How do different sectors react to Covid-19? Evidence from the Sectoral Indices of NSE (India) using event study method and GARCH model

Tha data contains the daily log-returns of fifteen sectoral indices of the National Stock Exchange (India) for the period from 04-01-2019 to 03-05-2021. The abnormal returns from t-290 to t+201. The daily new cases and deaths due to covid-19 as collected from https://www.worldometers.info/coronavirus/ has also been provided from 23-01-2020 to 06-05-2021. The abnormal and cumulative abnormal returns for the event window t-30 to t+30 has been provided. We also provide the alpha and beta estimates along with the summary statistics of daily log returns for the estimation window.