COVID-19 pandemic, economic indicators and sectoral returns: evidence from US and China

References

• Aguiar-Conraria, L., & Soares, M. J. (2011). Oil and the macroeconomy: Using wavelets to analyze old issues. Empirical Economics, 40(3), 645–655. https://doi.org/10.1007/s00181-010-0371-x
   Web of Science ®Google Scholar
• Al Nasser, O. M., & Hajilee, M. (2016). Integration of emerging stock markets with global stock markets. Research in International Business and Finance, 36, 1–12. https://doi.org/10.1016/j.ribaf.2015.09.025
   Web of Science ®Google Scholar
• Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the covid-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326. https://doi.org/10.1016/j.jbef.2020.100326
   PubMed Web of Science ®Google Scholar
• Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (covid-19)—an epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. https://doi.org/10.1016/j.jbef.2020.100341
   PubMed Web of Science ®Google Scholar
• Arif, M., Naeem, M. A., Hasan, M., M Alawi, S., & Taghizadeh-Hesary, F. (2021). Pandemic crisis versus global financial crisis: Are Islamic stocks a safe-haven for G7 markets?. Economic Research-Ekonomska Istraživanja, 1–21. https://doi.org/10.1080/1331677X.2021.1910532
   Google Scholar
• Boubaker, S., Jouini, J., & Lahiani, A. (2016). Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis. The Quarterly Review of Economics and Finance, 61, 14–28. https://doi.org/10.1016/j.qref.2015.11.001
   Web of Science ®Google Scholar
• Caballero, J., Fernández, A., & Park, J. (2019). On corporate borrowing, credit spreads and economic activity in emerging economies: An empirical investigation. Journal of International Economics, 118, 160–178. https://doi.org/10.1016/j.jinteco.2018.11.010
   Web of Science ®Google Scholar
• Chatziantoniou, I., Duffy, D., & Filis, G. (2013). Stock market response to monetary and fiscal policy shocks: Multi-country evidence. Economic Modelling, 30, 754–769. https://doi.org/10.1016/j.econmod.2012.10.005
   Web of Science ®Google Scholar
• Chaudhry, N., Roubaud, D., Akhter, W., & Shahbaz, M. (2018). Impact of terrorism on stock markets: Empirical evidence from the SAARC region. Finance Research Letters, 26, 230–234. https://doi.org/10.1016/j.frl.2018.02.024
   Web of Science ®Google Scholar
• Chen, C.-D., Chen, C.-C., Tang, W.-W., & Huang, B.-Y. (2009). The positive and negative impacts of the SARS outbreak: A case of the Taiwan industries. The Journal of Developing Areas, 43(1), 281–293.
   Google Scholar
• Chiang, T. C., Jeon, B. N., & Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and Finance, 26(7), 1206–1228. https://doi.org/10.1016/j.jimonfin.2007.06.005
   Web of Science ®Google Scholar
• Cho, J. H., & Parhizgari, A. M. (2009). East Asian financial contagion under DCC-GARCH. International Journal of Banking and Finance, 6(1), 17–30.
   Google Scholar
• Das, S., Demirer, R., Gupta, R., & Mangisa, S. (2019). The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis. Structural Change and Economic Dynamics, 50, 132–147. https://doi.org/10.1016/j.strueco.2019.05.007
   Web of Science ®Google Scholar
• Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339–350. https://doi.org/10.1198/073500102288618487
   Web of Science ®Google Scholar
• Fama, E. F. (1990). Stock returns, expected returns, and real activity. The Journal of Finance, 45(4), 1089–1108. https://doi.org/10.1111/j.1540-6261.1990.tb02428.x
   Web of Science ®Google Scholar
• Farid, S., Kayani, G. M., Naeem, M. A., & Shahzad, S. J. H. (2021). Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic. Resources Policy, 72(102101), 102101. https://doi.org/10.1016/j.resourpol.2021.102101
   Web of Science ®Google Scholar
• Gong, Y., Li, K. X., Chen, S.-L., & Shi, W. (2020). Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war. Transportation Research Part E: Logistics and Transportation Review, 136, 101900. https://doi.org/10.1016/j.tre.2020.101900
   Web of Science ®Google Scholar
• Goodell, J. W. (2020). Covid-19 and finance: Agendas for future research. Finance Research Letters, 35, 101512. https://doi.org/10.1016/j.frl.2020.101512
   PubMed Web of Science ®Google Scholar
• Grinsted, A., Moore, J. C., & Jevrejeva, S. (2004). Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics, 11(5/6), 561–566. https://doi.org/10.5194/npg-11-561-2004
   Web of Science ®Google Scholar
• Haddad, M., Lim, J. J., Pancaro, C., & Saborowski, C. (2013). Trade openness reduces growth volatility when countries are well diversified. Canadian Journal of Economics/Revue Canadienne D'économique, 46(2), 765–790. https://doi.org/10.1111/caje.12031
   Web of Science ®Google Scholar
• Ichev, R., & Marinč, M. (2018). Stock prices and geographic proximity of information: Evidence from the Ebola outbreak. International Review of Financial Analysis, 56, 153–166. https://doi.org/10.1016/j.irfa.2017.12.004
   PubMed Web of Science ®Google Scholar
• Iqbal, N., Fareed, Z., Shahzad, F., He, X., Shahzad, U., & Lina, M. (2020). Nexus between covid-19, temperature and exchange rate in Wuhan city: New findings from partial and multiple wavelet coherence. The Science of the Total Environment, 729, 138916. https://doi.org/10.1016/j.scitotenv.2020.138916
   PubMed Web of Science ®Google Scholar
• Li, Y., Zhang, Y., Zhao, X., & Tian, X. (2018). The influence of US and China’s CO2 transfer embodied in final consumption on global emission. Energy Procedia., 152, 835–840. https://doi.org/10.1016/j.egypro.2018.09.187
   Google Scholar
• Mirza, N., Hasnaoui, J. A., Naqvi, B., & Rizvi, S. K. A. (2020a). The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak. Swiss Journal of Economics and Statistics, 156(1), 1–7. https://doi.org/10.1186/s41937-020-00066-6
   Google Scholar
• Mirza, N., Naqvi, B., Rahat, B., & Rizvi, S. K. A. (2020b). Price reaction, volatility timing and funds’ performance during Covid-19. Finance Research Letters, 36(101657), 101657. https://doi.org/10.1016/j.frl.2020.101657
   PubMed Web of Science ®Google Scholar
• Mirza, N., Rahat, B., Naqvi, B., & Rizvi, S. K. A. (2020c). Impact of Covid-19 on corporate solvency and possible policy responses in the EU. The Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2020.09.002
   PubMedGoogle Scholar
• Naeem, M. A., Bouri, E., Peng, Z., Shahzad, S. J. H., & Vo, X. V. (2021a). Asymmetric efficiency of cryptocurrencies during COVID19. Physica A: Statistical Mechanics and Its Applications, 565, 125562. https://doi.org/10.1016/j.physa.2020.125562
   Web of Science ®Google Scholar
• Naeem, M. A., Farid, S., Ferrer, R., & Shahzad, S. J. H. (2021b). Comparative efficiency of green and conventional bonds pre-and during COVID-19: An asymmetric multifractal detrended fluctuation analysis. Energy Policy, 153, 112285. https://doi.org/10.1016/j.enpol.2021.112285
   Web of Science ®Google Scholar
• Okorie, D. I., & Lin, B. (2020). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, 38, 101640. https://doi.org/10.1016/j.frl.2020.101640.
   PubMed Web of Science ®Google Scholar
• Pan, L., & Mishra, V. (2018). Stock market development and economic growth: Empirical evidence from China. Economic Modelling, 68, 661–673. https://doi.org/10.1016/j.econmod.2017.07.005
   Web of Science ®Google Scholar
• Qureshi, F., Khan, H. H., Rehman, I. U., Ghafoor, A., & Qureshi, S. (2019). Mutual fund flows and investors' expectations in BRICS economies: Implications for international diversification. Economic Systems, 43(1), 130–150. https://doi.org/10.1016/j.ecosys.2018.09.003
   Web of Science ®Google Scholar
• Qureshi, F., Qureshi, S., Shah, S. S., Rehman, I. U., & Shahzad, F. (2020a). Further evidence on co-movement between equity funds and business cycle variables in BRICS: A wavelet analysis. Borsa Istanbul Review, 20, S93–S102. https://doi.org/10.1016/j.bir.2020.10.011
   Web of Science ®Google Scholar
• Qureshi, S., Qureshi, F., Soomro, A. B., Chandio, F. H., Shah, S. S., & Rehman, I. U. (2020b). Exchange rate risk and sectoral returns: A wavelet-based MRA-EDCC GARCH analysis. Communications in Statistics-Theory and Methods, 1–29. https://doi.org/10.1080/03610926.2020.1772304
   Web of Science ®Google Scholar
• Rapach, D. E., Strauss, J. K., & Zhou, G. (2013). International stock return predictability: What is the role of the United States? The Journal of Finance, 68(4), 1633–1662. https://doi.org/10.1111/jofi.12041
   Web of Science ®Google Scholar
• Rizvi, S. K. A. (2020). The impact of COVID-19 on valuations of non-financial European firms. SSRN 3705462.
   Google Scholar
• Rizvi, S. K. A., Mirza, N., Naqvi, B., & Rahat, B. (2020a). Covid-19 and asset management in EU: A preliminary assessment of performance and investment styles. Journal of Asset Management, 21(4), 281–291. https://doi.org/10.1057/s41260-020-00172-3
   Web of Science ®Google Scholar
• Rizvi, S. K. A., Yarovaya, L., Mirza, N., & Naqvi, B. (2020b). The impact of COVID-19 on valuations of non-financial European firms. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3705462
   Google Scholar
• Shahzad, S. J. H., Naeem, M. A., Peng, Z., & Bouri, E. (2021). Asymmetric volatility spillover among Chinese sectors during COVID-19. International Review of Financial Analysis, 75, 101754. https://doi.org/10.1016/j.irfa.2021.101754
   PubMed Web of Science ®Google Scholar
• Shanaev, S., & Ghimire, B. (2019). Is all politics local? Regional political risk in Russia and the panel of stock returns. Journal of Behavioral and Experimental Finance, 21, 70–82. https://doi.org/10.1016/j.jbef.2018.11.002
   Web of Science ®Google Scholar
• Sharif, A., Aloui, C., & Yarovaya, L. (2020). Covid-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496. https://doi.org/10.1016/j.irfa.2020.101496
   PubMed Web of Science ®Google Scholar
• Smirlock, M., & Yawitz, J. (1985). Asset returns, discount rate changes, and market efficiency. The Journal of Finance, 40 (4), 1141–1158. https://doi.org/10.1111/j.1540-6261.1985.tb02368.x
   Web of Science ®Google Scholar
• Soares, M. J. (2011). Business cycle synchronization and the euro: A wavelet analysis. Journal of Macroeconomics, 33(3), 477–489.
   Web of Science ®Google Scholar
• Sohrabi, C., Alsafi, Z., O’Neill, N., Khan, M., Kerwan, A., Al-Jabir, A., Iosifidis, C., & Agha, R. (2020). World health organization declares global emergency: A review of the 2019 novel coronavirus (covid-19). International Journal of Surgery (London, England), 76, 71–76. https://doi.org/10.1016/j.ijsu.2020.02.034
   PubMed Web of Science ®Google Scholar
• Sugimoto, K., Matsuki, T., & Yoshida, Y. (2014). The global financial crisis: An analysis of the spillover effects on African stock markets. Emerging Markets Review, 21, 201–233. https://doi.org/10.1016/j.ememar.2014.09.004
   Web of Science ®Google Scholar
• World Health Organization. (2020). Coronavirus disease (COVID-19) outbreak situation. Retrieved from https://www.who.int/emergencies/diseases/novelcoronavirus-2019
   Google Scholar
• Yarovaya, L. (2020a). COVID-19 Pandemic and Stress Testing the Eurozone Credit Portfolios. SSRN 3705474.
   Google Scholar
• Yarovaya, L. (2020b). The resilience of Islamic Equity Funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing. Investment Styles and Volatility Timing, November 25.
   Google Scholar
• Yarovaya, L., Mirza, N., Abaidi, J., & Hasnaoui, A. (2021). Human capital efficiency and equity funds’ performance during the COVID-19 pandemic. International Review of Economics & Finance, 71, 584–591. https://doi.org/10.1016/j.iref.2020.09.017
   Web of Science ®Google Scholar
• Yarovaya, L., Mirza, N., Rizvi, S. K. A., & Naqvi, B. (2020a). COVID-19 Pandemic and Stress Testing the Eurozone Credit Portfolios. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3705474.
   Google Scholar
• Yarovaya, L., Mirza, N., Rizvi, S. K. A., Saba, I., & Naqvi, B. (2020b). The Resilience of Islamic Equity Funds during COVID-19: Evidence from Risk Adjusted Performance, Investment Styles and Volatility Timing. Investment Styles and Volatility Timing. Retrieved 25 November, 2020, from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3737689.
   Google Scholar
• Zhang, D., Guo, Y., Wang, Z., & Chen, Y. (2020a). The impact of US monetary policy on Chinese enterprises' R&D investment. Finance Research Letters, 35, 101301. https://doi.org/10.1016/j.frl.2019.09.016
   Web of Science ®Google Scholar
• Zhang, D., Hu, M., & Ji, Q. (2020b). Financial markets under the global pandemic of covid-19. Finance Research Letters, 36, 101528. https://doi.org/10.1016/j.frl.2020.101528
   PubMed Web of Science ®Google Scholar
• Zhang, D., Lei, L., Ji, Q., & Kutan, A. M. (2019). Economic policy uncertainty in the US and China and their impact on the global markets. Economic Modelling, 79, 47–56. https://doi.org/10.1016/j.econmod.2018.09.028
   Web of Science ®Google Scholar