Pandemic waves, government response, and bank stock returns: evidence from 36 countries
Fulbright Review of Economics and Policy
; 2(1):20-34, 2022.
Article
in English
| ProQuest Central | ID: covidwho-2001554
ABSTRACT
Purpose>The paper examines the impact of COVID-19 on bank stock returns over various time scales and frequencies for 36 countries. Moreover, the authors look at the governments' responses to the corona crisis and examine its impact on bank stock returns.Design/methodology/approach>The paper applies continuous wavelet transformation to obtain robust estimates of the co-movement (coherency) between confirmed cases and bank stock returns over time and at different time scales. Furthermore, the authors apply fixed effects panel regression to examine the response of bank stocks to domestic COVID-19 policies.Findings>The results indicate that the number of confirmed COVID-19 cases negatively impacts bank stock returns during different waves of the pandemic in the medium-run. However, there is only little dependence in the very short-run. Moreover, bank stock returns positively react to domestic COVID-19 polices. This demonstrates that governmental interventions not only reduce the spread of COVID-19 but are also able to thereby calm financial markets.Originality/value>The application of wavelet methods to the field of economics and finance is relatively recent and allows the distinction between short-term and long-term effects. Standard econometric methods, in contrast, only operate within the time domain. This paper combines wavelet methods with conventional econometrics to answer the research question.
Business And Economics; COVID-19; Wavelet analysis; Bank return; Government response; Finance; Stock exchanges; Bank stocks; Transformation; Banking industry; Wavelet transforms; Time; Pandemics; Securities markets; Econometrics; Long term effects; Banks; Stocks; Banking; International finance; Time series; Coronaviruses; Crude oil prices; United States--US
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Fulbright Review of Economics and Policy
Year:
2022
Document Type:
Article
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