631 −3.574147 0.0007

(α1)

Tuesday 0.041566* 0.012704 3.271879 0.0018

(β1)

Wednesday 0.031932** 0.012206 2.616157 0.0112

(β2)

Thursday 0.030900** 0.012206 2.531629 0.0139

(β3)

Friday (β4) 0.032219** 0.012704 2.536132 0.0138

R-squared:0.176434; D-W Stat:2.307223; F Stat: 3.267042 (0.017128);

ARCH LM (5)*: 5.580622(0.4959)

Nifty 50 (before COVID-19 crisis)

Variable Coefficients SE t-statistics Probability

Intercept 0.000363 0.000520 0.698047 0.4852

(α1)

Tuesday −0.000256 0.000738 −0.347360 0.7283

(β1)

Wednesday 0.000382 0.000738 0.518324 0.6043

(β2)

24
Rt = α1 + β1D1t(Tue) + β2D2t(Wed) + β3D3t(Thu) + β4D4t(Fri) + εt

Thursday −0.000165 0.000740 −0.222697 0.8238

(β3)

Friday (β4) 0.000370 0.000741 0.499063 0.6178

R-squared: 0.000366; D-W Stat:1.883845; F Stat: 0.320876 (0.864146);

ARCH LM (5)*: 307.1329 (0.0000)

Nifty 100 (during COVID-19 crisis)

Intercept −0.029816* 0.008420 −3.541173 0.0008

(α1)

Tuesday 0.040188* 0.012393 3.242678 0.0019

(β1)

Wednesday 0.031061** 0.011907 2.608563 0.0114

(β2)

Thursday 0.029646** 0.011907 2.489750 0.0155

(β3)

Friday (β4) 0.030798** 0.012393 2.485067 0.0157

R-squared:0.0.173372; D-W Stat:2.288195; F Stat: 3.198433

(0.0189003) ARCH LM (5)*:5.201242(0.3914)

Nifty 100 (before COVID-19 crisis)

Intercept 0.001038** 0.000520 1.997747 0.0458

(α1)

Tuesday −0.000745 0.000738 −1.009915 0.3126

(β1)

25
Rt = α1 + β1D1t(Tue) + β2D2t(Wed) + β3D3t(Thu) + β4D4t(Fri) + εt

Wednesday −0.000756 0.000737 −1.025826 0.3050

(β2)

Thursday −0.000281 0.000739 −0.380208 0.7038

(β3)

Friday (β4) −0.001235 0.000740 −1.668827 0.0952

R-squared: 0.000947; D-W Stat:1.861185; F Stat: 0.829600 (0.506121)

ARCH LM (5)*: 321.5600 (0.0000)

Nifty 200 (during COVID-19 crisis)

Intercept −0.029531* 0.008317 −3.550819 0.0007

(α1)

Tuesday 0.039313* 0.012242 3.211373 0.0021

(β1)

Wednesday 0.030633** 0.011762 2.604484 0.0115

(β2)

Thursday 0.029223** 0.011762 2.484585 0.0157

(β3)

Friday (β4) 0.030287** 0.012242 2.474056 0.0162

R-squared:0.171526; D-W Stat:2.272565; F Stat:3.157328(0.020050);

ARCH LM (5)*:4.962913(0.4204)

Nifty 200 (before COVID-19 crisis)

Intercept −0.000615 0.003578 −0.171755 0.8636

(α1)

26
Rt = α1 + β1D1t(Tue) + β2D2t(Wed) + β3D3t(Thu) + β4D4t(Fri) + εt

Tuesday 0.006322 0.005072 1.246367 0.2128

(β1)

Wednesday 0.000825 0.005075 0.162522 0.8709

(β2)

Thursday 0.001084 0.005094 0.212818 0.8315

(β3)

Friday (β4) −0.003215 0.005091 −0.631610 0.5277

R-squared: 0.001733; D-W Stat:3.249133; F Stat:

0.906873(0.458968)ARCH LM (5)*: 891.8360 (0.0000)

NIFTY 50 midcap (during COVID-19 crisis)

Intercept −0.030435* 0.008656 −3.515986 0.0008

(α1)

Tuesday 0.037273* 0.012741 2.925319 0.0048

(β1)

Wednesday 0.032451** 0.012242 2.650924 0.0102

(β2)

Thursday 0.029551** 0.012242 2.414005 0.0188

(β3)

Friday (β4) 0.028685** 0.012741 2.251293 0.0280

R-squared:0.155544; D-W Stat:2.228741; F Stat: 2.808963 (0.033099);

ARCH LM (5)*: 2.582570(0.7640)

Nifty 50 midcap (before COVID-19 crisis)

27
Rt = α1 + β1D1t(Tue) + β2D2t(Wed) + β3D3t(Thu) + β4D4t(Fri) + εt

Intercept 0.000938 0.000671 1.398735 0.1620

(α1)

Tuesday −0.000259 0.000951 −0.272065 0.7856

(β1)

Wednesday −0.000931 0.000950 −0.979504 0.3274

(β2)

Thursday 0.000134 0.000955 0.140178 0.8885

(β3)

Friday (β4) −0.002709* 0.000955 −2.836629 0.0046

R-squared: 0.003874; D-W Stat:1.761823; F Stat: 2.961729 (0.018679);

ARCH LM (5)*: 472.0176 (0.0000)

NIFTY 100 Smallcap (during COVID-19 crisis)

Intercept −0.028138* 0.007897 −3.562983 0.0007

(α1)

Tuesday 0.029133** 0.011625 2.506130 0.0149

(β1)

Wednesday 0.027537** 0.011169 2.465562 0.0165

(β2)

Thursday 0.024528** 0.011169 2.196206 0.0319

(β3)

Friday (β4) 0.024777** 0.011625 2.131454 0.0371

R-squared:0.129304; D-W Stat:1.758059; F Stat: 2.264732 (0.072441);

ARCH LM (5)*: 0.005981(0.4152)

28
Rt = α1 + β1D1t(Tue) + β2D2t(Wed) + β3D3t(Thu) + β4D4t(Fri) + εt

NIFTY 100 Smallcap (before COVID-19 crisis)

Intercept −0.000296 0.000555 −0.533614 0.5936

(α1)

Tuesday 0.001255 0.000787 1.593558 0.1111

(β1)

Wednesday 0.000400 0.000787 0.508789 0.6109

(β2)

Thursday 0.000851 0.000789 1.077645 0.2813

(β3)

Friday (β4) 0.000583 0.000790 0.737083 0.4611

R-squared: 0.000818; D-W Stat:1.579628; F Stat:0.716771 (0.580370);

ARCH LM (5)*: 548.0442 (0.0000)

NIFTY100 MIDCAP (during COVID-19 crisis)

Intercept −0.027115* 0.007711 −3.516436 0.0008

(α1)

Tuesday 0.031898* 0.011350 2.810388 0.0066

(β1)

Wednesday 0.027180** 0.010905 2.492470 0.0154

(β2)

Thursday 0.025601** 0.010905 2.347635 0.0222

(β3)

Friday (β4) 0.025919** 0.011350 2.283554 0.0259

29
 Rt = α1 + β1D1t(Tue) + β2D2t(Wed) + β3D3t(Thu) + β4D4t(Fri) + εt

R-squared:0.146096; D-W Stat: 2.120473; F Stat: 2.609142(0.044142);

ARCH LM (5)*: 3.449464 (0.6312)

NIFTY100 MIDCAP (before COVID-19 crisis)

Intercept 0.001165** 0.000519 2.246021 0.0248

(α1)

Tuesday −0.000806 0.000736 −1.094376 0.2739

(β1)

Wednesday −0.000988 0.000736 −1.342508 0.1795

(β2)

Thursday −0.000130 0.000738 −0.176227 0.8601

(β3)

Friday (β4) −0.001711** 0.000739 −2.315743 0.0206

R-squared:0.002002; D-W Stat: 1.673539; F Stat: 1.756107 (0.134867);

ARCH LM (5)*: 494.1309 (0.0000)

Note: Authors calculation based on the data obtained from https://www.investing.com. * and **
indicate significant at 1% and 5% levels, respectively.

4 GARCH model result

To overcome autocorrelation and heteroscedasticity issues, this study switched to Generalized

Autoregressive Conditional Heteroskedasticity model, and the results of GARCH are reported in Table 5.
The lower and upper panel of the Table 5 represent variance and mean equation, respectively. Based on
the minimum Akaike information criterion (AIC) and Schwartz (SC) information criteria, one
autoregressive term is included in the mean equation for all indices. The ARCH-LM test statistics is used
after obtaining the autoregressive model residuals to analyze volatility characteristics. The reported
ARCH-LM and Durbin-Watson (DW) test statistics confirm no heteroscedasticity and autocorrelation
30
problems in both the model (before and during COVID-19 model). The coefficient α1 (the intercept
coefficient) measures direction and the degree of weekend effect, that is, Monday effect on index return,
it is negative and statistically significant at 1% level for all indices during COVID-19 crisis indicating a
negative weekend effect on return. This finding is in contrast with some of the research studies which
were found positive weekend effect on return (Du Toit et al., 2018; Mitra, 2016; Paital & Panda, 2018).
The coefficient β1 measures direction and the degree of days of the effect, that is, the Tuesday effect on
index return; it is found to be statistically significant and positive level for all indices during COVID-19
crisis indicating a positive Tuesday effect on return. This finding is in contrast with Paital & Panda, 2018.
In addition to this, we also found a positive Wednesday effect for all indices during COVID-19 crisis, and
the returns on Tuesday are higher than the returns on Tuesday and Thursday. The empirical results suggest
that the coefficient for Friday effect is statistically insignificant for all indices. The Monday effect
coefficient (α1) for before-COVID-19 crisis is found to be statistically significant and positive return for
all indices except Nifty200 (no Day-of-the-Week effect) and Nifty 100 smallcap (positive Tuesday effect).

TABLE 5. GARCH (1, 1) test results

Nifty 50 (during COVID-19 crisis)

Variable Coefficients SE t-statistics probability
Intercept (α1) −0.010565* 0.0024 −4.395795 0.0000
Tuesday (β1) 0.015560** 0.004886. 3.184537 0.0014
Wednesday (β2) 0.018676* 0.004971 3.757304 0.0002
Thursday (β3) 0.010971** 0.004758 2.305678 0.0211
Friday (β4) 0.005370 0.004811 1.116236 0.2643
Variance equation
C 0.328554 0.7425
RESID(−1)̂2 2.285653 0.0223
GARCH(−1) 3.146296* 0.0017
R-squared: 0.081112; D-W Stat: 2.379322; ARCH LM (5)*: 4.819309 (0.4383)
Nifty 50 (before COVID-19 crisis)
Intercept (α1) 0.000803** 0.000326 2.462782 0.0138
Tuesday (β1) −0.000249 0.000495 −0.502321 0.6154
Wednesday (β2) 3.26E-05 0.000513 0.063535 0.9493
Thursday (β3) −0.000162 0.000477 −0.339417 0.7343

31
Friday (β4) 2.70E-05 0.000463 0.058247 0.9536
Variance equation
C 5.808981 0.0000
RESID(−1)̂2 14.19601 0.0000
GARCH(−1) 142.3818* 0.0000
R-squared: 0.000268; D-W Stat: 1.883340; ARCH LM (5)*: 3.084463 (0.6870)
Nifty 100 (during COVID-19 crisis)
Intercept (α1) −0.010654* 0.002561 −4.160750 0.0000
Tuesday (β1) 0.014523* 0.004854 2.992144 0.0028
Wednesday (β2) 0.018416* 0.004894 3.762715 0.0002
Thursday (β3) 0.011207** 0.004802 2.334052 0.0196
Friday (β4) 0.005940 0.004773 1.244541 0.2133
Variance equation
C 0.264042 0.7917
RESID(−1)̂2 2.288735 0.0221
GARCH(−1) 3.056383* 0.0022
R-squared: 0.082719; D-W Stat: 2.363569; ARCH LM (5)*: 4.736292 (0.4489)
Nifty 100 (before COVID-19 crisis)
Intercept (α1) 0.000977* 0.000329 2.972401 0.0030
Tuesday (β1) −0.000124 0.000461 −0.268171 0.7886
Wednesday (β2) −0.000329 0.000501 −0.655620 0.5121
Thursday (β3) −0.000193 0.000505 −0.381623 0.7027
Friday (β4) −0.000513 0.000498 −1.029667 0.3032
Variance equation
C 6.442531 0.0000
RESID(−1)̂2 14.63304 0.0000
GARCH(−1) 139.9923* 0.0000
R-squared: 0.000026; D-W Stat: 1.860377; ARCH LM (5)*: 3.233048 (0.6641)
Nifty 200 (during COVID-19 crisis)
Intercept (α1) −0.010841* 0.002582 −4.198520 0.0000
Tuesday (β1) 0.014455* 0.004830 2.992881 0.0028
Wednesday (β2) 0.018136* 0.004852 3.737700 0.0002
Thursday (β3) 0.011489* 0.004857 2.365248 0.0180
32
Friday (β4) 0.006385 0.004700 1.358421 0.1743
Variance equation
C 0.251803 0.8012
RESID(−1)̂2 2.298744 0.0215
GARCH(−1) 3.024781* 0.0025
R-squared:0.084245; D-W Stat:2.346547; ARCH LM (5)*: 4.679429 (0.4562)
Nifty 200 (before COVID-19 crisis)
Intercept (α1) −0.000615 0.036956 −0.016630 0.9867
Tuesday (β1) 0.006322 0.055972 0.112948 0.9101
Wednesday (β2) 0.000825 0.058132 0.014189 0.9887
Thursday (β3) 0.001084 0.065358 0.016586 0.9868
Friday (β4) −0.003215 0.043298 −0.074260 0.9408
Variance equation
C 4.851642 0.0000
RESID(−1)̂2 9.505933 0.0000
GARCH(−1) 7.490403* 0.0000
R-squared: 0.001733; D-W Stat: 3.249133; ARCH LM (5)*: 724.0037 (0.0000)
NIFTY 50 midcap (during COVID-19 crisis)
Intercept (α1) −0.012468* 0.003252 −3.834087 0.0001
Tuesday (β1) 0.014496** 0.006257 2.316640 0.0205
Wednesday (β2) 0.017792* 0.004094 4.346209 0.0000
Thursday (β3) 0.013200** 0.005593 2.360185 0.0183
Friday (β4) 0.007166 0.004543 1.577121 0.1148
Variance equation
C 0.266396 0.7899
RESID(−1)̂2 2.112075 0.0347
GARCH(−1) 2.218642** 0.0265
R-squared:0.087740; D-W Stat:2.298615; ARCH LM (5)*: 5.253362 (0.0357)
NIFTY 50 midcap (before COVID-19 crisis)
Intercept (α1) 0.001061** 0.000499 2.124363 0.0336
Tuesday (β1) 1.039758 0.000668 0.001536 0.9988
Wednesday (β2) −0.000904 0.000715 −1.265378 0.2057
Thursday (β3) −5.84977 0.000719 −0.081145 0.9353
33
Friday (β4) −0.001623** 0.000689 −2.354711 0.0185
Variance equation
C 7.554555 0.0000
RESID(−1)̂2 15.86887 0.0000
GARCH(−1) 118.8088* 0.0000
R-squared: 0.002704; D-W Stat: 1.761039; ARCH LM (5)*: 2.986370 (0.7021)
NIFTY 100 Smallcap (during COVID-19 crisis)
Intercept (α1) −0.014581* 0.003398 −4.291413 0.0000
Tuesday (β1) 0.016391* 0.004478 3.660725 0.0003
Wednesday (β2) 0.018776* 0.003720 5.047977 0.0000
Thursday (β3) 0.016455* 0.005056 3.254655 0.0011
Friday (β4) 0.011254 0.007859 1.431999 0.1521
Variance equation
C 0.271684 0.7859
RESID(−1)̂2 2.030279 0.0423
GARCH(−1) 2.833986* 0.0046
R-squared0.074961; D-W Stat:1.779833; ARCH LM (5)*: 0.851568 (0.9736)
NIFTY 100 Smallcap (before COVID-19 crisis)
Intercept (α1) 0.000709 0.000435 1.628621 0.1034
Tuesday (β1) 0.001018 0.000581 1.754018 0.0794
Wednesday (β2) 0.000178 0.000565 0.315473 0.7524
Thursday (β3) 0.000125 0.000618 0.202592 0.8395
Friday (β4) 0.000313 0.000597 0.524262 0.6001
Variance equation
C 10.75607 0.0000
RESID(−1)̂2 18.96775 0.0000
GARCH(−1) 79.29535* 0.0000
R-squared: 0.001778; D-W Stat: 1.975475; ARCH LM (5)*: 3.171062 (0.6736)
NIFTY100 MIDCAP (during COVID-19 crisis)
Intercept (α1) −0.011817* 0.003315 −3.564722 0.0004
Tuesday (β1) 0.014043** 0.005920 2.372274 0.0177
Wednesday (β2) 0.017036* 0.004802 3.547471 0.0004
Thursday (β3) 0.013872* 0.005013 2.767129 0.0057
34
Friday (β4) 0.008709 0.004921 1.769734 0.0768
Variance equation
C 0.257164 0.7971
RESID(−1)̂2 2.030392 0.0423
GARCH(−1) 2.457389** 0.0140
R-squared: 0.079694; D-W Stat: 2.165905; ARCH LM (5)*: 3.091828 (0.0658)
NIFTY100 MIDCAP (before COVID-19 crisis)
Intercept (α1) 0.001272* 0.000380 3.343975 0.0008
Tuesday (β1) −0.000389 0.000502 −0.775281 0.4382
Wednesday (β2) −0.000809 0.000546 −1.482344 0.1382
Thursday (β3) −0.000110 0.000548 −0.200818 0.8408
Friday (β4) −0.000762 0.000529 −1.441101 0.1496
Variance equation
C 9.518787 0.0000
RESID(−1)̂2 15.71263 0.0000
GARCH(−1) 98.81277* 0.0000

R-squared: 0.000457; D-W Stat:1.672431; ARCH LM (5)*: 3.761102 (0.5843)

Note: Authors calculation based on the data obtained from https://www.investing.com. * and **
indicate significance at 1% and 5% levels, respectively.

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 CHAPTER-4

4.1) CONCLUSION

The main objective of this study is to investigate the existence and possible changes of day-of-the-week
effect before and during the COVID-19 health crisis. This paper has empirically investigated the existence
of day-of-the-week effect by using closing daily data for Nifty 50, Nifty 50 Midcap, Nifty 100, Nifty100
midcap, Nifty 200, Nifty 100 Smallcap. The study period starts from 1 April 2005 to 14 May 2020. The
ARCH-LM and Durbin-Watson (DW) test statistics of the COVID-19 model reflect there is presence of
heteroscedasticity as well as serious autocorrelation problems in the model. To overcome these
heteroscedasticity and serious autocorrelation problems, this study switched to Generalized
Autoregressive Conditional Heteroscedasticity (GARCH) model. This study found a strong evidence of a
negative return for Mondays when the during-COVID-19 health crisis period is examined, but it is positive
for the before-COVID-19 period. This finding is in contrast with some of the research studies which were
found positive weekend effect on return (Du Toit et al., 2018; Mitra, 2016; Paital & Panda, 2018). Tuesday
effect on index return is found statistically significant and positive for all indices during COVID-19 crisis.
In addition to this, the present study also revealed coefficients for Tuesday, Wednesday, Thursday, and
Friday effect are insignificant for all index except Nifty 50 smallcap (Friday negative return) and Nifty
100 Midcap Tuesday positive return.

4.2) BIOGRAPHY
Manamani Sahoo is a Ph.D. Scholar at the Indian Institute of Technology Kharagpur, Humanities
and Social Science, West Bengal, India. Her research interests cover Macroeconomics and
Financial Economics

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RECOMMENDATUONS

WEBSITES:

https://onlinelibrary.wiley.com/doi/full/10.1002/pa.2621

https://onlinelibrary.wiley.com/doi/full/10.1002/pa.2621

http://www.businessworld.in/article/Impact-Of-COVID-19-On-The-Indian-Stock-Markets/11-05-2020-
191755/

https://doi.org/10.1016/j.mex.2020.101199

https://wap.business-standard.com/

37
 Glossary

S No Key Words Meaning

1 Age The length of time that a person has lived or a thing has existed.

2 Convenience Is made up of people who are easy to reach.

sampling

3 Conclusion The end or finish of an event process, or text.

4 Data Facts and statistics collected together for reference or analysis.

5 Descriptive Descriptive statistics is the term given to the analysis of data that
Statistics helps describe, show or summarize data in a meaningful way such
that, for example, patterns might emerge from the data.

6 Demographic Relating to the structure of population.

7 Description A spoken or written account of a person, object.

8 Finding To action of finding someone or something

9 Hypothesis Is an idea or explanation that can be test. Through study and

experimentation.

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S No Key Words Meaning

12 Interpretation The action of explaining the meaning of someone.

13 Literature Written works, especially those considered of superior or lasting

artistic merit.

14 Methodology a system of methods used in a particular area of study or activity

15 Primary data consists of a collection of original primary data collected by the

researcher

16 Questionnaire A set of printed or written questions with a choice of answers,

devised for the purposes of a survey or statistical study.

17 Research investigate systematically

18 Respondent A person who replies to something, especially one supplying

information for a questionnaire or responding to an advertisement.

19 Sample a small part or quantity intended to show what the whole is like

20 Secondary Refers to data that was collected by someone other than the user.

21 Significance The quality of being worthy of attention; importance.

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