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.