Market Catastrophe Focusing on 2020 COVID 19 Market Fall - Economics Assignment Help

Assignment Task :                                    

Introduction

Studies during last decades have shown abundance of discoveries proving cross-section patterns in stock market. Emerging markets encompassing crucial share in the world market and with building interests amongst international investors this thesis inspects the occurrence and behaviour of stock market anomalies in emerging markets with how these anomalies react in market catastrophe focussing on 2020 COVID 19 market fall. Motivation for this thesis is to compare the equity price movement in emerging market with relation to developed markets and understanding the incongruities and similarities of anomalies during global financial crisis between them. 

The 2020 COVID crisis has affected every economy and we’ll study about the correlation of Indian NIFTY50 index with US Dow jones industrial index in this crisis period focussing on the most important anomalies in financial crisis . The anomaly return has been discussed by many authors and often they focus on one of the different anomalies in the developed market but in this thesis, I’ll try to focus on three most important anomalies which will include event study effect, January effect and Size effect anomalies in the emerging market and their scale of effect with the proof to support if these anomalies are still present and are important when making a hedge portfolio and in the cross-sectional premiums

Research aim and objectives

Aim

This thesis aims to identify how efficient are the emerging market, specifically the Indian Market and how does the market react to current COVID 19 market crash. The market anomaly can be defined when the asset prices behave differently as compared with the efficient market scenario, there are few well-defined anomalies and this thesis aims to predict how these anomalies can be used to make an abnormal return and how other anomalies are not so true. The focus will also be made to anomalies in 2020 market fall compared with developed economies.

Objective

This thesis will try to prove certain anomalies and their effects on the emerging market with timing that the anomaly stays in the market and how it changes in market catastrophes like COVID19.For example

• BM: Book equity divided by the market equity 

• ISSUE: How volatile the share price in the start of an IPO is and till when does this effect continues until the prices reaches to its normal level 

• Day of the week effect

• Month of the year effect i.e. January effect 

• 15 days of a month effect

• Trading volume of the year low stocks are higher in December 

• Stock Split effect

• Low P/E Stocks

 Possible research question:

1. Is there any seasonality outcome in Indian Stock Exchanges?

2. Does the seasonality continues over time?

3. Differences in market reaction of different economies in relation to 2020 COVID19 crisis.

4. What sector shows the most anomalies of the market for example, the timing for the FMCG companies or pharma companies etc.?

5. How does the crowding effect in market affect the stock prices?

6. Can we earn an arbitrage profit using the anomalies of the market?   

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