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

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dc.contributor.authorYilanci, Veli
dc.contributor.authorPata, Ugur Korkut
dc.date.accessioned2025-01-27T20:43:58Z
dc.date.available2025-01-27T20:43:58Z
dc.date.issued2023
dc.departmentÇanakkale Onsekiz Mart Üniversitesi
dc.description.abstractPurpose 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.
dc.identifier.doi10.1108/IJOEM-09-2021-1465
dc.identifier.endpage4986
dc.identifier.issn1746-8809
dc.identifier.issn1746-8817
dc.identifier.issue11
dc.identifier.scopus2-s2.0-85124365922
dc.identifier.scopusqualityQ1
dc.identifier.startpage4968
dc.identifier.urihttps://doi.org/10.1108/IJOEM-09-2021-1465
dc.identifier.urihttps://hdl.handle.net/20.500.12428/24440
dc.identifier.volume18
dc.identifier.wosWOS:000753184300001
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherEmerald Group Publishing Ltd
dc.relation.ispartofInternational Journal of Emerging Markets
dc.relation.publicationcategoryinfo:eu-repo/semantics/openAccess
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WoS_20250125
dc.subjectCOVID-19
dc.subjectExchange rates
dc.subjectStock prices
dc.subjectSovereign bonds
dc.subjectWavelet analysis
dc.titleCOVID-19, stock prices, exchange rates and sovereign bonds: a wavelet-based analysis for Brazil and India
dc.typeArticle

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