The University of Southampton
University of Southampton Institutional Repository

COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet-based approach

COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet-based approach
COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet-based approach
In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality tests applied to US recent daily data unveil the unprecedented impact of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US economic uncertainty. The COVID-19 risk is perceived differently over the short and the long-run and may be firstly viewed as an economic crisis. Our study offers several urgent prominent implications and endorsements for policymakers and asset managers
1057-5219
Sharif, Arshian
b8d3f3c4-7178-4a8b-8fae-cf0a0d7fb8c5
Aloui, Chaker
83abae9e-6c56-46f0-8f64-bb5c9dc99e28
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889
Sharif, Arshian
b8d3f3c4-7178-4a8b-8fae-cf0a0d7fb8c5
Aloui, Chaker
83abae9e-6c56-46f0-8f64-bb5c9dc99e28
Yarovaya, Larisa
2bd189e8-3bad-48b0-9d09-5d96a4132889

Sharif, Arshian, Aloui, Chaker and Yarovaya, Larisa (2020) COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70.

Record type: Article

Abstract

In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality tests applied to US recent daily data unveil the unprecedented impact of COVID-19 and oil price shocks on the geopolitical risk levels, economic policy uncertainty and stock market volatility over the low frequency bands. The effect of the COVID-19 on the geopolitical risk substantially higher than on the US economic uncertainty. The COVID-19 risk is perceived differently over the short and the long-run and may be firstly viewed as an economic crisis. Our study offers several urgent prominent implications and endorsements for policymakers and asset managers

Text
COVID_19_pandemic_oil_prices_stock_market_geopolitical_risk_and_policy_uncertainty_nexus_in_the_US_economy_fresh_evidence_from_the_wavelet_based_approach - Accepted Manuscript
Download (946kB)
Text
COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy fresh evidence from the wavelet based approach
Restricted to Repository staff only
Request a copy

More information

Accepted/In Press date: 1 May 2020
e-pub ahead of print date: 15 May 2020
Published date: July 2020

Identifiers

Local EPrints ID: 441094
URI: http://eprints.soton.ac.uk/id/eprint/441094
ISSN: 1057-5219
PURE UUID: 4fb4d48d-2022-4439-b2f2-ddc16aafda27
ORCID for Larisa Yarovaya: ORCID iD orcid.org/0000-0002-9638-2917

Catalogue record

Date deposited: 01 Jun 2020 16:30
Last modified: 15 May 2022 04:01

Export record

Contributors

Author: Arshian Sharif
Author: Chaker Aloui
Author: Larisa Yarovaya ORCID iD

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×