Purpose

This study aims to examine the impact of the stringency of COVID-19 protocols on the volatility of sectoral indices during the period 03:2020–05:2021. Specifically, this study investigates the role of economic disturbances on sectoral volatility by applying a range of conditional volatility techniques.

Design/methodology/approach

For this analysis, two approaches were adopted. The first approach considers COVID stringency as a factor in the conditional variance equation of sectoral indices. In contrast, the second approach considers the stringency indicator as a possible determinant of their estimated conditional volatility.

Findings

Results show that the stringency of the protocols throughout the pandemic phase led to an instantaneous spike followed by a gradual decrease in estimated volatility of all the sectoral indices except pharma and health care. Specific sectors such as bank, FMCG, consumer durables, financial services, IT, media and private banks respond to protocols expeditiously compared to other sectors.

Originality/value

The key contribution of this study to the existing literature is the innovative approach. The inclusion of the COVID stringency index as a regressor in the variance equation of the conditional volatility techniques was a distinctive approach for assessing the volatility dynamics with the stringency of COVID protocols. Furthermore, this study also adopts an alternative approach that estimates the conditional volatility of the indices and then tests the effect of the stringencies on estimated volatility in a regression framework.

中文翻译：

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与 COVID-19 相关的严格性和金融市场波动：来自印度的行业证据

目的

本研究旨在研究 COVID-19 协议的严格性对 03:2020–05:2021 期间行业指数波动的影响。具体而言，本研究通过应用一系列条件波动率技术来研究经济扰动对部门波动率的作用。

设计/方法/途径

对于此分析，采用了两种方法。第一种方法将 COVID 严格性视为部门指数条件方差方程中的一个因素。相反，第二种方法将严格性指标视为其估计条件波动率的可能决定因素。

发现

结果表明，在整个大流行阶段，协议的严格性导致瞬时飙升，随后除制药和医疗保健之外的所有部门指数的估计波动率逐渐下降。与其他行业相比，银行、快速消费品、耐用消费品、金融服务、IT、媒体和私人银行等特定行业对协议的响应速度更快。

原创性/价值

这项研究对现有文献的主要贡献是创新方法。将 COVID 严格性指数作为回归变量纳入条件波动率技术的方差方程中，是一种通过 COVID 协议的严格性评估波动率动态的独特方法。此外，本研究还采用了另一种方法来估计指数的条件波动率，然后在回归框架中检验严格性对估计波动率的影响。