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Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach

Author

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  • Mohd Ziaur Rehman

    (Department of Finance, College of Business Administration, King Saud University, Riyadh 11587, Saudi Arabia)

  • Shabeer Khan

    (Faculty of Political Science, Department of Islamic Economics and Finance, Sakarya University, Serdivan 54050, Turkey)

  • Ghulam Abbas

    (Department of Business Administration, Sukkur IBA University, Sukkur 65200, Pakistan)

  • Mohammed Alhashim

    (Department of Finance, College of Business Administration, King Saud University, Riyadh 11587, Saudi Arabia)

Abstract

This study explores the association of novel COVID-19 with the dominant financial assets, global uncertainty, commodity prices, and stock markets of the top ten corona-affected countries. We employ a wavelet coherence technique to unearth this linkage using daily data of COVID-19 deaths and reported cases from 1 January 2020 until 26 February 2021. The study finds a weak coherence between COVID-19 and global uncertainty variables in the short and medium term, while a strong positive correlation has been witnessed in the long run. The COVID-19 cases impact the stock markets in the short and medium term, while no significant impact is reported in the long run. On the other hand, a substantial impact of the COVID-19 outbreak has also been found on the exchange rate. In addition, the real asset market, such as gold, remains more stable during the COVID-19 outbreak. Thus, the study recommends that investors and portfolio managers should add such assets to their investment options to safeguard the excessive risk and downside momentum of the equity market. The study also has implications for regulators who are concerned with the neutrality of the COVID-19 effect and market stability.

Suggested Citation

  • Mohd Ziaur Rehman & Shabeer Khan & Ghulam Abbas & Mohammed Alhashim, 2023. "Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach," Sustainability, MDPI, vol. 15(6), pages 1-20, March.
    • Handle: RePEc:gam:jsusta:v:15:y:2023:i:6:p:5556-:d:1103833
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