Impact of COVID-19 on Market Risk: Appraisal with Value-at-risk Models

COVID-19 has traumatised the whole world in every aspect ranging from normal day-to-day activities to complete halt of the economies. This piece of work attempted to examine the response of the stock markets to the outbreak of COVID-9 by considering stock indices of five leading countries and comparing the risk with other periods of crisis viz. global financial crisis of 2007-2008 and stock market fluctuation in 1992. Both negative and positive fluctuation are examined, however special emphasis is placed on downside risk. The risk is measured using Value-at-Risk models with different distributional assumptions. The main observation of the study points towards gravity of this deadly virus as the volatility in the stock markets of all the countries is higher even compared to the global crisis of 2008 except China which is quite absurd. On the other hand, global markets are found to be highly correlated in the COVID-19 period. However, investors are also found to be reacting positively when favourable news is transmitted. The findings of this paper will help the investors in understanding the short-run dynamics of the stock markets and use such information in future for investment in similar circumstances.

First Published February 23, 2021 


Article Information

Volume: 68 issue: 3, page(s): 396-416
Article first published online: February 23, 2021; Issue published: September 1, 2020
1 Faculty of Management Studies, Sri Sri University, Cuttack, Odisha, India.
2 Faculty of Management Sciences, Siksha ‘O’ Anusandhan (Deemed to be University), Bhubaneswar, Odisha, India.
Corresponding Author:

Bhabani Sankar Rout, Faculty of Management Sciences, Siksha ‘O’ Anusandhan (Deemed to be University), Bhubaneswar, Odisha 751030, India. E-mail: 

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