Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis
COVID-19 has impacted the world economy in an unprecedented manner; the financial markets indicate the same. This spontaneous event landed most of the stock markets into extreme volatility. Large capital outflow and extreme rapid fall were seen among almost all the world financial markets. Though si...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2020-12-01
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| Series: | Investment Management & Financial Innovations |
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| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14314/IMFI_2020_04_Siddiqui.pdf |
| _version_ | 1818560048084811776 |
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| author | Taufeeque Ahmad Siddiqui Haseen Ahmed Mohammad Naushad |
| author_facet | Taufeeque Ahmad Siddiqui Haseen Ahmed Mohammad Naushad |
| author_sort | Taufeeque Ahmad Siddiqui |
| collection | DOAJ |
| description | COVID-19 has impacted the world economy in an unprecedented manner; the financial markets indicate the same. This spontaneous event landed most of the stock markets into extreme volatility. Large capital outflow and extreme rapid fall were seen among almost all the world financial markets. Though similar trend prevailed everywhere during this pandemic, the impact could not be accumulated in absolute terms. Using the data of five stock markets, the current study endeavored to draw an impact of COVID-19 on major stock exchanges. The study uses wavelet coherency analysis on one-year daily data from June 2019 to May 2020 of five stock markets: Bombay Stock Exchange (BSE), London Stock Exchange (LSE), NASDAQ, Tokyo Stock Exchange (Nikkei), and Shanghai Stock Exchange. It is observed that there are time-variation and scale-variation in co-movements between the studied markets. During the crisis, the co-movement concentrates on a short time scale, even for two days. These results have significant implications for international investors, which will help them in portfolio diversification with time elements. All the stock markets under study have indicated co-movement at different time scales and frequencies with varying cross-power levels. However, the concentration of co-movement is found the most between the UK and the US stock markets. It is the least between Japan and the UK. In BSE, co-movement at shorter time scales started late. NASDAQ is leading only in one case, i.e., Shanghai Stock Exchange. BSE is not leading any stock index. LSE is in the leading position in all four cases. It has also been observed that co-movement started to concentrate at a shorter time scale as soon as the impact of the crisis increased. |
| first_indexed | 2024-12-14T00:33:23Z |
| format | Article |
| id | doaj.art-2a3d0eb5a42f47bfb53c2a34d82371c5 |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-12-14T00:33:23Z |
| publishDate | 2020-12-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-2a3d0eb5a42f47bfb53c2a34d82371c52022-12-21T23:24:45ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582020-12-0117420221410.21511/imfi.17(4).2020.1914314Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysisTaufeeque Ahmad Siddiqui0https://orcid.org/0000-0002-3149-2234Haseen Ahmed1https://orcid.org/0000-0002-8721-6132Mohammad Naushad2https://orcid.org/0000-0003-4421-3422Dr., Assistant Professor, Centre for Management Studies, Jamia Millia Islamia, New DelhiResearch Scholar, Centre for Management Studies, Jamia Millia Islamia, New DelhiDr., Assistant Professor, College of Business Administration- Alkharj, Prince Sattam Bin Abdulaziz UniversityCOVID-19 has impacted the world economy in an unprecedented manner; the financial markets indicate the same. This spontaneous event landed most of the stock markets into extreme volatility. Large capital outflow and extreme rapid fall were seen among almost all the world financial markets. Though similar trend prevailed everywhere during this pandemic, the impact could not be accumulated in absolute terms. Using the data of five stock markets, the current study endeavored to draw an impact of COVID-19 on major stock exchanges. The study uses wavelet coherency analysis on one-year daily data from June 2019 to May 2020 of five stock markets: Bombay Stock Exchange (BSE), London Stock Exchange (LSE), NASDAQ, Tokyo Stock Exchange (Nikkei), and Shanghai Stock Exchange. It is observed that there are time-variation and scale-variation in co-movements between the studied markets. During the crisis, the co-movement concentrates on a short time scale, even for two days. These results have significant implications for international investors, which will help them in portfolio diversification with time elements. All the stock markets under study have indicated co-movement at different time scales and frequencies with varying cross-power levels. However, the concentration of co-movement is found the most between the UK and the US stock markets. It is the least between Japan and the UK. In BSE, co-movement at shorter time scales started late. NASDAQ is leading only in one case, i.e., Shanghai Stock Exchange. BSE is not leading any stock index. LSE is in the leading position in all four cases. It has also been observed that co-movement started to concentrate at a shorter time scale as soon as the impact of the crisis increased.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14314/IMFI_2020_04_Siddiqui.pdfco-movement analysisCOVID-19investment managementportfolio managementstock marketwavelet analysis |
| spellingShingle | Taufeeque Ahmad Siddiqui Haseen Ahmed Mohammad Naushad Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis Investment Management & Financial Innovations co-movement analysis COVID-19 investment management portfolio management stock market wavelet analysis |
| title | Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis |
| title_full | Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis |
| title_fullStr | Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis |
| title_full_unstemmed | Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis |
| title_short | Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis |
| title_sort | diffusion of covid 19 impact across selected stock markets a wavelet coherency analysis |
| topic | co-movement analysis COVID-19 investment management portfolio management stock market wavelet analysis |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14314/IMFI_2020_04_Siddiqui.pdf |
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