Calendar Anomalies and Volatility in the Indian Equity Market: Insight from 2008 Financial Crisis and COVID-19 Pandemic

Abstract

This study explores the presence of calendar anomalies in the Indian equity market during two economic shocks: the 2008 Global Financial Crisis and the COVID-19 pandemic. This study employed Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Threshold GARCH models to analyze the impact of economic downturns on volatility in a sample of Indian Stock Indices. This research identifies notable patterns, including the Wednesday effect during the financial crisis and the Monday and Tuesday effects during the global pandemic. By addressing a crucial gap in the literature, this study offers a comparative analysis of these crises and elucidates market volatility and investor behaviour in emerging markets. This study illuminates the critical role of investor confidence in mitigating financial instability and emphasizes the necessity for efficacious policy interventions to address economic disruptions, enhance financial resilience, and avert future crises, particularly during endogenous economic downturns such as financial recessions. This study elucidates the multifaceted effects of crises on financial markets and the broader economy, revealing intricate mechanisms that influence market dynamics during periods of economic turbulence.