Impact of COVID-19 on the NSE Nifty and the gross domestic product : Evidence from India

Abstract

The purpose of this research is to look into the relationship between the NSE Nifty and the Gross Domestic Product. During the Covid-19 epidemic, changes in the relationship between the NSE Nifty and the GDP are investigated. For the years 2000-2001 to 2020-2021 and Q4:2018-19 to Q1:2021-22 of Gross Domestic Product (GDP) and NSE Nifty, both annual and quarterly data are used. Unit root tests, Johansen cointegration tests, the Vector error correction model (VECM), the Wald test, the Granger Causality test, and the Karl-Pearson coefficient of correlation were all utilized. The Johansen cointegration test indicates that the NSE Nifty and GDP have a long-run relationship. Similarly, the results of the vector error correction model demonstrate that the NSE Nifty Index has a positive impact on GDP. According to the results of the Granger causality test, the NSE Nifty is the most important indicator of GDP during the Covid-19 period. From the time of the Pre-Covid-19 pandemic until the time of the Covid-period, the strength of the link has grown stronger.

Subject Classification:

• 62P20
• 62P25
• E71

Keywords:

• NSE nifty
• Gross domestic product
• Vector error correction model
• Karl Pearson coefficient of correlation
• Covid-19 pandemic