Strategic approach to analyze the effect of Covid-19 on the stock market volatility and uncertainty: a first and second wave perspective

Purpose This paper aims to analyze the impact of Covid-19 on stock market volatility and uncertainty during first second waves. Design/methodology/approach study has applied event autoregressive integrated moving average models using daily data confirmed death cases Covid-19, US S&P 500, index, economic policy 500 Bombay Stock Exchange attain purpose. Findings It is observed that, wave, fiscal measure have a significant impact, while vaccination initiative abnormal hike returns wave. further that Indian markets spillovers sample period. Moreover, perpetual correlation between variables been noticed. Research limitations/implications At present, world experiencing third wave Covid-19. considered Practical implications expected business leaders, regulators policymakers will be highly benefitted from research outcomes this study. Originality/value briefly highlights drawbacks existing policies suggests appropriate guidelines successfully implement forthcoming initiatives reduce catastrophic uncertainty.