COVID-19 Lockdown Announcement and Stock Market Volatility of Selected Industry : An Event Study

The impact of the coronavirus pandemic and the lockdown it triggered is clearly visible in the financial markets. But there is still no clarity on the deeper impact that it is having across businesses and industrial sectors. To empirically investigate the effect of announcement of COVID-19 lockdown on the volatility of share price of healthcare industry is the main aim of this study. Closing share prices on daily basis of Nifty Healthcare Index companies has been taken for analysis from pre and post period of COVID-19 lockdown announcement. Event study approach and t-test have been used to investigate the effect of aforementioned event, for which average annual returns have been calculated over various event windows such as (-15, +15), (-10, +10), (-5, +5) and (-2, +2). The result of the study reveals that the announcement of COVID-19 lockdown does not significantly impact the healthcare industry under various window periods except window period (-10, +10).