Original scientific paper
https://doi.org/10.1080/1331677X.2021.1934508
COVID-19 pandemic, economic indicators and sectoral returns: evidence from US and China
Fiza Qureshi
Abstract
ABSTRACT
This study examines time-frequency connectedness between
COVID-19 pandemic and economic indicators through a continuous wavelet transformation approach in the US and China. The
study also assesses the dynamic conditional correlations (DCCs)
between macroeconomic indicators and domestic sectoral returns
during the pandemic. The findings display higher coherencies
between COVID-19 and long-term predictive economic indicators
in China compared to the US. Moreover, the results indicate that
the stock market spillovers are more pronounced on domestic
sectoral returns than other economic indicators during the
COVID-19 outburst. Besides, the findings exhibit that exchange
market instability has significant negative repercussions on the
domestic sectors in China, however, weaker correlations are discerned between exchange market and domestic sectors in the
US. The findings offer several policy implications and endorsements for portfolio managers, policymakers, practitioners, and
other market participants.
Keywords
COVID-19 pandemic; stock market; exchange rate; continuous wavelet; wavelet coherence; DCC-GARCH
Hrčak ID:
302254
URI
Publication date:
31.3.2023.
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