COVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India

YILANCI V., PATA U. K.

INTERNATIONAL JOURNAL OF EMERGING MARKETS, cilt.18, sa.11, ss.4968-4986, 2023 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 18 Sayı: 11
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1108/ijoem-09-2021-1465
  • Dergi Adı: INTERNATIONAL JOURNAL OF EMERGING MARKETS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, ABI/INFORM, INSPEC
  • Sayfa Sayıları: ss.4968-4986
  • Anahtar Kelimeler: COVID-19, Exchange rates, Stock prices, Sovereign bonds, Wavelet analysis, MARKET, TRANSFORM, OUTBREAK
  • Çanakkale Onsekiz Mart Üniversitesi Adresli: Evet

Özet

Purpose This study aims to investigate the impact of the rise in coronavirus disease 2019 (COVID-19) cases on stock prices, exchange rates and sovereign bond yields in both Brazil and India. Design/methodology/approach The authors employ the wavelet transform coherence (WTC) and continuous wavelet transform (CWT) techniques on daily data from March 17, 2020 to May 8, 2021. Findings The findings show that COVID-19 has no impact on exchange rates but slightly increases sovereign bond yields from 2021 onwards. In contrast, the effect of COVID-19 on stock prices is quite high in both countries. There is a considerable consistency between COVID-19 cases and stock prices across different time-frequency dimensions. The rise in COVID-19 cases has an increasing effect on stock prices in Brazil and India, especially in the high-frequency ranges. Originality/value As far as the authors know, no prior study has simultaneously analyzed the effects of the COVID-19 pandemic on exchange rates, stock prices and sovereign bonds in Brazil and India.