TIME-FREQUENCY CO-MOVEMENT BETWEEN COVID-19 AND PAKISTAN’S STOCK MARKET: EMPIRICAL EVIDENCE FROM WAVELET COHERENCE ANALYSIS

Shoaib Ali, Muhammad Naveed (), Aisha Saleem () and Muhammad Wajahat Nasir ()
Additional contact information
Muhammad Naveed: University of South Asia, Pakistan
Aisha Saleem: Lyallpur Business School (Finance Division), GC University, Faisalabad, Pakistan
Muhammad Wajahat Nasir: Air University, Islamabad, Pakistan

Annals of Financial Economics (AFE), 2022, vol. 17, issue 04, 1-17

Abstract: Purpose: This paper aims to analyze the impact of COVID-19 on Pakistan’s traditional (KSE-100) and Islamic (KMI-30) stock market returns.Methodology: This study uses daily data of total cases and deaths of COVID-19 from February 25, 2020 to May 26, 2021. We utilize continuous wavelet transform (CWT), partial wavelet transforms and wavelet coherence transform (WCT) approaches to inspect the impact of COVID-19 on the stock return of KSE-100 and KMI-30 from March 13, 2020 to May 26, 2021.Findings: Contrary to European and several Asian stock markets, these both indexes behave the opposite during COVID-19. This study indicates that COVID-19 influences both these indexes and has a significant impact on both KSE-100 and KMI-30 index in the longer time frame. This study also discloses that with the increasing number of total cases, total death stock market daily return.Practical implications: Investors diversify their portfolio in the desire to achieve maximum return on minimum risk so they diversify across different countries and certain emerging market indexes might provide them a big edge to maximize their return. This diversified strategy can financially support different well-performing emerging markets and save emerging economies. This study enhances the investors trust and confidence to invest in both KSE-100 and KMI-30 due to favorable return of stocks.Originality/value: This examines the co-movement between COVID-19 and the traditional and Islamic stock index of Pakistan whereas, the previous paper only examined the volatility of these indexes during COVID-19. This study also extends the literature that examines how COVID-19 affected the traditional and Islamic stock market indexes.

Keywords: COVID-19; Pakistan stock market; wavelet analysis (search for similar items in EconPapers)
JEL-codes: C58 F37 G15 G32 Q31 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010495222500269
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:afexxx:v:17:y:2022:i:04:n:s2010495222500269

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010495222500269

Access Statistics for this article

Annals of Financial Economics (AFE) is currently edited by Michael McAleer

More articles in Annals of Financial Economics (AFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().