Vulnerability of financial markets in India: The contagious effect of COVID-19

•COVID19’s impact on India’s financial market is examined using panel data regression.•The event study indicated the presence of positive returns during pandemic.•Comparative insights during and post lockdown phases on market returns are offered.•New avenues of research extension for uncertain events are provided. This study aims to examine the impact of COVID-19 on financial markets, using emerging market data. Specifically, panel data regression is applied on 3200 observations for daily market returns during lockdown in India. The event study methodology is adopted to show abnormal returns registered in the lockdown period. A contrasting breakdown effect of COVID-19 on various Indian industries has been observed through sectoral analysis. The study also provides empirical evidence for lockdown measures taken by the government on stock market returns and post lockdown impact of COVID-19 on daily market returns for over 6550 observations.