The Impact of COVID-19 on Stock Market Returns & Volatility: A Study of Thailand and Indian Bourses


  • Nisha Jindal Department of Business Administration, Guru Gobind Singh Indraprastha University, India
  • Ravi Kumar Gupta Department of Business Administration, Guru Gobind Singh Indraprastha University, India


COVID-19 Pandemic, Stock Market Volatility, Thailand Stock Market, Indian Stock Market


The outbreak of COVID-19 has triggered a fall in the pandemic has completely changed the worldandtransformedour lives, the patterns of economies, and the behaviour of businesses. The market has the tendency to perceive long-term shocks which economy can give to the market, but contrary to generalization, short-term shocks are more vulnerable. The objective of the study was to provide an overview of the impact of the ‘Outbreak of COVID-19 Pandemic Shockwaves on the returns and volatility of Thailand and Indian Stock Market. It also analysed whether both countries were reacting similarly to the pandemic. The data was divided into three categories, i.e. Before COVID-19 pandemic, During COVID-19 pandemic and the Whole Period collectively. The ‘Pre-Pandemic Time Period’ was taken from 1st July 2019 to 31st January 2020, ‘During Pandemic Time Period’ from 1st February 2020 to 31st August 2020 and the ‘Whole Time Period’ from 1st July 2019 to 31st August 2020. Three Stock Exchange Indices of both markets were monitored in the study. The standard GARCH models like GARCH, EGARCH, TGARCH, and PARCH models were used to assess the volatility of both markets.  The study revealed that the negative shocks had greateraimpact on these markets than the positive shocks during the pandemic period. However, most of the parameter estimates were found to be statistically significant in all models, which meant there was the presence of leverage effect in returns of both stock markets.


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How to Cite

Jindal, N., & Kumar Gupta, R. (2022). The Impact of COVID-19 on Stock Market Returns & Volatility: A Study of Thailand and Indian Bourses. Thailand and The World Economy, 40(2), 145–167. Retrieved from