The present study empirically examines the impact of coronavirus disease 2019 (COVID-19) and policy uncertainty on stock prices in India during the COVID-19 pandemic.
To this end, the authors use the daily data by applying the autoregressive distributed lag (ARDL) model, which tests the short- and long-run relationship between stock price and its covariates.
The study finds that increased uncertainty has adverse short- and long-run effects on stock prices, while the vaccine index has favorable effects on stock market recovery.
From investors' perspectives, volatility in the Indian stock market has negative repercussions. Therefore, to protect investors' sentiments, policymakers should be concerned about the uncertainty induced by the COVID-19 pandemic and similar other uncertainty prevailing in the financial markets.
This study used the news-based COVID-19 index and vaccine index to measure recent pandemic-induced uncertainty. The result carries some policy implications for an emerging economy like India.
The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-03-2023-0244
