COVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India

Veli Yilanci and Uğur Pata ()

International Journal of Emerging Markets, 2022, vol. 18, issue 11, 4968-4986

Abstract: Purpose - This study aims to investigate the impact of the rise in coronavirus disease 2019 (COVID-19) cases on stock prices, exchange rates and sovereign bond yields in both Brazil and India. Design/methodology/approach - The authors employ the wavelet transform coherence (WTC) and continuous wavelet transform (CWT) techniques on daily data from March 17, 2020 to May 8, 2021. Findings - The findings show that COVID-19 has no impact on exchange rates but slightly increases sovereign bond yields from 2021 onwards. In contrast, the effect of COVID-19 on stock prices is quite high in both countries. There is a considerable consistency between COVID-19 cases and stock prices across different time–frequency dimensions. The rise in COVID-19 cases has an increasing effect on stock prices in Brazil and India, especially in the high-frequency ranges. Originality/value - As far as the authors know, no prior study has simultaneously analyzed the effects of the COVID-19 pandemic on exchange rates, stock prices and sovereign bonds in Brazil and India.

Keywords: COVID-19; Exchange rates; Stock prices; Sovereign bonds; Wavelet analysis (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:ijoemp:ijoem-09-2021-1465

DOI: 10.1108/IJOEM-09-2021-1465

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