Template-Type: ReDIF-Article 1.0 
Author-Name: Debi Bal
Author-Name: Seba Mohanty
Author-Email:  mohanty.seba@gmail.com
Author-Workplace-Name:  Department of Economics, Birla School of Social Sciences and Humanities, Birla Global University Bhubaneswar, India
Title: Sectoral Nonlinear Causality Between Stock Market Volatility and the COVID-19 Pandemic - Evidence From India
Abstract:  This paper examines the linear and nonlinear relationship between daily confirmed COVID-19 cases and sectoral stock market volatility in India. The linear Granger causality test reveals bidirectional causality. Further, we observe that bidirectional nonlinear Granger causality exists between stock market volatility and COVID-19. This implies that the historical and lagged information can have a significant role in predicting COVID-19 cases and the stock market.
Classification-JEL:  G15 ,I1
Keywords:  covid-19, volatility, stock market
Journal:  Asian Economics Letters
Pages: 1-4
Volume: 2
Issue: 1
Year:  2021
DOI:  2021/08/10
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/21380-sectoral-nonlinear-causality-between-stock-market-volatility-and-the-covid-19-pandemic-evidence-from-india.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:33