Co-movement between Covid-19 and G20 stock market returns: A time and frequency analysis
In our study, we employ DCC-GARCH and Wavelet coherence analysis to examine the co-movement between global covid-19 indicators (cases, recoveries and deaths) and stock returns of main equity markets in G20 countries using daily data spanning between February 2, 2020 and August 28, 2021. Our empirica...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-03-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844023014020 |