Co-movement of the Shanghai Stock Exchange and COVID-19 in China: Evidence from Wavelet Coherence

Hasan Güngör and Dervis Kirikkaleli

A chapter in New Dynamics in Banking and Finance, 2022, pp 143-155 from Springer

Abstract: Abstract This paper investigates the time-frequency dependency of the Shanghai Stock Exchange Composite Index (SSECI) and COVID-19 cases and deaths in China and around the world using the wavelet coherence approach. The findings indicate the following: (i) both domestic and global COVID-19 cases and death tolls have strong power for explaining the stock market index, and as expected, the effect of both domestic and global COVID-19 cases and death tolls on the stock market index is negative; (ii) we also captured a significant movement in the stock market index and the number of COVID-19 cases at different periods and different frequencies; the correlation between COVID-19 cases in China and the SSECI is stronger than the correlation between global COVID-19 cases and the SSECI.

Keywords: Stock market; COVID-19; China (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-93725-6_8

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DOI: 10.1007/978-3-030-93725-6_8

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