Impacts of pandemic-related stimulus packages on the stock market: Evidence from India and the United States

This data contains the daily log returns of 947 firms including 452 firms from BSE500 (India) and 495 firms from S&P500 (SPX500) (United States). We collected the daily closing prices from the ProwessIQ and Bloomberg databases. The firms with regular trading history and those having a sufficient number of trading days as per our estimation and event window have been included in the sample. We calculate the daily returns using the formula LN[(Ct-1)/Ct] in excel.