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
{"title":"Interdependencies of COVID-19 and Financial Equity Markets: A Case of Five Most Affected COVID-19 Countries—A Wavelet Transformed Coherence Approach","authors":"Muhammad Iftikhar ul Husnain, Md Shabbir Alam, Nasrullah Nasrullah, Muhammad Aamir Khan","doi":"10.1007/s10690-024-09484-5","DOIUrl":null,"url":null,"abstract":"<p>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.</p>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"1 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2024-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10690-024-09484-5","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0

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.

Abstract Image

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
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
期刊最新文献
Do Bitcoin Shocks Dominate Other Cryptocurrencies? An Examination Through GARCH Based Dynamic Models Credit Scorecards & Forecasting Default Events – A Novel Story of Non-financial Listed Companies in Pakistan Cryptocurrency as a Slice in Investment Portfolio: Identifying Critical Antecedents and Building Taxonomy for Emerging Economy Exploring Herding Instincts Through the Lens of Adaptive Market Hypothesis: Insights from a Frontier Market In the Era of 4th Industrial Revolution- Are Technology-Based Assets and Green Equity Index Safe Investments with Developed and Emerging Market Index?
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1