Investigating the Impact of the First and Second Waves of the COVID - 19 Pandemic on the Indian Stock and Commodity Markets : An ARDL Analysis of Gold, Oil, and Stock Market Prices

Authors

  •   Aamir Aijaz Syed Assistant Professor, Institute of Management Commerce and Economics, Shri Ramswaroop Memorial University, Barabanki - 225 003, Uttar Pradesh
  •   Ravindra Tripathi Head of the Department and Associate Professor of Accounting & Finance, Department of Humanities and Social Sciences, Motilal Nehru National Institute of Technology Allahabad, Prayagraj - 211 004, Uttar Pradesh
  •   Jyoti Deewan Director, Centre for Innovation, Incubation & Entrepreneurship, Institute of Management Commerce and Economics, Shri Ramswaroop Memorial University, Barabanki - 225 003, Uttar Pradesh

DOI:

https://doi.org/10.17010/ijf/2021/v15i12/167306

Keywords:

Pandemic

, COVID-19, Financial Markets, Commodity Markets, ARDL.

JEL Classification Codes

, CO1, G11, G12, F32.

Paper Submission Date

, April 15, 2021, Paper Sent Back for Revision, November 15, Paper Acceptance Date, November 28, Paper Published Online, December 15, 2021.

Abstract

COVID - 19 and its consequential impact on the economic fundamentals are highly discussed topics among the researchers. However, there is a literature void in the context of the Indian commodity and financial markets. To bridge this gap, the current study tried to investigate the influence of COVID -19 on the Indian commodity and financial markets by taking the data of the National Stock Exchange of India representing financial markets and the gold prices & oil prices representing commodity markets. The data were segregated into three-time lines, that is, whole period (April 1, 2020 – April 10, 2021), first wave (June 6 – September 30, 2020), and second-wave (February 2 – April 10, 2021) and to investigate the above relationship, the autoregressive distribution lag (ARDL) approach was employed. The findings suggested that during the whole period of the study and the first wave, coronavirus spread had a significant negative influence on the oil prices and the stock market. However, the impact was significant and positive for gold prices. The Wald test also confirmed a long-run cointegration among the variables in both periods of the study. In the context of the second wave, the study contradicted the above findings and concluded that during the second wave, the spread of COVID-19 cases had a positive impact on oil prices and stock markets; whereas, there was a negative impact on the gold prices. The findings highlighted the issue of uncertainty of pandemic, symmetry, demand theory and also highlighted the inverse relationship of gold and equity instruments, which will help in making appropriate policy-oriented decisions.

Downloads

Download data is not yet available.

Author Biographies

Aamir Aijaz Syed, Assistant Professor, Institute of Management Commerce and Economics, Shri Ramswaroop Memorial University, Barabanki - 225 003, Uttar Pradesh

ORCID iD : https://orcid.org/0000-0002-5510-7644

Ravindra Tripathi, Head of the Department and Associate Professor of Accounting & Finance, Department of Humanities and Social Sciences, Motilal Nehru National Institute of Technology Allahabad, Prayagraj - 211 004, Uttar Pradesh

ORCID iD : https://orcid.org/0000-0002-7812-1027

Downloads

Published

2021-12-10

How to Cite

Syed, A. A., Tripathi, R., & Deewan, J. (2021). Investigating the Impact of the First and Second Waves of the COVID - 19 Pandemic on the Indian Stock and Commodity Markets : An ARDL Analysis of Gold, Oil, and Stock Market Prices. Indian Journal of Finance, 15(12), 8–21. https://doi.org/10.17010/ijf/2021/v15i12/167306

Issue

Volume 15, Issue 12, December 2021

Section

Articles
Crossref
Scopus
Google Scholar
Europe PMC

References

Ahmed, F., Syed, A. A., Kamal, M. A., Nieves López-García, M., Ramos-Requena, J. P., & Gupta, S. (2021). Assessing the impact of COVID-19 pandemic on the stock and commodity markets performance and sustainability: A comparative analysis of South Asian countries. Sustainability, 13(10), 5669. https://doi.org/10.3390/su13105669

Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear (02501814). https://arxiv.org/abs/2003.04005

Broadstock, D. C., & Zhang, D. (2019). Social-media and intraday stock returns: The pricing power of sentiment. Finance Research Letters, 30, 116–123. https://doi.org/10.1016/j.frl.2019.03.030

Chaudhary, M., Sodani, P. R., & Das, S. (2020). Effect of COVID-19 on economy in India: Some reflections for policy and programme. Journal of Health Management, 22(2), 169–180. https://doi.org/10.1177/0972063420935541

Chen, H., Qian, W., & Wen, Q. (2021). The impact of the COVID-19 pandemic on consumption: Learning from high frequency transaction data. AEA Papers and Proceedings, 111, 307–311. https://doi.org/10.1257/pandp.20211003

Del Giudice, A., & Paltrinieri, A. (2017). The impact of the Arab Spring and the Ebola outbreak on African equity mutual fund investor decisions. Research in International Business and Finance, 41, 600 – 612. https://doi.org/10.1016/j.ribaf.2017.05.004

Dumontier, P., & Raffournier, B. (2002). Accounting and capital markets: A survey of the European evidence. European Accounting Review, 11(1), 119–151. https://doi.org/10.1080/09638180220124761

Dutta, A., Das, D., Jana, R. K., & Vo, X. V. (2020). COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin. Resources Policy, 69, 101816. https://doi.org/10.1016/j.resourpol.2020.101816

Fornaro, L., & Wolf, M. (2020). Covid-19 Coronavirus and macroeconomic policy (BSE Working Paper No. 1168). Barcelona Graduate School of Economics. https://bse.eu/research/working-papers/covid-19-coronavirus-and-macroeconomic-policy

Kanojia, S., & Malhotra, D. (2021). A case study of stock market bubbles in the Indian stock market. Indian Journal of Finance, 15(2), 22–48. https://doi.org/10.17010/ijf/2021/v15i2/157638

Kollias, C., Manou, E., Papadamou, S., & Stagiannis, A. (2011). Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market. European Journal of Political Economy, 27(1), S64–S77. https://doi.org/10.1016/j.ejpoleco.2011.05.002

Liu, H. Y., Manzoor, A., Wang, C. Y., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 2800. https://doi.org/10.3390/ijerph17082800

Mao, J. C. (1969). Quantitative analysis of financial decisions. Macmillan.

Meo, M. S., Chowdhury, M. A., Shaikh, G. M., Ali, M., & Masood Sheikh, S. (2018). Asymmetric impact of oil prices, exchange rate, and inflation on tourism demand in Pakistan: New evidence from nonlinear ARDL. Asia Pacific Journal of Tourism Research, 23(4), 408–422. https://doi.org/10.1080/10941665.2018.1445652

Mirza, N., Naqvi, B., Rahat, B., & Rizvi, S. K. (2020). Price reaction, volatility timing and funds' performance during Covid-19. Finance Research Letters, 36, 101657. https://doi.org/10.1016/j.frl.2020.101657

Mohania, S., & Mainrai, G. (2020). The COVID-19 pandemic and its impact on the banking industry - A case of National Bank Ltd. Indian Journal of Finance, 14(8 – 9), 80–89. https://doi.org/10.17010/ijf/2020/v14i8-9/154950

Mzoughi, H., Urom, C., Uddin, G. S., & Guesmi, K. (2020). The effects of COVID-19 pandemic on oil prices, CO2 emissions and the stock market: Evidence from a VAR model. SSRN Electronic Journal. https://dx.doi.org/10.2139/ssrn.3587906

Narender, M., & Kumar, A. A. (2021). IndiGo - In the times of pandemic. Indian Journal of Finance, 15(2), 62 – 70. https://doi.org/10.17010/ijf/2021/v15i2/157640

Naseem, S., Mohsin, M., Hui, W., Liyan, G., & Penglai, K. (2021). The investor psychology and stock market behavior during the initial era of COVID-19: A study of China, Japan, and the United States. Frontiers in Psychology, 12, 626934. https://doi.org/10.3389/fpsyg.2021.626934

Nippani, S., & Washer, K. M. (2004). SARS: A non-event for affected countries' stock markets? Applied Financial Economics, 14(15), 1105–1110. https://doi.org/10.1080/0960310042000310579

Papadamou, S., Fassas, A., Kenourgios, D., & Dimitriou, D. (2020). Direct and indirect effects of COVID-19 pandemic on implied stock market volatility: Evidence from panel data analysis (MPRA Paper 100020). University Library of Munich, Germany. https://mpra.ub.uni-muenchen.de/id/eprint/100020

Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616

Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70(C), 101496. https://dx.doi.org/10.1016%2Fj.irfa.2020.101496

Shruthi, M. S., & Ramani, D. (2021). Statistical analysis of impact of COVID 19 on India commodity markets. Materials Today: Proceedings, 37(2), 2306–2311. https://doi.org/10.1016/j.matpr.2020.07.729

Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The outbreak of COVID-19 and stock market responses: An event study and panel data analysis for G-20 countries. Global Business Review, 1–26. https://doi.org/10.1177%2F0972150920957274

Siu, A., & Wong, Y. R. (2004). Economic impact of SARS: The case of Hong Kong. Asian Economic Papers, 3(1), 62 – 83. https://doi.org/10.1162/1535351041747996

Syed, A. A., & Tripathi, R. (2019). Non-performing loans in BRICS nations: Determinants and macroeconomic impact. Indian Journal of Finance, 13(2), 22–35. http://doi.org/10.17010/ijf/2019/v13i2/141684

Syed, A. A., & Tripathi, R. (2020). Macroeconomic vulnerabilities and its effect on nonperforming loans in Indian commercial banks. Indian Journal of Finance, 14(2), 34–49. https://doi.org/10.17010/ijf/2020/v14i2/150555

Wang, Y. (2020). MeiguChixuBaodie de BinggenZaiNaer [What is the root cause of the continued collapse of US stocks]. Shanghai Zhengquan Bao [Shanghai Security News] http://news.cnstock.com/news,bwkx-202003-4507256.htm

World Health Organization. (2020a, January 30). COVID - 19: Public health emergency of international concern declared. https://www.who.int/docs/default-source/coronaviruse/transcripts/ihr- emergency-committee-for-pneumonia-due-to-the-novel-coronavirus-2019-ncov-press-brief-ing-transcript-30012020.pdf?sfvrsn=c9463ac1_2

World Health Organization. (2020b, March 11). WHO characterizes COVID-19 as a pandemic. https://www.who.int/docs/default-source/coronaviruse/transcripts/who-audio-emer-gencies-coronavirus-press-conference-full-and-final-11mar2020.pdf?sfvrsn=cb432bb3_2