Title: Volatility implications on IT index during pre and post COVID-19 outbreak: evidence from India

Authors: Peeyush Bangur; Sugandha Sharma; Deepak Shrivastava

Addresses: Women's Institute for Studies in Development Oriented Management (WISDOM), Banasthali Vidyapith, Banasthali, Rajasthan, India ' ICFAI Law School (ILS), ICFAI University, Dehradun, India ' Institute of Management Studies, Devi Ahilya Vishwavidyalaya, Indore, India

Abstract: The COVID-19 outbreak has had an impact on the Indian capital market. However, some industries become highly vulnerable, while others continue to perform well during and after the crisis. Following the global outbreak of the disease, the IT sector has become one of the most thriving sectors in the world. In this context, a comparative analysis has been made by examining the performance of the Nifty IT index and the Nifty 50 of the Indian stock market during the pre- and post-COVID-19 periods. Our findings indicate that COVID-19 has an impact on the volatility persistence of Nifty IT and Nifty 50 index returns. With the announcement of COVID-19, the analyses exhibit a rise in unconditional variance of the Nifty IT index by 178% and the Nifty 50 index by 255%, which signifies that the Nifty 50 has been more volatile than the Nifty IT index after the COVID-19 announcement. This paper contributes to knowledge in a novel way, and it is the first empirical study to quantify the change in volatility of the Nifty IT index in the Indian stock market before and after COVID-19.

Keywords: COVID-19; information technology; volatility; GARCH(1, 1); India.

DOI: 10.1504/IJTLID.2023.135343

International Journal of Technological Learning, Innovation and Development, 2023 Vol.15 No.2, pp.207 - 224

Received: 14 May 2023
Accepted: 25 Aug 2023
Published online: 05 Dec 2023 *

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