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DC Field | Value | Language |
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dc.contributor.author | Nandy, M | - |
dc.contributor.author | Bhattacharjee, A | - |
dc.contributor.author | Lodh, S | - |
dc.date.accessioned | 2024-06-17T15:58:49Z | - |
dc.date.available | 2024-06-17T15:58:49Z | - |
dc.date.issued | 2024-06-17 | - |
dc.identifier | ORCiD: Monomita Nandy https://orcid.org/0000-0001-8191-2412 | - |
dc.identifier | ORCiD: Anindita Bhattacharjee https://orcid.org/0000-0002-7774-2366 | - |
dc.identifier | ORCiD: Suman Lodh https://orcid.org/0000-0002-4513-1480 | - |
dc.identifier.citation | Bhattacharjee, A., Nandy, M. and Lodh, S. (2024) ‘COVID-19 and persistence in the stock market: a study on a leading emerging market’, International Journal of Disclosure and Governance, 0 (ahead of print), pp. 1- 12. doi: 10.1057/s41310-024-00250-7. | en_US |
dc.identifier.issn | 1741-3591 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/29149 | - |
dc.description | Data availability: The data that support the findings of this study are available from the corresponding author upon reasonable request. | - |
dc.description.abstract | In this study, we examine how sectors of the National Stock Exchange from India respond to the uncertainties introduced by the COVID-19 pandemic. By examining the synchronization between the sector-specific and overall market index (NIFTY 50) reaction to COVID-19, we contribute to the inconclusive ongoing academic literature regarding the impact of COVID-19 on the stock market, especially in the context of persistence in an emerging market. To analyze the persistence of sectoral indices, we apply multifractal detrended fluctuation analysis (MFDFA). We use the generalized Hurst exponent and singularity spectrum as indicators for persistence and spectral width as a measure of volatility. Our analysis shows that the sample sectoral indices are persistent before and after the announcement of COVID-19; however, volatility in some sectors reduces post-announcement of COVID-19. The findings will enrich the academic literature on the relationship between sector-specific and overall market indexes. In practice, the paper will guide investors to organize their portfolios, especially during future economic uncertainty. | en_US |
dc.format.extent | 1 - 12 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Palgrave Macmillan (part of Springer Nature) | en_US |
dc.rights | Copyright © The Author(s) 2024. Rights and permissions: Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.s | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | behavioral bias | en_US |
dc.subject | market efficiency | en_US |
dc.subject | persistence | en_US |
dc.subject | Hurst exponent | en_US |
dc.subject | multifractal behavior | en_US |
dc.title | COVID-19 and persistence in the stock market: a study on a leading emerging market | en_US |
dc.type | Article | en_US |
dc.date.dateAccepted | 2024-06-09 | - |
dc.identifier.doi | https://doi.org/10.1057/s41310-024-00250-7 | - |
dc.relation.isPartOf | International Journal of Disclosure and Governance | - |
pubs.publication-status | Published online | - |
pubs.volume | 0 | - |
dc.identifier.eissn | 1746-6539 | - |
dc.rights.license | https://creativecommons.org/licenses/by/4.0/legalcode.en | - |
dc.rights.holder | The Author(s) | - |
Appears in Collections: | Brunel Business School Research Papers |
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