The impact of COVID-19 on the G7 stock markets: A time-frequency analysis |
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| Institution: | 1. Institute of Business Research, University of Economics Ho Chi Minh City, Viet Nam;2. South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation;3. PNU Business School, Pusan National University, Busan, Republic of Korea;4. UniSA Business, University of South Australia, Adelaide, Australia;5. Independent Researcher;6. Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Viet Nam |
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| Abstract: | We examine the co-movement of the G7 stock returns with the numbers of confirmed COVID-19 cases and causalities based on daily data from December 31, 2019 to November 13, 2020. We employ the wavelet coherence approach to measure the impact of the numbers of confirmed cases and deaths on the G7 stock markets. Our findings reveal that both the number of confirmed COVID-19 cases and the number of deaths exhibit strong coherence with the G7 equity markets, although we find heterogeneous results for the Canadian and Japanese equity markets, in which the numbers of COVID-19 cases and the deaths exhibit only a weak relationship. This evidence is more pronounced in the long-term horizon rather than the short-term horizon. Moreover, the lead-lag relationship entails a mix of lead-lag relations across different countries. We present the implications of these findings for both policymakers and the international investment community. |
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| Keywords: | COVID-19 Wavelet coherence approach Comovement G7 stock markets Lead-lag relationship |
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