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?:abstract
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The outbreak of Covid\'19 is an unprecedent shock to global economy Covid\'19 which has spread across the world has started from Wuhan, China Though the spread is high in USA and Europe, India is also witnessing sharp increase in COVID\'19 cases, which crossed 165000 benchmark as on 29/5/2020 In this context due to prolonged global lockdown, worldwide economic downturn and disruption in demand and supply is likely to bring inevitable financial crisis and slow down Sentiment of stock market across the world is also gloomy This is reflected in the frequent crashes in the stock market of different parts of the world However, impact of Covid\'19 on financial market is still not been researched The purpose of the study is to investigate the impact of Covid-19 cases on the Indian stock market, allowing for changes in volatility expectations, as well as specific period effect i e complete lockdown down period of April\'20 to May\'20 The results, based a GARCH (1,1) model and data from 16 May\'2019 to 13 May 2020, suggest that changes in the total number of cases in India do not have a significant impact on mean of Nifty return However, there is evidence of a positive impact on the conditional variance of the Nifty returns The model is tested for auto-correlation and arch effect in residual by using Correlogram Test and Arch LM Test
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