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Co-movement between Covid-19 and G20 stock market returns: A time and frequency analysis
In our study, we employ DCC-GARCH and Wavelet coherence analysis to examine the co-movement between global covid-19 indicators (cases, recoveries and deaths) and stock returns of main equity markets in G20 countries using daily data spanning between February 2, 2020 and August 28, 2021. Our empirica...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9988315/ https://www.ncbi.nlm.nih.gov/pubmed/36911877 http://dx.doi.org/10.1016/j.heliyon.2023.e14195 |