COVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India.
In: International Journal of Emerging Markets, Jg. 18 (2023-12-01), Heft 11, S. 4968-4986
academicJournal
Zugriff:
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. [ABSTRACT FROM AUTHOR]
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Titel: |
COVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India.
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Autor/in / Beteiligte Person: | Yilanci, Veli ; Pata, Ugur Korkut |
Zeitschrift: | International Journal of Emerging Markets, Jg. 18 (2023-12-01), Heft 11, S. 4968-4986 |
Veröffentlichung: | 2023 |
Medientyp: | academicJournal |
ISSN: | 1746-8809 (print) |
DOI: | 10.1108/IJOEM-09-2021-1465 |
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