IDEAS home Printed from https://ideas.repec.org/a/eme/ijoemp/ijoem-09-2021-1465.html
   My bibliography  Save this article

COVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India

Author

Listed:
  • Veli Yilanci
  • Ugur Korkut Pata

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.

Suggested Citation

  • Veli Yilanci & Ugur Korkut Pata, 2022. "COVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 18(11), pages 4968-4986, February.
    • Handle: RePEc:eme:ijoemp:ijoem-09-2021-1465
    DOI: 10.1108/IJOEM-09-2021-1465
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/IJOEM-09-2021-1465/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/IJOEM-09-2021-1465/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/IJOEM-09-2021-1465?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ratikant Bhaskar & Okey Peter Onyia & Dharen Kumar Pandey & S. Ananda, 2023. "Navigating the complexities of financial services marketing through a bibliometric analysis of the Journal of Financial Services Marketing (2009–2022)," Journal of Financial Services Marketing, Palgrave Macmillan, vol. 28(4), pages 724-747, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:ijoemp:ijoem-09-2021-1465. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.