J. Inst. Eng. India Ser.

B (October 2022) 103(5):1459–1478

https://doi.org/10.1007/s40031-022-00762-2

ORIGINAL CONTRIBUTION

Deep Learning‑Based Trend Analysis on Indian Stock Market

in COVID‑19 Pandemic Scenario and Forecasting Future
Financial Drift
Janmenjoy Nayak1 · Pandit Byomakesha Dash2 ·
Bighnaraj Naik3 · Subhashree Mohapatra4 ·
A. R. Routray5

Received: 30 August 2021 / Accepted: 24 May 2022 / Published online: 4 July 2022
© The Institution of Engineers (India) 2022

Abstract This present study has used the long-short-term
memory (LSTM) network-based deep learning architecture
to analyze the influence of the current widespread COVID-
19 on the Indian stock market. The major contribution of
this work is as follows: (1) Designing LSTM-based deep
neural network is used to study the effect of the COVID-
19 outbreak and Lockdown on the Indian stock exchange
(Nifty 50), and (2) designing a prediction model to capture
the effect of various COVID-19 waves in India on Indian
Stock exchange. The outcomes of the analysis show that the
increase in daily new confirmed cases, recovered cases, and
death cases have a significant adverse impact on the trend of
the stock market. Moreover, the results of the work have also
analyzed the impact of government policy such as ‘lockdown
city’ with a reaction to increased Pandemic cases. This work
is briefly summarized as follow: (1) LSTM-based deep neu-
ral network is used for this study to analyze the effect of the
COVID-19 outbreak on the Indian stock exchange. (2) The
Indian Stock exchange affected by the COVID-19 pandemic
* Bighnaraj Naik
bighnaraj_naik@ieee.org
1
Department of Computer Science, Maharaja Sriram
Chandra BhanjaDeo University, Baripada, Mayurbhanj,
Odisha 757003, India
2
Department of Information Technology, Aditya Institute
of Technology and Management (AITAM), Tekkali 532201,
India
3 RT-PCR method was used as the standard approach for
Department of Computer Application, Veer Surendra Sai
University of Technology, Burla, Odisha 768018, India
4 time, presents low sensitivity, and limited stock because
Department of Computer Science & Engineering,
Institute of Technical Education and Research, Siksha ‘O’
Anusandhan University, Bhubaneswar 751030, India
5
Department of Information & Communication Technology,
Fakir Mohan University, Balasore, Odisha, India
has been studied. Here, the analysis is based on the impact of
COVID-19 including the effect of lockdown. (3) A predic-
tion model has been proposed for the study of the behavior
of the Indian stock index (Nifty 50) during the COVID-19
pandemic. (4) Comparison of the efficacy of the suggested
approach with other existing baseline regression models.
Keywords COVID-19 · Deep learning · LSTM ·
Pandemic · Stock market
Introduction
In the last week of December 2019, many residents in the
Hubei Province of Wuhan city were infected by unidentified
pneumonia [1]. Within the first few weeks of the epidemics,
thousands of individuals have been infected and more than
hundreds of people have been killed. After the analysis of
throat swabs, the CDC researchers named the novel virus
NCP in January [2]. As its genome structure is similar to
SARS-CoV, the novel coronavirus is named SARS-CoV-2
by the ICTV [3]. The disease caused by SARS-CoV-2 was
named COVID-19 by the WHO in February 2020 [4]. In a
short period, the novel coronavirus spread quickly to other
regions of the world and has changed the life of many people
around the world.
The major issue in the detection of the COVID-
19 virus is the diagnosis of the disease. Although the
identifying the COVID-19 infection, they require more
of the pandemic. The drawbacks of RT-PCR may be
overwhelmed by the usage of medical radiographs like
X-rays, scanners, and CT. The ML and DL methods assist
the medical practitioners in the precise calculation and

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Vol.:(0123456789)
1460
speedily recognition of pneumonia [5–8]. Therefore,
the present world health situation is also demanding the
utilization of these techniques for the identification of
COVID-19 infection efficiently. Despite the expensive
computational simulations on basic physical models and
limited understanding of the underlying mechanism, the
ML approaches are capable of developing predictive
models which are considered the advantage of the ML
approach [9–12]. The other advantage is the extraction
of obscure patterns from vast, noisy, and composite data-
sets through the execution of distinct statistical, proba-
bilistic, and optimization techniques. Because of these
advantages, ML techniques can be expeditiously utilized
in the various applications of health management such
as prognosis of disease, manufacturing, and discovery
of drugs, diagnosis of medical radiographs, research and
clinical trials, maintenance of smart health records, col-
lection of crowdsourced data, prediction of the outbreak,
better radiotherapy, etc. [13–16]. An ML approach such as
the FFT-Gabor scheme has been proposed by Al-Karawi
et al. [17] to investigate COVID-19 infection from Chest
CT radiographs. Further, it is evident from the simula-
tion results that the developed model predicts results with
an average accuracy of 95.37%. To predict the spread of
COVID-19, an ARIMA prototype has been suggested by
[18]. For the next two days, the authors have forecasted
various parameters based on the study about the predomi-
nance of COVID-19. Further, this paper also indicates the
ARIMA forecast graph for the epidemic occurrence and
predominance. Though ML tools have been efficiently
applied in the prophecy and forecasting of COVID-19,
there remain some drawbacks such as full appliance of
biomedical data, temporal dependency, failure in main-
tenance of high-dimensionality, diversity, sparsity, incon-
sistency, and new patterns that cannot be recognized with
supervised approaches. Due to the incremental architec-
tural structure, the deep learning techniques gain the
ability to resolve most of the complex machine learning
tasks. The features such as dynamic updated learning,
better performance, and potential in handling multi-modal
and composite data and so on made the DL prototypes
the best precise techniques for supervising healthcare
datasets such as categorization of brain abnormalities,
categorization of pathogenic bacteria, detection of dis-
tinct types of carcinoma, and partitioning of biomedical
radiographs [17–23]. Formerly, several DL approaches
have been developed for determining and distinguishing
13
J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478
Fig. 1  India’s growth trajectory since 2011
bacterial and viral pneumonia from thoracic imaging data
[24]. Further, several attempts have been made to identify
several chest CT images [25]. As an important compara-
tive analysis, a comparison among seven distinct notable
deep learning neural networks architectures was given by
Hemdan et al. [26]. They have used the dataset consist-
ing of 50 images in the experiments consisting of equal
halves of both normal and infected patients. Further, the
ImageNet dataset was used to pretrain the models [27]
and radiography was used to train the classifier. From the
results, it is concluded that the best performing architec-
tures were the VGG19 and the DenseNET201. For dis-
tinguishing several images such as X-ray, normal, and
pneumonia, a novel architecture of convolutional neural
network named COVID-net was proposed by Wang et al.
[28]. Compared with previous work, in their study authors
have used a much larger dataset comprising 16,756 chest
radiography images from over ten thousand patients. Fur-
ther, the empirical outcome depicts that the suggested
model outperforms with overall accuracy and sensitiv-
ity of 92.4%, and 80%, respectively, for COVID-19. Due
to numerous advantages like superior performance, and
the use of automatic feature extraction without human
intervention, DL approaches are widely applied in the
prophecy and forecasting of COVID-19 infection instead
of ML approaches.
In the second week of March 2020, due to a larger
death rate of over 10,000 with huge affected cases across
the globe, the WHO declared the epidemic a pandemic.
Businesses throughout the globe are functioning in the
panic of a looming crumple of international financial
markets as approximately 162 countries are firmly going
into lockdown. This plight was hit hard with a stagnant
economic rise in the last year, particularly in an advanced
J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478 1461

Table 1  Few major steps taken by the Indian Government to tackle the pandemic and its impact on the economy
Date Measure taken

27th March 2020 374,000 crore has been announced by the Reserve Bank of India to the country’s financial system
1st April 2020 To handle the COVID-19 pandemic in India, $1 bn has been approved by World Bank approved
3rd April 2020 28,379 crore funds were released to states for tackling the COVID-19 pandemic
17th April 2020 50,000 crore special finance has been announced by RBI Governor to NABARD, SIDBI, and NHB
18th April 2020 To protect Indian companies during the pandemic, India’s foreign direct investment policy has
been changed by the government
17th May 2020 20 lakh-crore package has been announced by the government to manage this pandemic and
upsurge the economic growth

country like India as the economy was already on a down-
ward trajectory since the turn of FY 2018–2019 as shown
in Fig. 1. According to credit rating agencies and the
World Bank, India’s rise for FY 2021 has declined with
the poor figures in the last three decades [29, 30].
To combat COVID-19, the Indian Government has
announced a lockdown up to 14th April 2020 and then
extended up to 3rd May 2020. In the period of the first
21 days of complete lockdown, the Indian economy is
likely to lose over 32,000 crores every day [31, 32]. The
following are the different sectors affected by the lock-
down such as 53% of the businesses [33], supply chains
have been kept under stress as there was a lack of clar-
ity in streamlining, and a large number of farmers fac-
ing uncertainty [34], daily wage groups are at risk [35],
live event industries have witnessed a loss of 3000 crores
[36]. Within a short span of one month, unemployment
surged from 6.7% to a drastic of 26% (from March–April)
[37]. Major firms in India such as Tata Motors, UltraTech
Cement, Aditya Birla Group, Grasim Industries, Bharat
Forge, Larsen and Toubro, and Thermax have temporarily
delayed or minimized their operations.
To handle the plight of the pandemic for security and
safety of food and additional funds for healthcare, the
Government of India is released several measures as
shown in Table 1.
SMRs of a particular country have a major impact
on their respective economic growth and vice versa.
The impact of SMRs due to several external sources has
already been studied in many articles, such as sport-
activities [38], disasters [39], environmental [40], and
political events [41, 42]. In past, the SMRs have also been
affected by the many epidemic infections as per the fol-
lowing studies: SARs outbreak [43, 44], and Ebola Virus
Disease (EVD) outbreak [45]. But, there are only a few
researches available in the literature that shows the impact
of epidemic/pandemic diseases on SMRs.
The present study highlights the impact of the most
recent pandemic on stock market indices, particularly the
consequences of the COVID-19 transmissible disease on
the Indian stock market. In this work, the authors have
used LSTM as a deep learning tool to analyze the trend
of the COVID-19 outbreak by predicting and forecasting
it. Moreover, the impact of this contagious disease on the
Indian stock exchange trend is also studied. In this regard,
the following are major points that highlight the major
contributions of the work.
a. LSTM-based deep neural network is used for this
study to analyze the effect of the COVID-19 outbreak
on the Indian stock exchange.
b. The Indian Stock exchange affected by the COVID-
19 pandemic has been studied. Here, the analysis is
based on the impact of COVID-19 including the effect
of lockdown.
c. A prediction model has been proposed for the study
of the behavior of the Indian stock index (Nifty 50)
during the COVID-19 pandemic.
d. Comparison of the efficacy of the suggested approach
with other existing baseline regression models.
Related Work
The immediate actions by the Country/State governments,
manufacturing companies, media, and the public in a reac-
tion to the rise in COVID-19 cases, have created a demand
and supply blows, and therefore the COVID-19 disease has
been recognized as a most impactful cause than other similar
events [46]. This economic crisis as a result of falling sup-
ply and demand is now affecting the employability status of

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1462
the country, for example, seventeen million un-employabil-
ity cases have been added to their un-employability status
within three weeks of the crisis [47]. Therefore, the financial
markets or stock markets throughout the world have seen a
downgrade movement [48]. Some Stock market indices have
resisted the worst one-day fall in the last two decades. In this
regard, predicting this uncertainty is challenging work for
the researcher. However, several studies were already carried
out in the last couple of months which are presented in the
subsequent sub-section.
Al-Awadhi [49] has examined the influence of infec-
tious diseases on the stock exchange and used the analysis
of panel regression in the experiment to determine the
COVID-19 effect. From the experimentation, the authors
have concluded that the findings signified that the raise
in both COVID-19 confirmed and death has major nega-
tive consequences on stock markets. Ahmar and Val [50]
have introduced a method to predict the confirmed cases
of COVID-19 and IBEX that are obtained from the Spain
stock market. The authors have used the SutteARIMA and
ARIMA method. They have considered the data (COVID-
19 detected cases in Spain) from 12th February 2020 to
9th April 2020. To evaluate the prediction techniques,
mean absolute percentage error and predicting accuracy
measures are applied. From the experimentation, the
authors have inferred that the SutteARIMA method is
more pertinent than the ARIMA method in computing
IBEX and COVID-19 cases in Spain. It is found to have a
MAPE value of 0.1905 which is smaller than the ARIMA
and IBEX value of 0, 0202 for defined cases in Spain.
Pavlyshenko [51] has analyzed the impacts and regres-
sion approach of COVID-19 on the stock exchange. To
forecast the COVID-19 spread, the logistic curve along
with Bayesian regression was applied. The authors have
compared the analysis of COVID-19 with regression to
the influence of other disasters. The authors have mainly
considered the significance of finding a maximum num-
ber of COVID-19 cases per day for estimating half an
instance of its spread. From the analysis, the authors have
deduced that several disasters for different reasons have
shown their impacts on the stock markets. Due to this
reason, Bayesian inference showed its significance to
diagnose the indecision of the impacts as independently.
The two forecast techniques of the S&P500 that relays
on COVID-19 have been introduced by Karina et.al [52].
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J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478
They presented a technique to assess the systematic threat
in the stock markets. The considered models were based
on the projected deaths of COVID-19 that are released on
2nd April 2020 by Washington University. The authors
have estimated recovery as well as the decline in the index
for the next 3 months of the study. Q-Gaussian distribu-
tions were considered, as the forecast is an anticipation
of a prediction. The authors have supposed that COVID-
19 has an exogenous as well as a deterministic impact
on the stock market and applied the projected technique
to address the systematic risk with a Q-Gaussian distri-
bution. The consequences of COVID-19 on well-known
stock markets in main concerning countries such as Japan,
Korea, Indonesia, Malaysia, the USA, Singapore, etc., are
discussed by Liu et.al [53]. The authors have used an
event study technique and indicated that the main affected
areas, as well as countries of stock markets, have rap-
idly fallen after the spread of the pandemic. They have
confirmed that the result of regression also maintained
the difficult consequences of COVID-19 confirmed
cases on stock markets. Based on the investigations, the
authors have concluded that there was a major negative
consequence of the COVID-19 pandemic on stock mar-
kets. It was found to have more impact on COVID-19 in
Asian county stock markets. The researchers [54] have
predicted by analyzing the previous scenarios of stock
markets along with the current scenarios. As the stock
market presents the investor’s view of expectations for
the upcoming days, the author has mentioned how the
spread of COVID-19 has kept the stock markets exactly
in difficult situations. The author has mentioned the lat-
est research that is reported by Ramelli and Wagner [55]
which included the behavior of investors in three phases.
The author has represented the effects of the COVID-19
scenario and the risks to the investors. As per the author’s
point of view, wide actions with fiscal policy interfer-
ences have needed to evade further negative effects of
the COVID-19 alarm. Kizys et. al. [56] have presented
the primary study of investors’ assessments of the results
of companies due to the COVID-19 effect. The authors
have focused on the results of company debt and cash
assets as well as international contact of US firms. They
organize the initial study into three phases that include
incubation, outbreak, fever and described the actions fea-
turing each phase. Majorly, it was found to focus on the
 Table 2  Studies on previous literature
Author and year Contribution
Fernandes Nuno (2020) Discussed about the impact of COVID-19 out-
break on the economic growth of industries and
countries across the world
Al-Awadhi et al. (2020) Analyzed the impact of COVID-19 on the
outcome of the Hang Seng Index and Shanghai
stock market
Ahmar et al. (2020) Short-term forecasting of COVID-19 cases and
IBEX stock in Spain
Pavlyshenko (2020) Analyzed the impact of COVID-19 on stock
market and modelling the spread of COVID-19
outbreak in different countries
Karina et al. (2020) Explored the impact of COVID-19 outbreak on
S&P500 stock market in USA
Liu et al. (2020) Assessed the effect of COVID-19 crisis on 21
leading stock market indices in Japan, Korea,
Singapore, the USA, Germany, Italy, UK and
so on
Khan et al. (2020) Explored the impact of COVID-19 outbreak on
sixteen countries stock markets
Lee et al. (2020) Investigated the effect of COVID-19 sentiment on
the US stock market using big data
Kizys et al. (2021) Explored whether Government responses regard-
ing COVID-19 crisis can alleviate herding
behaviour of Investor in international stock
market
13
Pros
Presented a rough estimate of global economic
cost of COVID-19 outbreak in different sectors
and GDP growth of 30 different countries in
different scenarios during the outbreak
For analyzing the COVID-19 impact on stock
market, panel regression approach used which
minimizes estimation bias and multicollinear-
ity. Also used to determine the time-varying
relationship between dependent and independent
variables
The daily forecasting of COVID-19 confirmed
cases and IBEX stock in Spain has been done
effectively using Sutte ARIMA model when
compared to ARIMA model
Analyzed the uncertainty of crises impacts using
Bayesian inferences
Assessed the stochastic and systematic risk in
the stock market using two forecasting models
based on COVID-19 deaths and the 2-month-
sconsideration since the first confirmed case
recorded in USA
Analyzed the immediate impact of COVID-19
outbreak on the returns of stock market using
OLS regression approach which considered
panel data for 21 market indices in a 35-day
window
Based on efficient market theory and intertempo-
ral asset price theory, investigated the impact of
COVID-19 outbreak on daily and weekly stock
prices using pooled OLS, t-test and Mann–
Whitney test approaches
In addition to twitter data, the proposed approach
has used DNSI or Google Trends data to explore
the initial impact of COVID-19 sentiment on
US stock market by industry
The results have been analyzed by considering 72
countries daily stock market data. and govern-
ment response to COVID-19 are measured
using Oxford COVID-19 Government Response
Tracker
Cons References
The model does not take into account the direct [46]
and indirect health cost and the probable spillo-
vers to the financial sector
Considered only daily growth in the confirmed [49]
cases and deaths for analyzing the impact of
COVID-19 on stock market returns
Impact of lockdown restrictions on daily forecast- [50]
ing of COVID-19 cases and stock market has
not been considered
J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478
An expert is required for setting up the informa- [51]
tive prior distributions in Bayesian inference
Systematic risk has not been estimated using [52]
enhanced tools
Not considered the investor sentiment and fears of [53]
uncertainties
Demographic variables have not been considered
in the analysis of the model
Considered only weekly new cases of COVID-19 [57]
pandemic
The proposed approach has been evaluated [58]
by considering data from the initial stage of
COVID-19 pandemic
Not considered rational or irrational herding [56]
behaviour of Investor in international stock
market
1463
1464
Fig. 2  LSTM network structure
primary impact of the COVID-19 pandemic on the stock
exchange. The authors have demonstrated how the crisis
of COVID-19 has affected the stock market investors and
morphed into a broader financial as well as economic
crisis. Onali [59] has made a first-ever investigation to
know the COVID-19 impact on the US stock exchange.
The author has used the GARCH method with powerful
standard errors that permits changes in detailed cases as
well as deaths due to COVID-19. Based on the author’s
analysis, it was suggested that the alterations in the num-
ber of cases and fatalities in the US and other six highly
distressed countries by the COVID-19 disaster has no
impact on the US stock exchange, apart from the amount
of accounted cases for China. Markov-Switching tech-
niques implied that the negative influence of the volatility
index (VIX) on the stock exchange has risen threefold at
the February 2020 end. The major advantages and limi-
tations of some prestudied models are given in Table 2.
The prevailing pandemic ‘COVID-19’ has not only
changed the lifestyle of individual countrymen but also has
shown a major role in transforming the decision policies
of companies and governments. These instantaneous policy
transformations have supplied the uncertainty in the stock
exchange and enhanced the volatility. In this regard, this
work analyzes the effect of rising COVID-19 cases (con-
firmed, recovered, and death) and government lockdown
policy on the trend of the Indian stock exchange. The data
of the Nifty 50 index under the national stock exchange
(NSE) have been chosen for the experiment. This work has
used the historical data of Nifty 50 in addition to COVID-19
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J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478
Indian data for predicting the future stock market index. The
LSTM-based DL approach is used for designing this predict-
ing model. The prediction performance is validated through
four major evaluation metrics such as MAPE, ­R2 score,
RMSE, and MAE. Moreover, the outcome of the suggested
approach has been compared with other baseline methods
(RR, LASSO, LR, Elastic net, etc.) to check the effective-
ness of the work. The comparative result indicates that the
LSTM-based approach outperforms others by a significant
margin.
Furthermore, the outcome of this study concludes that the
increasing rate of Pandemic cases and lockdown announce-
ment has a significant impact on stock indices.
Methodology
This proposed system has may be seen as a process of
designing an LSTM-based [60] model for modeling time
series prediction of Indian stock closing price in the pres-
ence/absence of COVID-19 spread in India. The proposed
model makes use of (1) past COVID-19 spread time series
consisting of ‘Confirm case’, ‘Recover case’ and ‘Death
case’, and (2) past Indian stock closing price as input and
forecasts the future trends. Figure 4 represents the abstract
view of the proposed approach, and the details of the pro-
posed model have been presented in Algorithm 1 and Fig. 5.
Proposed LSTM‑Dropout Model for Trend Analysis
of Indian Stock Market and impact of COVID‑19
Spread
The proposed prediction model (Algorithm 1) based on
LSTM-Dropout Model has three major computation steps:
J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478 1465

i) Computation of Gate F t known as forget gate, S t known

′

as input modulation gate, I t known as input gate and Ot

known as output gate(Fig. 2), ii) Computation of gradient
using backpropagation through time (Fig. 3) (Backpropaga-
tion phase), iii) Computation of new network parameters
and Updating them, and iv) Computation and imposing of
dropout on F t , S t , I t and Ot is done to avoid overfitting.
′

To improve model performance and reduce overfitting,

the inputs and recurrent connections ton LSTM nodes are
excluded using a probabilistic method. This is a regulariza-
tion method, called Dropout, in which these many connec-
tions (Fig. 2) are excluded from the activation and weight
updation, thereby resulting in less complex networks with
less chance of overfitting (Fig. 4).
Fig. 3  Back propagation through time (back propagation phase)

Fig. 4  The overall framework

of the suggested LSTM-drop-
out-based approach for forecast-
ing Stock market trend

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Fig. 5  Working schema of the proposed approach

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J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478 1469

The semantic representation of the proposed work can be
realized in Fig. 5. It has been considered five parameters
of LSTM as many hidden layers and nodes in each layer
(controls the number of weights to be adjusted. If it is more
then, training time is higher), learning rate (controls the
degree of change of network weights), decay (responsible
for the reduction of learning rate over the epoch), activa-
tion function (controls the activation of nodes), and dropout
rate (minimizes the overfitting by removing some fraction of
the network that contributes less towards final output). The
value of these parameters is set as follows: several hidden
layers and nodes in each layer—2, 200 respectively, Learn-
ing rate—0.001, Activation Function—Relu, and Dropout
rate—0.1.
duration of data corresponding to both stock exchange and
COVID-19 cases indices is taken from 22nd Jan 2020 to
29th May 2021. The initial date of the confirmed case in
India was reported on ­30th Jan 2020 in the state of Kerala.
Therefore, to make a fair analysis the training data cor-
responding to the stock market has been from seven days
back from the initial reporting. Depending on the spread
of COVID-19 positive cases and stock index, the proposed
work has been executed with the following results: (1) Pre-
diction of Nifty50 index, (2) Advanced one-month and two-
month forecasting of Nifty50. Therefore, the model sepa-
rates the historical data into two groups; training (22nd Jan
2020 to 29th May 2021) and testing (30th May 2021 to 20th
August 2021).

Error Index
Critical Outcomes
To validate the proposed COVID-19 prediction approach,
The short-term day-to-day prediction is very important for the MAPE, R2 score (coefficient of determination), RMSE,
supporting the government’s strategic decisions. In this and MAE are considered evaluation indices in this work.
regard, this work concentrate on the prediction of COVID- These indices are mathematically described in Eqs. 12 to
19 confirmed cases with its impact on the Indian stock 15, respectively. Here, D (n) represents the data in the nth
exchange. sample.
M
Data 1 ∑ || Da (n) − Df (n) ||
MAPE = | | (12)
N n=1 || Da (n) |
|
The COVID-19 Indian confirmed, recovered and death data
are obtained from the website1 mentioned in Dong et al. M
(2020). Similarly, the Indian stock exchange data (Nifty50) 1∑
MAE = D (n) − Df (n) (13)
was collected from the official website of the NSE.2 The N n=1 a

1
https://​syste​ms.​jhu.​edu/​resea​rch/​public-​health/​ncov/.
2
https://​www1.​nsein​dia.​com/.

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Fig. 6  COVID-19 in India a total confirmed cases daily basis, b new confirmed cases daily basis

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J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478 1471

Fig. 7  Nifty50 tend during

COVID-19 pandemic a Nifty
50 tend from 22/01/2020 to
16/07/2021, b Nifty 50 tend
from 25/03/2020 to 15/04/2020,
c Nifty 50 tend from 05/04/2021
to 30/04/2021

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Table 3  Prediction result of confirmed cases for India Table 5  Prediction for Nifty50 Closing Price in India from 6 to 20th
2
Aug 2021 (using Proposed Method)
Model studied RMSE MAE MAPE R Score
Date Proposed method
Proposed LSTM-dropout 0.0073 0.0065 0.0030 0.9640
Forecast value APE
LSTM 0.0124 0.0129 0.0084 0.9145
Linear regression 0.0358 0.0365 0.0245 0.8269 8/6/2021 16,287.9 0.003061
Ridge regression 0.0349 0.0314 0.0236 0.7827 8/7/2021 16,287.9 0.003061
Lasso regression 0.0937 0.0799 0.0335 0.6482 8/8/2021 16,287.9 0.003061
Elastic net regression 0.0617 0.0489 0.0134 0.5982 8/9/2021 16,307.4 0.003023
8/10/2021 16,328.6 0.002979
8/11/2021 16,330.7 0.002976
8/12/2021 16,410.5 0.002817
Table 4  Prediction of COVID-19 confirmed cases in India from May
30,2021 to August 20, 2021 8/13/2021 16,570.3 0.002493
8/14/2021 16,570.3 0.002493
Model studied RMSE MAE MAPE R2 Score
8/15/2021 16,570.3 0.002493
Proposed LSTM-dropout 0.0081 0.0026 0.0021 0.9961 8/16/2021 16,603.3 0.00243
LSTM 0.0154 0.0143 0.0103 0.9015 8/17/2021 16,653.2 0.002323
Linear regression 0.0198 0.0717 0.0763 0.6872 8/18/2021 16,608.9 0.002417
Ridge regression 0.0424 0.0964 0.068 0.5839 8/19/2021 16,608.9 0.002417
Lasso regression 0.0251 0.0732 0.0745 0.4841 8/20/2021 16,494.1 0.00265
Elastic net regression 0.0325 0.0237 0.0226 0.6047 Mean 0.002713

Fig. 8  The efficiency of the suggested LSTM method vs. other baseline methods (train sample)

13
J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478 1473

Fig. 9  The efficiency of the suggested LSTM method vs. other baseline methods (test sample)

Table 6  Prediction for Nifty50 Closing Price in India from 6 to 20th Aug 2021 (Using Baseline model)
Date Actual LR RR LASSO ENET
Forecast value APE Forecast value APE Forecast value APE Forecast value APE

8/6/2021 16,238.2 16,538.4 0.018487 16,638.4 0.024646 15,548.16 0.042495 15,298.1 0.057894
8/7/2021 16,238.2 16,538.4 0.018487 16,638.4 0.024646 15,578.29 0.040639 15,328.2 0.056041
8/8/2021 16,238.2 16,538.4 0.018487 16,638.4 0.024646 15,608.43 0.038783 15,358.4 0.054181
8/9/2021 16,258.25 16,557.9 0.018431 16,657.9 0.024581 15,638.56 0.038115 15,388.5 0.053496
8/10/2021 16,280.1 16,579.1 0.018366 16,679.1 0.024508 15,668.7 0.037555 15,418.7 0.052911
8/11/2021 16,282.25 16,581.2 0.01836 16,681.2 0.024502 15,698.83 0.035832 15,448.83 0.051186
8/12/2021 16,364.4 16,661 0.018125 16,761 0.024236 15,457.75 0.055404 15,207.7 0.070684
8/13/2021 16,529.1 16,820.8 0.017648 16,920.8 0.023698 15,299.9 0.074366 15,049.9 0.089491
8/14/2021 16,529.1 16,820.8 0.017648 16,920.8 0.023698 15,299.9 0.074366 15,049.9 0.089491
8/15/2021 16,529.1 16,820.8 0.017648 16,920.8 0.023698 15,299.9 0.074366 15,049.9 0.089491
8/16/2021 16,563.05 16,853.8 0.017554 16,953.8 0.023592 15,371.65 0.071931 15,121.65 0.087025
8/17/2021 16,614.6 16,903.8 0.017406 17,003.8 0.023425 15,414.7 0.07222 15,164.7 0.087267
8/18/2021 16,568.85 16,859.4 0.017536 16,959.4 0.023571 15,299.9 0.076586 15,049.9 0.091675
8/19/2021 16,568.85 16,859.4 0.017536 16,959.4 0.023571 15,371.65 0.072256 15,121.65 0.087345
8/20/2021 16,450.5 16,744.6 0.017878 16,844.6 0.023957 15,414.7 0.062965 15,164.7 0.078162
Mean 0.017973 Mean 0.024065 Mean 0.057859 Mean 0.073089

13
1474
√
√
√1 ∑ M
( )2
RMSE = √ D (n) − Df (n)
M n=1 a
∑ ∑ ∑
M Da (n) ∗ Df (n) − Da (n) Df (n)
R2 = ��
∑� �2 �∑ �2 � � ∑ � �2 � ∑ �2 �
M Da (n) − Da (n) − M Df (n) − Df (n)
Discussion
Figure 6a depicts the total COVID-19 cases in India and
Fig. 6b shows the daily added new confirmed cases. From
these figures, it can be analyzed that the total case will keep
rising until the curve is sloped. Moreover, the status of daily
new cases is stabilized by an average value of 3500 cases
over the last 15 days. As the doubling rate and uncertainty
of Indian data is not too high compared to other countries,
the suitability of predicting COVID-19 cases with its impact
on the stock market has not been harshly affected.
Meanwhile, the announcement of COVID-19 as a pan-
demic by WHO, continuing lockdown, and maintaining
social distancing are a few major issues that have a serious
impact on the country’s economy. In addition to this, the
influence of COVID-19 on the share market is so high that
the investors have stop buying; as a result, the selling stock
results in a sharp drop in the share index. In this regard,
Fig. 7 shows the trend of Nifty50 in graphical form. Figure 7
shows that the curve of Nifty50 shows a negative trend or
downfall from 30/03/2020 (first-phase lockdown), stabilized
after (19/05/2020), and from 10/04/2021 (second-phase
partial lockdown), stabilized after (16/07/2021). Moreover,
during each lockdown or its extensions’ announcement, the
trend of Nifty50 shows a transient movement.
Based on these analyses, the forecasting of time-series
data of COVID-19 is processed by the developed model.
The outcome of the proposed work is analyzed by different
case studies as follows: The first COVID-19 case in India is
reported on 31st Jan 2020. After this, the central government
of India has decided to implement a full lockdown in the
country from 25 March 2020 (in the first phase) and a partial
lockdown on 05th April 2021 (in the second phase). In this
regard, the proposed model has taken the Nifty 50 data from
before lockdown, i.e. up to 29th May 2021 for training and
forecast the Nifty 50 stock index for advanced two months.
It can easily observe from the figure that the implementa-
tion of lockdown has a positive effect on the stock exchange
of India.
13
J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478
Prediction Result of Testing Data
(14)
The proposed model was trained and tested by consider-
ing data as mentioned in Sect. 4.1. The obtained results are
represented in Table 3. The result shows that the proposed
LSTM model effectively predicts the confirmed case of India
with a mean error indices value of MAPE: 0.0028, MAE:
(15) 0.0058, RMSE: 0.0069, and ­R2 Score: 0.9740. The com-
parative performance analysis with other baseline regression
models as illustrated in Table 3 shows the effectiveness of
the developed approach. The suggested approach outper-
forms other baseline approaches concerning each evaluation
indices.
As the error indices obtained by this analysis are fortu-
nately respectable, the proposed approach is trained with
the historical Nifty50 trend data combined with COVID-19
cases in India. The testing stock market data which are from
30th May 2021 to 20th August 2021 are used to validate the
proposed method. Table 4 shows the result obtained from
this analysis. The result shows that the proposed LSTM
model effectively predicts the Nifty50 tend with a mean
error indices value of MAPE: 0.0030, MAE: 0.0065, RMSE:
0.0073, and R­ 2 Score: 0.9640. The training result regarding
Nifty50 tends data is presented pictorially in Fig. 8. The
testing result in the trend of stock market data is depicted
in Fig. 9. The results reveal that the LSTM-based proposed
approach outperforms other baseline approaches.
Moreover, to provide a day-to-day error analysis of testing
data, Tables 5 and 6 provide the actual and forecasted value
of the Nifty 50 index with an average percentage error value.
Advanced Forecasting
Advance forecasting of COVID-19 spread is useful for the
government’s future planning to stop spreading. Also, the
advanced forecasting of the stock index is helpful for the
stockbroker and individual company’s preventive action.
In this regard, this section has presented the result of the
advanced 60 days prediction result. Figure 10 shows the
forecasting result of COVID-19 cases for India for one
month ahead of 21st August 2021 and similarly, the fore-
casting results of Nifty50 two months ahead of 21st August
2021 are presented in Fig. 11. The dotted straight red lines
indicate the lockdown/unlock imposed to date. As the Indian
government has implemented the lockdown with different
criteria, the impact of the lockdown on the stock market has
shown a different trend.
J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478
Fig. 10  Forecasted tend of Nifty 50 for one month
Fig. 11  Forecasted tend of Nifty 50 for two month
Conclusion
The current Pandemic ‘COVID-19’ has not only changed
the lifestyle of individual countrymen but also has shown
a major role in transforming the decision policies of
companies and government. These instantaneous policy
1475
transformations have supplied the uncertainty in the stock
exchange and enhanced the volatility. In this regard, this
work analyzes the influence of increasing COVID-19 cases
with various restrictions (lockdown and partial lockdown)
imposed by Govt. and its impact on the trend of the Indian
stock exchange. The data of the Nifty 50 index under the
13
1476 J. Inst. Eng. India Ser. B (October 2022) 103(5):1459–1478

NSE have been chosen for the experiment. This work has Declaration
used the historical data of Nifty 50 in addition to COVID-
19 Indian data and lockdown durations for predicting the Conflict of interest The authors declare that this manuscript has no
future stock market index. The LSTM-based DL approach conflict of interest with any other published source and has not been
published previously (partly or in full). No data have been fabricated
is used for designing this prediction model. The prediction or manipulated to support the conclusions.
performance is validated through four major evaluation met-
rics such as MAPE, R ­ 2 score RMSE, and MAE. Moreover,
the outcome of the suggested approach has been compared Appendix
with other baseline methods (RR, LR, LASSO, Elastic net,
etc.) to check the effectiveness of the work. The comparative
result indicates that the LSTM-based approach outperforms
others by a significant margin. Furthermore, the outcome Abb Actual meaning
of this study concludes that the increasing rate of Pandemic
LSTM long-short-term-memory
cases and various restrictions on lockdown announcement
CDC Center for disease control
has a significant impact on stock indices. However, a few
NCP novel coronavirus pneumonia
limitations of the proposed work are also found as it takes
SARS-CoV-2 Severe Acute Respiratory Syndrome Corona Virus-2
more space and time for training the network. Also, the
ICTV International Committee on Taxonomy of Viruses
model is sensitive to the randomly generated initial weights
WHO World Health Organization
and always it has been a challenging issue to decide the
RT-PCR Reverse Transcription Polymerase Chain Reaction
optimal values of dropout rate.
CT Computer tomography
ML Machine Learning
DL Deep Learning
Future Scope
ARIMA Autoregressive Integrated Moving Average
SMR Stock market returns
Though several machine learning and deep learning mod-
GRU​ Gated Recurrent Unit
els are well developed to predict the behavior of the stock
NSE National Stock Exchange
market, still few issues are open. The unusual or stochas-
MAPE Mean Absolute Percentage Error
tic nature of the stock market makes the models impera-
RMSE Root Mean Square Error
tive for solving the issue. Especially, extraction of valuable
MAE Mean Absolute Error
features from the acquired data and analysis of their impact
on the behavior of the stock market is a challenging task.
Mainly, the intelligent models should be capable of real-
izing the diversity of prediction variables which are helpful
in forecasting. As a future insight, the proposed model may
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