COVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India
International Journal of Emerging Markets
ISSN: 1746-8809
Article publication date: 8 February 2022
Issue publication date: 5 December 2023
Abstract
Purpose
This study aims to investigate the impact of the rise in coronavirus disease 2019 (COVID-19) cases on stock prices, exchange rates and sovereign bond yields in both Brazil and India.
Design/methodology/approach
The authors employ the wavelet transform coherence (WTC) and continuous wavelet transform (CWT) techniques on daily data from March 17, 2020 to May 8, 2021.
Findings
The findings show that COVID-19 has no impact on exchange rates but slightly increases sovereign bond yields from 2021 onwards. In contrast, the effect of COVID-19 on stock prices is quite high in both countries. There is a considerable consistency between COVID-19 cases and stock prices across different time–frequency dimensions. The rise in COVID-19 cases has an increasing effect on stock prices in Brazil and India, especially in the high-frequency ranges.
Originality/value
As far as the authors know, no prior study has simultaneously analyzed the effects of the COVID-19 pandemic on exchange rates, stock prices and sovereign bonds in Brazil and India.
Keywords
Acknowledgements
No funding was received for the article.
Competing interests: The authors have no conflict of interest
Ethical approval: This article does not contain any studies with human participants performed by any of the authors.
Consent for publication: The study does not contain any individual person's data.
Consent to publish: Not applicable.
Citation
Yilanci, V. and Pata, U.K. (2023), "COVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India", International Journal of Emerging Markets, Vol. 18 No. 11, pp. 4968-4986. https://doi.org/10.1108/IJOEM-09-2021-1465
Publisher
:Emerald Publishing Limited
Copyright © 2022, Emerald Publishing Limited