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

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).

KEYWORDS:

• COVID-19
• SARS-CoV-2
• pandemic
• stock market
• wavelet coherency

JEL CLASSIFICATION:

• C50
• G15

Disclosure statement

No potential conflict of interest was reported by the author(s).