Narang, Sahil; Savita; Pradhan, Rudra Prakash; Singh, … - In: Asian Academy of Management journal 28 (2023) 1, pp. 311-344
impact of COVID-19 induced fear of volatility index (VIX) on stock market returns and the role of pre-pandemic firm …-specific characteristics in intensifying/reducing the effect of fear on stock returns are analysed. Event study methodology and panel data … approach with firm and industry-time fixed effects are employed. The results show fear of VIX plays a significant role in the …