Do asymmetries in the Indian equity market exist during the COVID-19?
Document Type
Journal Article
Publication Title
Emerging Markets Finance and Trade
Publisher
Taylor & Francis
School
School of Business and Law
RAS ID
35522
Abstract
This paper investigates the presence of asymmetry in correlations, betas and covariances between the market excess return and the excess return on each of the eleven industry, ten size, ten momentum and ten book-to-market portfolios. We arrive at three main findings. First, there is strong evidence of asymmetric covariance while the evidence for asymmetric correlations is weakest during COVID-19 period. Second, momentum and book-to-market portfolios exhibit strong evidence of asymmetry relative to the size and industry portfolios. Third, regardless of a single exceedance level or four exceedance levels, the downside correlations, betas and covariances are higher than the upside correlations, betas and covariances.
DOI
10.1080/1540496X.2021.1891882
Access Rights
subscription content
Comments
Bannigidadmath, D., & Truter, P. A. (2021). Do asymmetries in the Indian equity market exist during the COVID-19?. Emerging Markets Finance and Trade, 57(10), 2838-2851. https://doi.org/10.1080/1540496X.2021.1891882