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Analysing time-frequency relationship between COVID-19 and FII trading activities using wavelet coherence analysis

Author

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  • Pankaj Kumar Gupta
  • Prabhat Mittal
  • Amrita Kaur

Abstract

Recently, the emerging markets like India have exhibited huge volatility due to trading activities of FIIs in the pandemic situation due to COVID-19. The fear of a lockdown situation during the pandemic raised concerns among the market participants and the investors that resulted in a steep fall of 27% in NIFTY50 during 10-23 March 2020. The infusion and withdrawal of portfolio investments have added research dimension as to whether the trading behaviour is due to pandemic and subsequent government actions or has resulted from the other markets like the oil crisis. This paper uses wavelet coherence analysis to examine the co-movement of COVID-19 cases and net investments from FIIs during the different phases of the lockdown period.

Suggested Citation

  • Pankaj Kumar Gupta & Prabhat Mittal & Amrita Kaur, 2021. "Analysing time-frequency relationship between COVID-19 and FII trading activities using wavelet coherence analysis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 25(3/4), pages 383-399.
    • Handle: RePEc:ids:gbusec:v:25:y:2021:i:3/4:p:383-399
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