Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Murat Binay

Reader 2

Ben Gillen


This paper examines the differential impacts of COVID-19 on the correlations and volatility of two different stock market indices, the S&P500 and the Nifty50. For the correlation analysis, there are three correlation matrices: industry index correlations, absolute correlation changes, and pairwise correlations. Most correlations shoot up to one at the peak of the pandemic and recover to their pre-pandemic levels at a slower rate than they increased. These results delve deeper into the potential failure of diversification amidst a crisis. For the volatility analysis, this paper builds an econometric model consisting of six independent variables along with their derivatives: Google Search, new cases, new deaths, exchange rates, flight frequency, and the capacity of restaurant diners. These variables are tested against two dependent variables: the change in the stock market index price and the Volatility Index. After running regressions and funneling the significant variables, this paper finds that the change in Google Trends and flight frequency are significant in relation to the price changes of both stock markets. Additionally, Google Trends and the capacity of restaurant diners are significantly correlated with the S&P500 price, while the change in the exchange rate is significantly correlated with the Nifty50 price. The differences in the results for the S&P500 and the Nifty50 can be explained by the level of information technology and economic development, historical compositions and power balances, and the implementation of socio-economic policies in each country. Hence, this paper offers insight into macro and micro financial trends amidst a global pandemic.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.