Decoupling Between the Energy and Semiconductor Sectors During the Pandemic: New Evidence from Wavelet Analysis

Figures & data

Figure 1. Market capitalization of the semiconductor and energy sectors, Jan 2020 - Jun 2021.

Table 1. Descriptive statistics for the MCI and the MSCI Semiconductor and Energy indices.

	MCI	MSCI World Energy	MSCI World Energy Voltatility	MSCI World Semiconductor	MSCI World Semiconductor Voltatility
Mean	67.71	150.17	32.09	603.56	27.67
Median	73.12	144.23	24.46	573.58	22.25
Maximum	82.95	214.98	156.8	828.21	126.59
Minimum	0.09	90.26	4.37	339.5	5.65
Std.Dev.	16.71	26.46	25.48	138.9	18.91
Skewness	−2.71	0.5	2.72	0.17	2.76
Kurtosis	9.9	2.68	11.04	1.7	12.43
Jarque-Bera	1195	17	1471	28	1861
Probability	0	0	0	0	0
Observation	374	374	374	374	374

The table shows the descriptive statistics for the MCI and the MSCI World Semiconductor and Energy indices for Jan 2020-Jun 2021.

Table 2. Correlation Matrix.

	MCI	MSCI World Energy	MSCI World Semiconductor	MSCI World Energy Volatility
MCI	1.00
MSCI World Energy	−0.76	1.00
	(−22.28)	—–
MSCI World Semiconductor	0.19	0.32	1.00
	(3.72)	(6.55)	—–
MSCI World Energy Volatility	0.33	−0.54	−0.49	1.00
	(6.81)	(−12.42)	(−10.83)	—–
MSCI World Semiconductor Volatility	0.21	−0.36	−0.43	0.85
	(4.28)	(−7.55)	(−9.11)	(31.52)

This table shows the correlation matrix along with the t-stats (in parentheses). All values are statistically significant at 1%.

Figure 2. Wavelet analysis: the MCI versus the MSCI World Semiconductor index (Semi).

Figure 3. Wavelet analysis: the MCI vs. the MSCI World Semiconductor index volatility (S_vol).

Figure 4. Wavelet analysis: the MCI versus the MSCI World Energy index (Energy).

Figure 5. Wavelet analysis: the MCI vs. the MSCI World Energy index volatility (E_vol).

Figure 6. Wavelet analysis: the MSCI World Semiconductor (Semi) vs. World Energy (Energy) indices.

Figure 7. Wavelet analysis: Semiconductor index volatility (S_vol) vs. Energy index volatility (E_vol).