Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/299082 
Year of Publication: 
2023
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 12 [Issue:] 3 [Year:] 2023 [Pages:] 41-60
Publisher: 
Sciendo, Warsaw
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.
Subjects: 
COVID-19 related economic support
stock market re-turns
emerging markets
time scales wavelet transform
FourierToda-Yamamoto causality test
JEL: 
C58
G01
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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