Time scales based analysis of the effects of COVID-19 related economic support on the stock markets in emerging markets
The main purpose of this study is to investigate the causalresponse of the stock market returns to COVID-19 related economicsupport in 19 emerging countries by using the Maximal Overlap Dis-crete Wavelet Transform (MODWT) and Fourier Toda-YamamotoCausality Test (FTYCT). With the help of MODWT, we id...
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| Veröffentlicht in: | Journal of Central Banking Theory and Practice (Podgorica) 2023-09, Vol.12 (3), p.41-60 |
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| creator | Kamişli, Melik Özer, Mustafa Sayilir, Özlem Diallo, Patrice Racine |
| description | The main purpose of this study is to investigate the causalresponse of the stock market returns to COVID-19 related economicsupport in 19 emerging countries by using the Maximal Overlap Dis-crete Wavelet Transform (MODWT) and Fourier Toda-YamamotoCausality Test (FTYCT). With the help of MODWT, we identify theinstant, short-term, mid-term and long-term reactions of stock mar-ket returns and COVID-19 related economic support to each other.Implementing FTYCT, we determine the existence of the causal re-lationships running from COVID-19 related economic support tostock returns. We obtain two major results. First, the COVID-19related economic support have significant effects on stock marketreturns in the short-, medium-, and long-term, except in China. Sec-ond, the results of the causality tests vary across countries based onthe different time scales. Some emerging markets show an immedi-ate reaction to the Economic Support, while most stock market reac-tions occur over the medium- and long-term. Since economic sup-port will created unintended effects on stock market returns, the waythat these support policies are implemented should be reconsidered.Also, their effectiveness should be evaluated carefully. |
| doi_str_mv | 10.2478/jcbtp-2023-0024 |
| format | Article |
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With the help of MODWT, we identify theinstant, short-term, mid-term and long-term reactions of stock mar-ket returns and COVID-19 related economic support to each other.Implementing FTYCT, we determine the existence of the causal re-lationships running from COVID-19 related economic support tostock returns. We obtain two major results. First, the COVID-19related economic support have significant effects on stock marketreturns in the short-, medium-, and long-term, except in China. Sec-ond, the results of the causality tests vary across countries based onthe different time scales. Some emerging markets show an immedi-ate reaction to the Economic Support, while most stock market reac-tions occur over the medium- and long-term. Since economic sup-port will created unintended effects on stock market returns, the waythat these support policies are implemented should be reconsidered.Also, their effectiveness should be evaluated carefully.</description><identifier>ISSN: 2336-9205</identifier><identifier>ISSN: 1800-9581</identifier><identifier>EISSN: 2336-9205</identifier><identifier>DOI: 10.2478/jcbtp-2023-0024</identifier><language>eng</language><publisher>Warsaw: Sciendo</publisher><subject>C58 ; Causality ; COVID-19 ; COVID-19 related economic support ; Developing countries ; Econometrics ; Economic activity ; Emerging markets ; Fourier Toda-Yamamoto causality test ; FourierToda-Yamamoto causality test ; G01 ; G15 ; Global economy ; LDCs ; Pandemics ; Rates of return ; Securities markets ; Stock exchanges ; stock market re-turns ; stock market returns ; time scales wavelet transform ; Wavelet transforms</subject><ispartof>Journal of Central Banking Theory and Practice (Podgorica), 2023-09, Vol.12 (3), p.41-60</ispartof><rights>2023. 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With the help of MODWT, we identify theinstant, short-term, mid-term and long-term reactions of stock mar-ket returns and COVID-19 related economic support to each other.Implementing FTYCT, we determine the existence of the causal re-lationships running from COVID-19 related economic support tostock returns. We obtain two major results. First, the COVID-19related economic support have significant effects on stock marketreturns in the short-, medium-, and long-term, except in China. Sec-ond, the results of the causality tests vary across countries based onthe different time scales. Some emerging markets show an immedi-ate reaction to the Economic Support, while most stock market reac-tions occur over the medium- and long-term. 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Özer, Mustafa ; Sayilir, Özlem ; Diallo, Patrice Racine</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c441t-d4a4a2fd663de30429cdf850c6e00fa5ff77063c886a1fea2b2681b184ec52e33</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2023</creationdate><topic>C58</topic><topic>Causality</topic><topic>COVID-19</topic><topic>COVID-19 related economic support</topic><topic>Developing countries</topic><topic>Econometrics</topic><topic>Economic activity</topic><topic>Emerging markets</topic><topic>Fourier Toda-Yamamoto causality test</topic><topic>FourierToda-Yamamoto causality test</topic><topic>G01</topic><topic>G15</topic><topic>Global economy</topic><topic>LDCs</topic><topic>Pandemics</topic><topic>Rates of return</topic><topic>Securities markets</topic><topic>Stock exchanges</topic><topic>stock market re-turns</topic><topic>stock market returns</topic><topic>time scales wavelet transform</topic><topic>Wavelet transforms</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Kamişli, Melik</creatorcontrib><creatorcontrib>Özer, Mustafa</creatorcontrib><creatorcontrib>Sayilir, Özlem</creatorcontrib><creatorcontrib>Diallo, Patrice Racine</creatorcontrib><collection>EconStor</collection><collection>ECONIS</collection><collection>CrossRef</collection><collection>ProQuest Central (Corporate)</collection><collection>Access via ABI/INFORM (ProQuest)</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>Coronavirus Research Database</collection><collection>ProQuest Central Korea</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Global</collection><collection>Publicly Available Content Database</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>ProQuest Central Basic</collection><jtitle>Journal of Central Banking Theory and Practice (Podgorica)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Kamişli, Melik</au><au>Özer, Mustafa</au><au>Sayilir, Özlem</au><au>Diallo, Patrice Racine</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Time scales based analysis of the effects of COVID-19 related economic support on the stock markets in emerging markets</atitle><jtitle>Journal of Central Banking Theory and Practice (Podgorica)</jtitle><date>2023-09-01</date><risdate>2023</risdate><volume>12</volume><issue>3</issue><spage>41</spage><epage>60</epage><pages>41-60</pages><issn>2336-9205</issn><issn>1800-9581</issn><eissn>2336-9205</eissn><abstract>The main purpose of this study is to investigate the causalresponse of the stock market returns to COVID-19 related economicsupport in 19 emerging countries by using the Maximal Overlap Dis-crete Wavelet Transform (MODWT) and Fourier Toda-YamamotoCausality Test (FTYCT). With the help of MODWT, we identify theinstant, short-term, mid-term and long-term reactions of stock mar-ket returns and COVID-19 related economic support to each other.Implementing FTYCT, we determine the existence of the causal re-lationships running from COVID-19 related economic support tostock returns. We obtain two major results. First, the COVID-19related economic support have significant effects on stock marketreturns in the short-, medium-, and long-term, except in China. Sec-ond, the results of the causality tests vary across countries based onthe different time scales. Some emerging markets show an immedi-ate reaction to the Economic Support, while most stock market reac-tions occur over the medium- and long-term. Since economic sup-port will created unintended effects on stock market returns, the waythat these support policies are implemented should be reconsidered.Also, their effectiveness should be evaluated carefully.</abstract><cop>Warsaw</cop><pub>Sciendo</pub><doi>10.2478/jcbtp-2023-0024</doi><tpages>20</tpages><oa>free_for_read</oa></addata></record> |
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| source | Walter De Gruyter: Open Access Journals; EZB-FREE-00999 freely available EZB journals |
| subjects | C58 Causality COVID-19 COVID-19 related economic support Developing countries Econometrics Economic activity Emerging markets Fourier Toda-Yamamoto causality test FourierToda-Yamamoto causality test G01 G15 Global economy LDCs Pandemics Rates of return Securities markets Stock exchanges stock market re-turns stock market returns time scales wavelet transform Wavelet transforms |
| title | Time scales based analysis of the effects of COVID-19 related economic support on the stock markets in emerging markets |
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