Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis

Lee, Zhun Hoong and Wong, Hock Tsen and Saizal Pinjaman and Kasim Md. Mansur (2022) Co-Movement of Covid-19, The S&P 500 and Stock Markets in ASEAN: A Wavelet Coherence Analysis. International Journal of Economics and Management, 16. pp. 119-134. ISSN 1823-836X

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URL: http://www.ijem.upm.edu.my/vol16no1/8.%20Co-Moveme...

Abstract

This study examined the co-movement of ASEAN stock markets, COVID-19 cases/deaths, and the United States (US) stock market using wavelet coherence analysis. The findings revealed that the US stock market remained significantly dominant and was more influential to the ASEAN market. Nevertheless, coherence between the ASEAN stock markets and COVID-19 cases/deaths were also found but was limited during the crisis, and the impact of the number of deaths was lower than the number of cases. The results presented a significant disparity in the co-movements of each country. Such a phenomenon is expected as individual countries' economies tend to be more divergent during crises. Through wavelet analysis, the irregularity and uncertainty of co-movements can be detected more clearly and accurately with the interpretation of a heatmap.

Item Type:	Article
Keyword:	ASEAN , Covid-19 , Equity markets , S&P 500 , Wavelet analysis
Subjects:	H Social Sciences > HB Economic theory. Demography > HB1-3840 Economic theory. Demography H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	SAFRUDIN BIN DARUN -
Date Deposited:	02 Aug 2022 09:46
Last Modified:	02 Aug 2022 09:46
URI:	https://eprints.ums.edu.my/id/eprint/33597

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