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

  • 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, Sovereign bonds, Stock prices, Wavelet analysis
  • Hatay Mustafa Kemal 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.