Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis
This study examined the co-movement of ASEAN stock markets, COVID-19 cases/deaths, and the United States (US) stock market using wavelet coherence analysis. The findings revealed that the US stock market remained significantly dominant and was more influential to the ASEAN market. Nevertheless, cohe...
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| Format: | Article |
| Language: | English English |
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Penerbit UPM
2022
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| Online Access: | https://eprints.ums.edu.my/id/eprint/33597/1/Co-Movement%20of%20Covid-19%2C%20The%20S%26P%20500%20and%20Stock%20Markets%20in%20ASEAN_%20A%20Wavelet%20Coherence%20Analysis.pdf https://eprints.ums.edu.my/id/eprint/33597/2/Co-Movement%20of%20Covid-19%2C%20The%20S%26P%20500%20and%20Stock%20Markets%20in%20ASEAN_%20A%20Wavelet%20Coherence%20Analysis%20_ABSTRACT.pdf |
| _version_ | 1796911431033028608 |
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| author | Lee, Zhun Hoong Wong, Hock Tsen Saizal Pinjaman Kasim Md. Mansur |
| author_facet | Lee, Zhun Hoong Wong, Hock Tsen Saizal Pinjaman Kasim Md. Mansur |
| author_sort | Lee, Zhun Hoong |
| collection | UMS |
| description | This study examined the co-movement of ASEAN stock markets, COVID-19 cases/deaths, and the United States (US) stock market using wavelet coherence analysis. The findings revealed that the US stock market remained significantly dominant and was more influential to the ASEAN market. Nevertheless, coherence between the ASEAN stock markets and COVID-19 cases/deaths were also found but was limited during the crisis, and the impact of the number of deaths was lower than the number of cases. The results presented a significant disparity in the co-movements of each country. Such a phenomenon is expected as individual countries' economies tend to be more divergent during crises. Through wavelet analysis, the irregularity and uncertainty of co-movements can be detected more clearly and accurately with the interpretation of a heatmap. |
| first_indexed | 2024-03-06T03:18:42Z |
| format | Article |
| id | ums.eprints-33597 |
| institution | Universiti Malaysia Sabah |
| language | English English |
| last_indexed | 2024-03-06T03:18:42Z |
| publishDate | 2022 |
| publisher | Penerbit UPM |
| record_format | dspace |
| spelling | ums.eprints-335972022-08-02T01:46:26Z https://eprints.ums.edu.my/id/eprint/33597/ Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis Lee, Zhun Hoong Wong, Hock Tsen Saizal Pinjaman Kasim Md. Mansur HB1-3840 Economic theory. Demography HG4501-6051 Investment, capital formation, speculation This study examined the co-movement of ASEAN stock markets, COVID-19 cases/deaths, and the United States (US) stock market using wavelet coherence analysis. The findings revealed that the US stock market remained significantly dominant and was more influential to the ASEAN market. Nevertheless, coherence between the ASEAN stock markets and COVID-19 cases/deaths were also found but was limited during the crisis, and the impact of the number of deaths was lower than the number of cases. The results presented a significant disparity in the co-movements of each country. Such a phenomenon is expected as individual countries' economies tend to be more divergent during crises. Through wavelet analysis, the irregularity and uncertainty of co-movements can be detected more clearly and accurately with the interpretation of a heatmap. Penerbit UPM 2022 Article PeerReviewed text en https://eprints.ums.edu.my/id/eprint/33597/1/Co-Movement%20of%20Covid-19%2C%20The%20S%26P%20500%20and%20Stock%20Markets%20in%20ASEAN_%20A%20Wavelet%20Coherence%20Analysis.pdf text en https://eprints.ums.edu.my/id/eprint/33597/2/Co-Movement%20of%20Covid-19%2C%20The%20S%26P%20500%20and%20Stock%20Markets%20in%20ASEAN_%20A%20Wavelet%20Coherence%20Analysis%20_ABSTRACT.pdf Lee, Zhun Hoong and Wong, Hock Tsen and Saizal Pinjaman and Kasim Md. Mansur (2022) Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis. International Journal of Economics and Management, 16. pp. 119-134. ISSN 1823-836X http://www.ijem.upm.edu.my/vol16no1/8.%20Co-Movement%20of%20Covid-19.pdf |
| spellingShingle | HB1-3840 Economic theory. Demography HG4501-6051 Investment, capital formation, speculation Lee, Zhun Hoong Wong, Hock Tsen Saizal Pinjaman Kasim Md. Mansur Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis |
| title | Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis |
| title_full | Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis |
| title_fullStr | Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis |
| title_full_unstemmed | Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis |
| title_short | Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis |
| title_sort | co movement of covid 19 the s p 500 and stock markets in asean a wavelet coherence analysis |
| topic | HB1-3840 Economic theory. Demography HG4501-6051 Investment, capital formation, speculation |
| url | https://eprints.ums.edu.my/id/eprint/33597/1/Co-Movement%20of%20Covid-19%2C%20The%20S%26P%20500%20and%20Stock%20Markets%20in%20ASEAN_%20A%20Wavelet%20Coherence%20Analysis.pdf https://eprints.ums.edu.my/id/eprint/33597/2/Co-Movement%20of%20Covid-19%2C%20The%20S%26P%20500%20and%20Stock%20Markets%20in%20ASEAN_%20A%20Wavelet%20Coherence%20Analysis%20_ABSTRACT.pdf |
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