IDEAS home Printed from https://ideas.repec.org/a/taf/reroxx/v35y2022i1p2142-2172.html
   My bibliography  Save this article

COVID-19 pandemic, economic indicators and sectoral returns: evidence from US and China

Author

Listed:
  • Fiza Qureshi

Abstract

This study examines time-frequency connectedness between COVID-19 pandemic and economic indicators through a continuous wavelet transformation approach in the US and China. The study also assesses the dynamic conditional correlations (DCCs) between macroeconomic indicators and domestic sectoral returns during the pandemic. The findings display higher coherencies between COVID-19 and long-term predictive economic indicators in China compared to the US. Moreover, the results indicate that the stock market spillovers are more pronounced on domestic sectoral returns than other economic indicators during the COVID-19 outburst. Besides, the findings exhibit that exchange market instability has significant negative repercussions on the domestic sectors in China, however, weaker correlations are discerned between exchange market and domestic sectors in the US. The findings offer several policy implications and endorsements for portfolio managers, policymakers, practitioners, and other market participants.

Suggested Citation

  • Fiza Qureshi, 2022. "COVID-19 pandemic, economic indicators and sectoral returns: evidence from US and China," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 35(1), pages 2142-2172, December.
    • Handle: RePEc:taf:reroxx:v:35:y:2022:i:1:p:2142-2172
    DOI: 10.1080/1331677X.2021.1934508
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1331677X.2021.1934508
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1331677X.2021.1934508?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.

    More about this item

    Statistics

    Access and download statistics

    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:taf:reroxx:v:35:y:2022:i:1:p:2142-2172. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rero .

    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.