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COVID-19 pandemic waves and global financial markets: Evidence from wavelet coherence analysis

Chiraz Karamti and Olfa Belhassine

Finance Research Letters, 2022, vol. 45, issue C

Abstract: This paper investigates the connectedness between the COVID-19 outbreak and major financial markets within a time-frequency framework. Wavelet coherency analysis unveils perceptual differences between the short-term and longer-term markets’ reactions. In the short-run, we find strong co-movements during the first and second waves of the pandemic. During the first wave, longer-term investors were driven by the belief of future pandemic demise. They make use of time diversification that results in positive returns. The US being the new coronavirus epicenter, we also find that the US COVID-19 fear spills over into the international markets. Gold, SSE, and cryptocurrencies seem safer investments.

Keywords: Covid-19; Wavelets; Co-movement; Stock market; Volatility (search for similar items in EconPapers)
JEL-codes: C58 G01 G11 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002178

DOI: 10.1016/j.frl.2021.102136

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