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

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  • 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
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    Cited by:

    1. Syed Faisal Hasssan Bukhari & Waqar Yasir & Christian Espinosa Méndez & Zia Mustafa, 2023. "Sectoral Comparison of Herding During Global Financial Crisis and Covid-19: Comparative Analysis of Shariah Compliant and Conventional Stocks," Journal of Economic Impact, Science Impact Publishers, vol. 5(3), pages 202-210.

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