Diverse investor reactions to the COVID-19 Pandemic : insights from an emerging market
Neupane, Suman and Fan, Zhebin and Yanes Sanchez, Daniel and Neupane, Biwesh (2024) Diverse investor reactions to the COVID-19 Pandemic : insights from an emerging market. Journal of International Financial Markets Institutions and Money, 93. 102000. ISSN 1042-4431 (https://doi.org/10.1016/j.intfin.2024.102000)
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Abstract
We examine the reaction of different investor categories to the COVID-19 pandemic in the Indian market throughout 2020. Using quarterly ownership data, we find significant differences across various investor categories during the crisis and post-crisis periods. We find that domestic institutional investors (DIIs) exhibit 'flight-to-quality' behavior, foreign institutional investors (FIIs) exhibit 'fire-sale' behavior, and retail investors (RIs) act as informed investors who provide liquidity during the crisis period. We observe conservative behavior from DIIs and FIIs throughout 2020, during which RIs initially increase their holdings in high-risk stocks but move to high-quality stocks in the final quarter of 2020. FIIs contribute the most to lower stock returns and higher volatility during the crisis period. Using daily FII trade-level data, we find that long-term FIIs start buying high-quality stocks before other categories in the post-crisis period, with short-term FIIs driving returns and volatility during the crisis period.
ORCID iDs
Neupane, Suman, Fan, Zhebin, Yanes Sanchez, Daniel and Neupane, Biwesh ORCID: https://orcid.org/0000-0001-7918-0259;-
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Item type: Article ID code: 88766 Dates: DateEvent30 June 2024Published14 April 2024Published Online12 April 2024AcceptedSubjects: Social Sciences > Finance Department: Strathclyde Business School > Accounting and Finance Depositing user: Pure Administrator Date deposited: 17 Apr 2024 13:50 Last modified: 02 Dec 2024 01:29 URI: https://strathprints.strath.ac.uk/id/eprint/88766