The impact of COVID-19 induced panic on stock market returns: A two-year experience.
Econ Anal Policy
; 76: 1075-1097, 2022 Dec.
Article
in English
| MEDLINE | ID: covidwho-2086124
ABSTRACT
This paper explores the relationship between the stock markets of emerging and developed economies and the fear triggered by the COVID-19 pandemic crisis in a period that spans from mid-January 2020 to mid-February 2022. The potential relations are analyzed in terms of Granger causality and dynamic correlation, both from the view of raw undecomposed returns and different time-frequency decompositions derived from a previous wavelet transform screening approach. Overall, our Granger and dynamic correlation results suggest that changes in panic indexes resulting from the COVID-19 pandemic do not have a significant relation with the raw stock market returns, but the reverse occurs in terms of time-frequency decompositions. Correlation analysis also indicates that all countries have a quite similar pattern of phase transitions, with certain stages preceded by a hump and others by a valley, i.e., they exhibit both positive and negative correlations. Despite a gradual reduction in media coverage, both causal relationships and correlations between financial markets and panic indexes held in 2021 and early 2022.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
Language:
English
Journal:
Econ Anal Policy
Year:
2022
Document Type:
Article
Affiliation country:
J.eap.2022.10.012
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