Exploring the co-movements between stock market returns and COVID-19 pandemic: evidence from wavelet coherence analysis

This paper aims to explore the stock market returns-COVID-19 interdependence via wavelet coherence analysis. The sample comprises the top 15 affected countries by novel coronavirus outbreak, covering each continent over the period 1 January 2020 to 23 July 2020. Using daily stock index returns, COVI...

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Bibliographic Details
Published in:Applied economics letters 2022-09, Vol.29 (15), p.1405-1413
Main Authors: Gherghina, Ştefan Cristian, Simionescu, Liliana Nicoleta
Format: Article
Language:English
Subjects:
Coherence
COVID-19
Economic analysis
Economic theory
Economics
Interdependence
pandemic
Pandemics
Rates of return
SARS-CoV-2
Securities markets
stock market
wavelet coherency
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Summary:This paper aims to explore the stock market returns-COVID-19 interdependence via wavelet coherence analysis. The sample comprises the top 15 affected countries by novel coronavirus outbreak, covering each continent over the period 1 January 2020 to 23 July 2020. Using daily stock index returns, COVID-19 new cases and new deaths, the empirical findings reveal that most of the stock market returns are in phase (cyclical effects) with pandemic variables, whereas a couple of stock index returns exhibit an out-of-phase behaviour (anti-cyclical effects).
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2021.1937034