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).

中文翻译：

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探索股票市场回报与 COVID-19 大流行之间的联动：来自小波相干分析的证据

摘要

本文旨在通过小波相干分析探索股票市场收益-COVID-19 的相互依赖关系。样本包括 2020 年 1 月 1 日至 2020 年 7 月 23 日期间受新型冠状病毒爆发影响的前 15 个国家/地区。根据每日股票指数回报、COVID-19 新病例和新死亡人数，实证结果显示，大多数股票市场回报与大流行变量是同相的（周期性效应），而几个股票指数回报表现出异相行为（反周期效应）。