AN ANALYSIS OF RISK OF SECTORAL INDEXES IN BSE DURING OUTBREAK OF COVID-19

Abstract

Stock market is considered to be one of the indicators of the economy of a country. Indian stock market witnessed a massive set back amid COVID-19 like other developed stock markets of the world. In our study, we have analysed the sensitivity of different sectoral indexes with respect to overall market index. The study is completely based on Indian stock market. For the purpose of the study, we have chosen certain sectors like IT, Realty, Health, Energy, Oil and Gas, FMCG, Telecom and Private Banks. The market specific and sector specific risk have been analysed as per Markowitz Model and Sharpe Index Model. The concept of Beta, as developed by Treynor, Sharpe and Linter in their world-famous Capital Asset Pricing Model (CAPM), has been used. In this study, the main focus has been laid on the change in the risk of different indexes during COVID-19. From the comparison of Beta values between pre and during COVID-19 period, it was found that most of the sectors became less responsive towards the change in the market excepting IT and Private Bank. By comparing the total risk using Markowitz and Sharpe Index Model, it has been found that during COVID-19, risk of all the sectors have significantly increased. An analysis of the classification of market specific and sector specific risk using Markowitz and Sharpe Index Model has been done and it has been found that there is an increase in systematic risk for all the sectors during COVID-19 but IT and Realty sector’s unsystematic risk have decreased during COVID-19.