COVID-19与巴基斯坦股市的时频共动:来自小波相干性分析的经验证据

IF 2 0 ECONOMICS
Shoaib Ali, Muhammad Naveed, Aisha Saleem, Muhammad Wajahat Nasir
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引用次数: 2

摘要

目的:本文旨在分析COVID-19对巴基斯坦传统(KSE-100)和伊斯兰(KMI-30)股市回报的影响。方法:本研究使用2020年2月25日至2021年5月26日的每日COVID-19病例总数和死亡人数数据。我们利用连续小波变换(CWT)、偏小波变换和小波相干变换(WCT)方法检验了2020年3月13日至2021年5月26日期间新冠肺炎疫情对KSE-100指数和KMI-30指数股票收益的影响。研究结果:与欧洲和一些亚洲股市相反,这两个指数在2019冠状病毒病期间的表现相反。本研究表明,新冠肺炎对这两个指标都有影响,并且在较长时间内对KSE-100和KMI-30指数都有显著影响。本研究还揭示了随着总病例数的增加,股票市场总死亡日收益。实际意义:投资者分散投资组合,希望以最小的风险获得最大的回报,因此他们分散投资于不同的国家,某些新兴市场指数可能为他们提供很大的优势,以最大化他们的回报。这种多元化战略可以在财政上支持不同表现良好的新兴市场,并拯救新兴经济体。本研究提高了投资者对KSE-100指数和KMI-30指数投资的信任和信心,因为股票的有利回报。原创性/价值:本研究考察了COVID-19与巴基斯坦传统和伊斯兰股票指数之间的共同运动,而前一篇论文仅考察了这些指数在COVID-19期间的波动性。本研究还扩展了研究COVID-19如何影响传统和伊斯兰股票市场指数的文献。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
TIME-FREQUENCY CO-MOVEMENT BETWEEN COVID-19 AND PAKISTAN’S STOCK MARKET: EMPIRICAL EVIDENCE FROM WAVELET COHERENCE ANALYSIS
Purpose: This paper aims to analyze the impact of COVID-19 on Pakistan’s traditional (KSE-100) and Islamic (KMI-30) stock market returns. Methodology: This study uses daily data of total cases and deaths of COVID-19 from February 25, 2020 to May 26, 2021. We utilize continuous wavelet transform (CWT), partial wavelet transforms and wavelet coherence transform (WCT) approaches to inspect the impact of COVID-19 on the stock return of KSE-100 and KMI-30 from March 13, 2020 to May 26, 2021. Findings: Contrary to European and several Asian stock markets, these both indexes behave the opposite during COVID-19. This study indicates that COVID-19 influences both these indexes and has a significant impact on both KSE-100 and KMI-30 index in the longer time frame. This study also discloses that with the increasing number of total cases, total death stock market daily return. Practical implications: Investors diversify their portfolio in the desire to achieve maximum return on minimum risk so they diversify across different countries and certain emerging market indexes might provide them a big edge to maximize their return. This diversified strategy can financially support different well-performing emerging markets and save emerging economies. This study enhances the investors trust and confidence to invest in both KSE-100 and KMI-30 due to favorable return of stocks. Originality/value: This examines the co-movement between COVID-19 and the traditional and Islamic stock index of Pakistan whereas, the previous paper only examined the volatility of these indexes during COVID-19. This study also extends the literature that examines how COVID-19 affected the traditional and Islamic stock market indexes.
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来源期刊
CiteScore
6.60
自引率
55.00%
发文量
30
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