Do pandemic news and government measures affect the returns from banking and financial sector stocks? Evidence from an emerging market

The data contains closing prices and log-returns of 37 banking and financial services stocks for the period January 2019 to January 2021. It also contains the closing prices and log-returns of three sectoral indices, viz., NIFTY PSU Bank Index components (12), NIFTY Private Bank Index components (10) & NIFTY Financial Services Index (15)). We collected the data from the NSE Website. The banks/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.本数据集涵盖2019年1月至2021年1月期间37只银行与金融服务类股票的收盘价与对数收益率(log-returns)。同时还包含三类行业指数成分股的收盘价与对数收益率，分别为：NIFTY PSU银行指数(NIFTY PSU Bank Index)成分股(12只)、NIFTY私营银行指数(NIFTY Private Bank Index)成分股(10只)以及NIFTY金融服务指数(NIFTY Financial Services Index)成分股(15只)。本数据集的数据采集自NSE官网。本次研究样本纳入了具备连续交易历史，且满足研究估算与事件窗口所需交易天数要求的银行与企业。我们通过Excel软件使用公式LN[(Cₜ₋₁)/Cₜ]计算每日收益率。