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Time-frequency nexus between COVID-19, economic policy uncertainty and China’s stock market during the COVID-19 period

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  • Ngo Thai Hung

Abstract

It is acknowledged that COVID-19 sentiment influences economic policy uncertainty, which is subsequently reflected in stock market investment decisions, resulting in stock price variations. In this scenario, we attempt to explore the influence of COVID-19 and economic policy uncertainty on China’s stock market using wavelet analysis. The findings of novel wavelet frameworks uncover a bi-directional lead-lag association between COVID-19 sentiment, economic policy uncertainty, and stock market returns in China. In addition, the most pronounced degree of causal associations for the concerned couples occurred in the short and medium-run horizons. Specifically, our results unveil that economic uncertainty and COVID-19 sentiment are the main transmitter of shocks, while the stock market is the recipients of shock spillovers. Our research provides policymakers and market participants with critical insights into the behavior of Chinese stock markets during the COVID-19 crisis.

Suggested Citation

  • Ngo Thai Hung, 2024. "Time-frequency nexus between COVID-19, economic policy uncertainty and China’s stock market during the COVID-19 period," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 22(1), pages 61-85, January.
    • Handle: RePEc:taf:jocebs:v:22:y:2024:i:1:p:61-85
    DOI: 10.1080/14765284.2023.2270846
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