Interdependencies of COVID-19 and Financial Equity Markets: A Case of Five Most Affected COVID-19 Countries—A Wavelet Transformed Coherence Approach

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2024-07-30 DOI:10.1007/s10690-024-09484-5
Muhammad Iftikhar ul Husnain, Md Shabbir Alam, Nasrullah Nasrullah, Muhammad Aamir Khan
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Abstract

This study applied novel wavelet techniques to daily stock returns and COVID-19 case data from January 22, 2020, to March 31, 2022, for the five most COVID-affected countries (US, India, Brazil, France, and Turkey). We discovered that pandemic cases have a negative effect on stock returns across all nations. All countries except Turkey’s equity market returns and COVID-19 cases exhibit specific short-run and consistent long-run coherence. This study contributes to the existing literature about the financial implications of the pandemic. The current study empirically examine the positive/negative, long/short-run, and leading/lagging dependence of COVID-19 and financial equity markets of the top 5 COVID-19 affected countries. The current findings reveal particularized short-run and consistent long-run coherence among COVID-19 cases and equity market returns of all the sample countries except Turkey, and specified short-run and consistent long-run coherence of USA COVID-19 cases with Brazil, France, India, and Turkey stock markets returns, respectively. Furthermore, this study will augment the knowledge of the policy maker to ward off crises created by any future pandemic by their understanding of the stock market reaction to such unwarranted situations. This study will also guide the investment professional in making the right decision to mitigate risks arising from the pandemic.

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COVID-19 与金融股票市场的相互依存关系:受 COVID-19 影响最大的五个国家的案例--小波变换一致性方法
本研究将新型小波技术应用于 2020 年 1 月 22 日至 2022 年 3 月 31 日受 COVID 影响最严重的五个国家(美国、印度、巴西、法国和土耳其)的每日股票回报率和 COVID-19 病例数据。我们发现,大流行病对所有国家的股票回报率都有负面影响。除土耳其的股票市场回报率和 COVID-19 案例外,所有国家的股票市场回报率都表现出特定的短期一致性和一致的长期一致性。本研究为有关大流行病金融影响的现有文献做出了贡献。本研究以实证方法检验了 COVID-19 与受 COVID-19 影响最大的 5 个国家的金融股票市场之间的正向/负向、长期/短期以及领先/滞后依赖关系。目前的研究结果表明,除土耳其外,COVID-19 案例与所有样本国家的股票市场收益之间存在特定的短期一致性和一致的长期一致性;美国 COVID-19 案例与巴西、法国、印度和土耳其股票市场收益之间分别存在特定的短期一致性和一致的长期一致性。此外,本研究还将增加决策者的知识,使其了解股市对此类不必要情况的反应,从而抵御未来任何流行病造成的危机。本研究还将指导投资专业人士做出正确决策,以降低大流行病带来的风险。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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