COVID-19 and uncertainty spillovers in Indian stock market

Guru, Biplab Kumar; Das, Amarendra

COVID-19 and uncertainty spillovers in Indian stock market

2021

Guru, Biplab Kumar | Das, Amarendra

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

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