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

Ştefan Gherghina and Liliana Nicoleta Simionescu

Applied Economics Letters, 2022, vol. 29, issue 15, 1405-1413

Abstract: 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).

Date: 2022
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DOI: 10.1080/13504851.2021.1937034

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