Title

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

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

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

Research Themes

Society and Culture

Priority Areas

Individual, economic, organisational, political and social transformation

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