Structural Break Analysis of Indian IT Sector Stocks Using ARIMA: Evidence from the COVID-19 Pandemic

Paper ID: EIJTEM_2026_13_2_295-305

Author's Name: Kulkarni Parag, Sanjay Azade

Volume: 13

Issue: 2

Year: 2026

Page No: 295-305

Abstract:

Five major NSE-listed Indian information technology companies — Infosys (INFY), HCL Technologies (HCLTECH), Tech Mahindra (TECHM), Wipro (WIPRO), and Tata Consultancy Services (TCS) — form the empirical focus of this investigation into structural breaks in stock price dynamics. The Autoregressive Integrated Moving Average (ARIMA) framework is applied across a decade-long horizon from January 2016 to January 2026. India's national lockdown on March 24, 2020, and the COVID-19 pandemic declared a global health emergency on March 11, 2020, together constitute the primary macro shock examined here. Drawing on the full Box-Jenkins methodology alongside the Chow test, Zivot-Andrews test, and Bai-Perron multiple structural break tests, the paper documents how the dynamics of Indian IT markets shifted permanently during the pandemic. All five closing price series are confirmed as integrated of order one (I(1)) by Augmented Dickey-Fuller, KPSS, and Phillips-Perron tests, with log returns satisfying stationarity under all three criteria. AIC-guided ARIMA model selection produces ARIMA(2,1,2) for INFY and WIPRO, ARIMA(3,1,2) for HCLTECH, ARIMA(2,1,3) for TECHM, and ARIMA(0,1,0) for TCS — the last of these reflecting random walk behaviour in the most liquid stock. At both COVID event dates, Chow test F-statistics are strongly significant across all five stocks (all p

Keywords: ARIMA; Structural Break; COVID-19; NSE India; IT Sector; Stock Price Forecasting; Bai-Perron; Pre-Post COVID Regime

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