Co-movement between COVID-19, oil price and American stock market during 2020: Fresh investigation from partial and multiple wavelet methods

Magdalena Radulescu, Amar Rao, Buhari Doğan () and Shujaat Abbas

Resources Policy, 2024, vol. 95, issue C

Abstract: The pandemic has brought economic and social challenges to society, policymakers, financial market investors and firms. The current study aims to shed light on the financial aspects of COVID-19 during the first wave in 2020. In doing so, the study aims to explore the association between COVID-19 cases, oil prices, and the stock market returns (Standard & Poor's). In this paper, the authors use the daily new cases of COVID-19, oil price and stock market return from 21 January 2020 to 10 April 2020. To check the nexus between studied factors, we apply Wavelet Coherence, Partial Wavelet Coherence and Multiple Wavelet Coherence methods. The graphical empirics of Wavelet Coherence Methods mentioned interesting outcomes; (i) COVID-19 and oil price tend to move in the same direction, with COVID-19 leading, (ii) COVID-19 affect stock market returns, and (iii) oil price and stock market returns have strong co-movement.

Keywords: COVID-19; Oil price; Stock market returns; Wavelet Coherence; Standard & Poor's (search for similar items in EconPapers)
JEL-codes: C91 D12 H54 M10 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:95:y:2024:i:c:s0301420724005610

DOI: 10.1016/j.resourpol.2024.105194

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