The study examines the impact of the COVID-19 pandemic on the Indian stock market, providing insights for informed investment decisions. It analyses efficiency and behavior across eight crucial sectors during two distinct periods: prepandemic (Period 1: February 15th, 2018 to February 14th, 2020) and pandemic (Period 2: February 17th, 2020 to February 15th, 2022). Addressing a literature gap on sector-wise pandemic effects, the study contributes valuable knowledge to investors and policymakers. Utilizing the variance-ratio methodology enhances understanding of market efficiency. The findings reveal distinct behavior in the Indian stock market between Period 1, characterized by stable, normally distributed returns, and Period 2, marked by increased volatility and extreme events, likely influenced by the pandemic.

Market efficiency, COVID-19, Indian Stock Market, sector-wise analysis, variance-ratio methodology

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