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Analysis of Structural Breaks in Stock Returns and Volumes in the Indian Stock Markets: Pre- and Post-COVID-19 Era
Abstract
COVID-19 impacted the whole world's economy at large and all the sectors except a few. Most industries witnessed huge losses in most countries, whether developing, developed, or undeveloped. The losses suffered by the major sectors catering to the economies typically affect all the ancillary service sectors also. The research attempts to look at the causality of stock returns and volumes within, using a dynamic Markov regime switching GARCH model to identify the changes in this relation pre and post COVID-19. The study finds a weak relationship between the real growth represented by GDP and stock returns pre and post COVID-19. The presence of structural breaks was evident from the observations and a positive result from the regime-switching models, which suggests that the perception of stock markets is not derived from the real GDP.
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