We examine the reaction of different investor categories to the COVID-19 pandemic in the Indian market throughout 2020. Using quarterly ownership data, we find significant differences across various investor categories during the crisis and post-crisis periods. We find that domestic institutional investors (DIIs) exhibit 'flight-to-quality' behavior, foreign institutional investors (FIIs) exhibit 'fire-sale' behavior, and retail investors (RIs) act as informed investors who provide liquidity during the crisis period. We observe conservative behavior from DIIs and FIIs throughout 2020, during which RIs initially increase their holdings in high-risk stocks but move to high-quality stocks in the final quarter of 2020. FIIs contribute the most to lower stock returns and higher volatility during the crisis period. Using daily FII trade-level data, we find that long-term FIIs start buying high-quality stocks before other categories in the post-crisis period, with short-term FIIs driving returns and volatility during the crisis period.

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投资者对 COVID-19 大流行的不同反应：来自新兴市场的见解

我们研究了 2020 年印度市场不同投资者类别对 COVID-19 大流行的反应。利用季度所有权数据，我们发现危机期间和危机后时期不同投资者类别之间存在显着差异。我们发现，国内机构投资者（DII）表现出“逃往优质资产”的行为，外国机构投资者（FII）表现出“甩卖”行为，而散户投资者（RI）则是在危机期间提供流动性的知情投资者。我们观察到 2020 年 DII 和 FII 的保守行为，在此期间 RI 最初增加了高风险股票的持有量，但在 2020 年最后一个季度转向优质股票。FII 对股票回报率下降和波动性上升的贡献最大。危机时期。利用每日FII交易水平数据，我们发现，在危机后时期，长期FII开始先于其他类别购买优质股票，而短期FII则在危机期间推动回报和波动。